Search Results
Econometric Modeling: Capital Markets - Forecasting eJournal

733,963 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Viewing: 1 - 50 of 2,094 papers

1.

151 Trading Strategies

Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9
Number of pages: 361 Posted: 13 Sep 2018 Last Revised: 16 Sep 2019
Accepted Paper Series
Quantigic Solutions LLC and NYU - Courant Institute of Mathematical Sciences
Downloads 62,138
2.

A Practitioner's Defense of Return Predictability

Number of pages: 37 Posted: 22 May 2019 Last Revised: 22 May 2019
Working Paper Series
HTAA, LLC and School of Data Science, City University of Hong Kong
Downloads 14,248
3.

Carry

Fama-Miller Working Paper
Number of pages: 67 Posted: 26 Jul 2013 Last Revised: 01 Nov 2016
Working Paper Series
University of Chicago - Booth School of Business, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM

Multiple version iconThere are 3 versions of this paper

Downloads 13,120
4.

Does Academic Research Destroy Stock Return Predictability?

Journal of Finance, Forthcoming
Number of pages: 48 Posted: 04 Oct 2012 Last Revised: 24 Feb 2016
Accepted Paper Series
Georgetown University - Department of Finance and Boston College - Department of Finance
Downloads 10,734
5.

Forecasting a Volatility Tsunami

Number of pages: 18 Posted: 11 Apr 2017
Working Paper Series
Independent
Downloads 10,120
6.

Classification-Based Financial Markets Prediction Using Deep Neural Networks

Algorithmic Finance, 2016.
Number of pages: 20 Posted: 30 Mar 2016 Last Revised: 09 Dec 2016
Accepted Paper Series
Illinois Institute of Technology, Northwestern University and Northwestern University
Downloads 9,709
7.

Volatility-Managed Portfolios

Journal of Finance, Forthcoming
Number of pages: 76 Posted: 12 Sep 2015 Last Revised: 08 Mar 2017
Accepted Paper Series
University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 9,364
8.

Dissecting Investment Strategies in the Cross Section and Time Series

Number of pages: 31 Posted: 24 Nov 2015 Last Revised: 07 Dec 2015
Working Paper Series
Man Group, Man AHL, Duke University - Fuqua School of Business, Pimco Europe and Man Group plc
Downloads 9,115
9.

A Backtesting Protocol in the Era of Machine Learning

Number of pages: 18 Posted: 13 Nov 2018 Last Revised: 24 Nov 2018
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business and University of California at San Diego
Downloads 7,808
10.

Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less

Number of pages: 37 Posted: 19 Jul 2017
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 7,543
11.

Explainable AI Models of Stock Crashes: A Machine-Learning Explanation of the Covid March 2020 Equity Meltdown

Number of pages: 18 Posted: 22 Mar 2021 Last Revised: 22 Aug 2021
Working Paper Series
Université Paris Dauphine, affiliation not provided to SSRN, Université Paris Dauphine, A.I. Square Connect and AI For Alpha
Downloads 6,914
12.

Backtesting

Number of pages: 32 Posted: 27 Oct 2013 Last Revised: 30 Jul 2015
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 6,523
13.

Quant Bust 2020

World Economics 21(2) (2020) 183-217
Number of pages: 29 Posted: 07 Apr 2020 Last Revised: 24 Jul 2020
Accepted Paper Series
Quantigic Solutions LLC
Downloads 6,304
14.

Ten Financial Applications of Machine Learning (Seminar Slides)

Number of pages: 27 Posted: 18 Jun 2018 Last Revised: 27 Feb 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 6,020
15.

Return Predictability and Market-Timing: A One-Month Model

Journal Of Investment Management, 17.3 (2019):47-64.
Number of pages: 30 Posted: 10 Oct 2017 Last Revised: 07 Oct 2019
Working Paper Series
HTAA, LLC, School of Data Science, City University of Hong Kong and Hull Tactical
Downloads 5,415
16.

Kinetic Component Analysis

Journal of Investing, Vol. 25, No. 3, 2016
Number of pages: 24 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and University of Oxford - Mathematical Institute
Downloads 5,280
17.

Quantitative Meta-Strategies

Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming
Number of pages: 6 Posted: 10 Jan 2015
Accepted Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 5,250
18.

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

Review of Financial Studies 28, 791-837, 2015
Number of pages: 67 Posted: 19 Aug 2013 Last Revised: 30 Jan 2019
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 5,076
19.

On the Performance of Cyclically Adjusted Valuation Measures

Number of pages: 18 Posted: 24 Sep 2013 Last Revised: 22 Oct 2013
Working Paper Series
Alpha Architect and Alpha Architect
Downloads 5,001
20.

From Forecast to Decisions in Graphical Models: A Natural Gradient Optimization Approach

Université Paris-Dauphine Research Paper No. 3813403
Number of pages: 25 Posted: 13 Apr 2021
Working Paper Series
Université Paris Dauphine, A.I. Square Connect, AI For Alpha, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 4,889
21.

Decoding Stock Market with Quant Alphas

Journal of Asset Management 19(1) (2018) 38-48
Number of pages: 20 Posted: 10 May 2017 Last Revised: 09 Feb 2018
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 4,779
22.

Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)

Number of pages: 29 Posted: 01 Aug 2018 Last Revised: 07 Sep 2021
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 4,738
23.

The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns

Number of pages: 80 Posted: 09 May 2013 Last Revised: 16 Oct 2016
Working Paper Series
Texas A&M University - Department of Accounting, University of North Carolina Kenan-Flagler Business School and Yale School of Management
Downloads 4,511
24.

Managerial Miscalibration

Quarterly Journal of Economics, Forthcoming
Number of pages: 38 Posted: 16 Jul 2010 Last Revised: 30 Oct 2019
Accepted Paper Series
Ohio State University (OSU) - Department of Finance, Duke University and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,413
25.

Low-Frequency Traders in a High-Frequency World: A Survival Guide

Number of pages: 41 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,152
26.

Macro vs. Micro Earnings, 'Macro-Earnings Negativity', and an Introduction to a Composite Valuation Model

Number of pages: 50 Posted: 22 Feb 2013 Last Revised: 26 May 2019
Working Paper Series
Independent
Downloads 4,007
27.

A Census of the Factor Zoo

Number of pages: 7 Posted: 18 Mar 2019 Last Revised: 16 Oct 2020
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 3,861
28.

Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles

Quantitative Finance and Economics, 2 (1), 486-594 (2018), Swiss Finance Institute Research Paper No. 17-27
Number of pages: 127 Posted: 24 Jul 2017
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich and ETH Zurich
Downloads 3,734
29.

Evaluation and Ranking of Market Forecasters

Number of pages: 26 Posted: 03 Apr 2017 Last Revised: 22 Jul 2017
Working Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, University of Technology Sydney (UTS)University of Technology Sydney, Australia and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,600
30.

Long Horizon Predictability: A Cautionary Tale

Number of pages: 21 Posted: 18 Mar 2018 Last Revised: 02 Aug 2018
Working Paper Series
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads 3,579
31.

(Re-)Imag(in)ing Price Trends

Chicago Booth Research Paper No. 21-01
Number of pages: 67 Posted: 04 Jan 2021 Last Revised: 17 Aug 2021
Working Paper Series
University of Chicago, Yale SOM and University of Chicago - Booth School of Business
Downloads 3,308
32.

AlphaPortfolio: Direct Construction Through Deep Reinforcement Learning and Interpretable AI

Number of pages: 70 Posted: 20 Apr 2020 Last Revised: 06 Dec 2021
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, Institute of Economics, School of Social Sciences, Tsinghua University, Beihang University (BUAA) and Beihang University (BUAA)
Downloads 3,291
33.

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Working Paper Series
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 3,255
34.

Finance is Not Excused: Why Finance Should Not Flout Basic Principles of Statistics

Forthcoming, Significance (Royal Statistical Society), 2021
Number of pages: 11 Posted: 29 Jul 2021
Working Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,186
35.

Trading Strategies and Market Microstructure: Evidence from a Prediction Market

The Journal of Prediction Markets 10 (1), 1-29, 2016
Number of pages: 29 Posted: 09 Sep 2013 Last Revised: 04 Oct 2016
Accepted Paper Series
Microsoft Research and Columbia University, Barnard College - Department of Economics
Downloads 3,152
36.

Deep Learning and the Cross-Section of Expected Returns

Number of pages: 56 Posted: 06 Dec 2017 Last Revised: 11 Dec 2017
Working Paper Series
University of St. Gallen
Downloads 3,138
37.

Bond Risk Premia with Machine Learning

WBS Finance Group Research Paper No. 252
Number of pages: 86 Posted: 26 Aug 2018 Last Revised: 08 Apr 2020
Working Paper Series
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 3,122
38.

Forecasting Stock Returns in Good and Bad Times: The Role of Market States

27th Australasian Finance and Banking Conference 2014 Paper, Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 41 Posted: 14 Dec 2012 Last Revised: 01 Aug 2017
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 3,085
39.

Option Return Predictability

Review of Financial Studies accepted, 27th Annual Conference on Financial Economics and Accounting Paper, Rotman School of Management Working Paper No. 2698267
Number of pages: 80 Posted: 06 Dec 2015 Last Revised: 18 Oct 2021
Accepted Paper Series
Department of Finance, School of Management, Fudan University, University of Toronto, Rotman School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Shanghai LiLi Technology Co.,Ltd.
Downloads 3,040
40.
Downloads 2,789
41.

Deep Order Flow Imbalance: Extracting Alpha at Multiple Horizons from the Limit Order Book

Number of pages: 43 Posted: 09 Aug 2021
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences, University College London and Courant Institute of Mathematical Sciences
Downloads 2,762
42.

The Cross Section of Expected Stock Returns

Forthcoming in Critical Finance Review, Tuck School of Business Working Paper No. 2511246
Number of pages: 41 Posted: 18 Oct 2014
Working Paper Series
Dartmouth College - Tuck School of Business
Downloads 2,747
43.

Which Variables Predict and Forecast Stock Market Returns?

Number of pages: 29 Posted: 29 Jun 2016
Working Paper Series
University of Stirling
Downloads 2,729
44.

Automated Earnings Forecasts: Beat Analysts or Combine and Conquer?

Management Science, Forthcoming
Number of pages: 52 Posted: 23 May 2017
Accepted Paper Series
The Stephen M. Ross School of Business at the University of Michigan and University of North Carolina Kenan-Flagler Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,648
45.

Principal Portfolios

Swiss Finance Institute Research Paper No. 20-67, NYU Stern School of Business
Number of pages: 98 Posted: 06 Aug 2020 Last Revised: 26 May 2021
Working Paper Series
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 2,633
46.

Long-Horizon Returns

Chicago Booth Research Paper No. 17-17, Fama-Miller Working Paper
Number of pages: 28 Posted: 24 May 2017 Last Revised: 21 Nov 2017
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 2,623
47.

Realized and Anticipated Macroeconomic Conditions Forecast Stock Returns

Number of pages: 48 Posted: 05 Mar 2013 Last Revised: 21 Nov 2014
Working Paper Series
Cass Business School, Duke University - Fuqua School of Business and Square Macro

Multiple version iconThere are 2 versions of this paper

Downloads 2,561
48.

Manager Sentiment and Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67 Posted: 21 Sep 2015 Last Revised: 13 Sep 2017
Working Paper Series
Central University of Finance and Economics (CUFE), Brigham Young University, Washington University in Saint Louis - Olin School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 2,473
49.

Using Natural Language Processing Techniques for Stock Return Predictions

Number of pages: 54 Posted: 15 Feb 2020
Working Paper Series
University of California, Berkeley, Haas School of Business, Financial Engineering, Students, University of California, Berkeley, Haas School of Business, Financial Engineering, University of California, Berkeley, Haas School of Business, Financial Engineering, Students and University of California, Berkeley, Haas School of Business, Financial Engineering, Students
Downloads 2,201
50.

Machine Learning versus Economic Restrictions: Evidence from Stock Return Predictability

Management Science, Accepted
Number of pages: 89 Posted: 18 Sep 2019 Last Revised: 02 Oct 2021
Accepted Paper Series
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and Hebrew University of Jerusalem
Downloads 2,079