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
There 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
There are 2 versions of this paper
Managerial Miscalibration
Quarterly Journal of Economics, Forthcoming
Number of pages: 38
Posted: 16 Jul 2010
Last Revised: 30 Oct 2019
Downloads
4,413
Managerial Miscalibration
NBER Working Paper No. w16215
Number of pages: 39
Posted: 26 Jul 2010
Last Revised: 23 Oct 2021
Downloads
73
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
There are 2 versions of this paper
Risk Everywhere: Modeling and Managing Volatility
Number of pages: 54
Posted: 28 Jan 2016
Last Revised: 22 Mar 2017
Downloads
3,255
Risk Everywhere: Modeling and Managing Volatility
Number of pages: 57
Posted: 14 Feb 2018
Downloads
3
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.
Predicting Stock Market Returns Using the Shiller CAPE — An Improvement Towards Traditional Value Indicators?
Number of pages: 39
Posted: 24 Feb 2016
Working Paper Series
StarCapital AG
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
There are 2 versions of this paper
Automated Earnings Forecasts: Beat Analysts or Combine and Conquer?
Management Science, Forthcoming
Number of pages: 52
Posted: 23 May 2017
Downloads
2,648
Automated Earnings Forecasts:- Beat Analysts or Combine and Conquer?
Number of pages: 55
Posted: 04 Aug 2017
Downloads
1
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
There are 2 versions of this paper
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
Downloads
2,633
Principal Portfolios
NBER Working Paper No. w27388
Number of pages: 72
Posted: 22 Jun 2020
Last Revised: 18 Nov 2021
Downloads
23
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
There are 2 versions of this paper
Realized and Anticipated Macroeconomic Conditions Forecast Stock Returns
Number of pages: 48
Posted: 05 Mar 2013
Last Revised: 21 Nov 2014
Downloads
2,561
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
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