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
62,023
2.
Is Bitcoin Really Un-Tethered?
Number of pages: 119
Posted: 25 Jun 2018
Last Revised: 05 Nov 2019
Working Paper Series
University of Texas at Austin - Department of Finance and Ohio State University, Fisher College of Business
Downloads
46,185
3.
Tesla: Anatomy of a Run-Up Value Creation or Investor Sentiment?
Number of pages: 46
Posted: 28 Apr 2014
Working Paper Series
Anderson Graduate School of Management, UCLA and New York University - Stern School of Business
Downloads
45,931
4.
101 Formulaic Alphas
Wilmott Magazine 2016(84) (2016) 72-80
Number of pages: 22
Posted: 10 Dec 2015
Last Revised: 29 Jul 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads
39,914
5.
Global Value: Building Trading Models with the 10 Year CAPE
Cambria Quantitative Research, No. 5, August 2012
Number of pages: 15
Posted: 21 Aug 2012
Last Revised: 13 Sep 2012
Accepted Paper Series
Cambria Investment Management
Downloads
31,955
6.
Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay
Number of pages: 33
Posted: 04 Apr 2013
Last Revised: 13 Jun 2015
Working Paper Series
Portfolio Management Consultants
Downloads
31,124
7.
Deep Reinforcement Learning for Portfolio Allocation
Risk Magazine Global Quant Network 2021
Number of pages: 26
Posted: 12 Aug 2021
Accepted Paper Series
Societe Generale and Université Paris Dauphine
Downloads
22,620
8.
Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks
2016 Charles H. Dow Award
Updated Through December 31, 2020
Number of pages: 24
Posted: 07 Mar 2016
Last Revised: 09 Feb 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads
19,819
9.
…and the Cross-Section of Expected Returns
Number of pages: 101
Posted: 17 Apr 2013
Last Revised: 21 Apr 2015
Working Paper Series
Duke University - Fuqua School of Business, Purdue University and University of Oklahoma
Downloads
19,748
10.
Mean-Reversion and Optimization
Journal of Asset Management 16(1) (2015) 14-40
Number of pages: 41
Posted: 11 Aug 2014
Last Revised: 15 Feb 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads
16,841
11.
Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask
Number of pages: 82
Posted: 18 Feb 2013
Last Revised: 03 Apr 2013
Working Paper Series
Digital Gold Institute and Intesa Sanpaolo - Financial and Market Risk Management
Downloads
15,985
12.
Phynance
Univ. J. Phys. Appl. 9(2) (2015) 64-133
Number of pages: 111
Posted: 08 May 2014
Last Revised: 12 Apr 2015
Accepted Paper Series
Quantigic Solutions LLC
Downloads
15,984
13.
Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2019 Edition
NYU Stern School of Business
Number of pages: 135
Posted: 29 May 2019
Working Paper Series
New York University - Stern School of Business
Downloads
15,966
14.
A Review of IPO Activity, Pricing and Allocations
Yale ICF Working Paper No. 02-01
Number of pages: 45
Posted: 09 Jan 2002
Working Paper Series
University of Florida - Department of Finance, Insurance and Real Estate and University of California, Los Angeles (UCLA)
There are 3 versions of this paper
A Review of IPO Activity, Pricing and Allocations
Yale ICF Working Paper No. 02-01
Number of pages: 45
Posted: 09 Jan 2002
Downloads
15,941
A Review of IPO Activity, Pricing, and Allocations
NBER Working Paper No. w8805
Number of pages: 45
Posted: 21 Feb 2002
Last Revised: 25 Jul 2021
Downloads
283
Downloads
15,941
15.
Global Factor Premiums
Journal of Financial Economics (JFE), Volume 142, Issue 3, December 2021, Pages 1128-1154
Number of pages: 69
Posted: 06 Feb 2019
Last Revised: 24 Nov 2021
Accepted Paper Series
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads
12,275
16.
Advances in Financial Machine Learning (Chapter 1)
Advances in Financial Machine Learning, Wiley, 1st Edition (2018); ISBN: 978-1-119-48208-6
Number of pages: 61
Posted: 19 Jan 2018
Accepted Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
12,197
17.
The Alpha Engine: Designing an Automated Trading Algorithm
High Performance Computing in Finance, Chapman & Hall/CRC Series in Mathematical Finance, 2017
Number of pages: 29
Posted: 12 Apr 2017
Last Revised: 03 May 2017
Working Paper Series
Flov technologies, Department of Banking and Finance, UZH and Lykke Corp
Downloads
10,535
18.
Manipulation in the VIX?
Number of pages: 58
Posted: 24 May 2017
Working Paper Series
University of Texas at Austin - Department of Finance and Ohio State University, Fisher College of Business
Downloads
10,174
19.
Deep Learning for Finance: Deep Portfolios
Applied Stochastic Models in Business and Industry 33 (1), 3-12.
Number of pages: 15
Posted: 14 Sep 2016
Last Revised: 29 Apr 2019
Accepted Paper Series
One Hat Research LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads
9,717
20.
Value and Momentum Everywhere
Chicago Booth Research Paper No. 12-53, Fama-Miller Working Paper
Number of pages: 72
Posted: 14 Nov 2012
Working Paper Series
AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital and AQR Capital Management, LLC
There are 2 versions of this paper
Value and Momentum Everywhere
AFA 2010 Atlanta Meetings Paper
Number of pages: 54
Posted: 20 Mar 2009
Downloads
12,434
Value and Momentum Everywhere
Chicago Booth Research Paper No. 12-53, Fama-Miller Working Paper
Number of pages: 72
Posted: 14 Nov 2012
Downloads
9,380
Downloads
9,380
21.
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
9,362
22.
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
9,105
23.
Performance v. Turnover: A Story by 4,000 Alphas
The Journal of Investment Strategies 5(2) (2016) 75-89, Invited Investment Strategy Forum Paper
Number of pages: 17
Posted: 10 Sep 2015
Last Revised: 22 Mar 2016
Accepted Paper Series
Quantigic Solutions LLC and WorldQuant LLC
Downloads
8,883
24.
Bitcoin Spreads Like a Virus
Number of pages: 19
Posted: 23 Apr 2019
Last Revised: 19 Jan 2021
Working Paper Series
Cane Island Alternative Advisors
Downloads
8,764
25.
Dissecting Anomalies with a Five-Factor Model
Fama-Miller Working Paper
Number of pages: 49
Posted: 01 Oct 2014
Last Revised: 26 Jun 2015
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
8,615
26.
Metcalfe's Law as a Model for Bitcoin's Value
Alternative Investment Analyst Review, Q2 2018, Vol. 7, No. 2, 9-18.
Number of pages: 21
Posted: 02 Dec 2017
Last Revised: 10 Feb 2020
Accepted Paper Series
Cane Island Alternative Advisors
Downloads
8,128
27.
Digital Tulips? Returns to Investors in Initial Coin Offerings
Journal of Corporate Finance, Vol. 66, No. 101786, 2021
Number of pages: 54
Posted: 05 Jun 2018
Last Revised: 04 Jan 2021
Accepted Paper Series
ESE Business School - Universidad de los Andes (Chile) and Carroll School of Management, Boston College
Downloads
7,730
28.
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
7,534
29.
Private Benefits in Public Offerings: Tax Receivable Agreements in IPOs
71 Vanderbilt Law Review 889 (2018), BYU Law Research Paper No. 17-24
Number of pages: 47
Posted: 06 Sep 2017
Last Revised: 15 Nov 2021
Working Paper Series
Brigham Young University - J. Reuben Clark Law School
Downloads
7,350
30.
Lucky Factors
Number of pages: 99
Posted: 22 Nov 2014
Last Revised: 08 Apr 2021
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads
7,279
31.
Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks)
Number of pages: 77
Posted: 20 May 2015
Last Revised: 11 May 2017
Working Paper Series
University of Pennsylvania - The Wharton School, Finance Department and Two Centuries Investments
Downloads
7,092
32.
Autoencoder Asset Pricing Models
Yale ICF Working Paper No. 2019-04, Chicago Booth Research Paper No. 19-24
Number of pages: 35
Posted: 07 Mar 2019
Last Revised: 01 Oct 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads
7,037
33.
Corporate Green Bonds
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 54
Posted: 27 Feb 2018
Last Revised: 16 Apr 2020
Accepted Paper Series
Columbia University
Downloads
6,971
34.
A Century of Evidence on Trend-Following Investing
Number of pages: 26
Posted: 28 Jun 2017
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads
6,877
35.
Factor Investing in the Corporate Bond Market
Financial Analysts Journal, 2017, Vol. 73, No. 2
Number of pages: 49
Posted: 31 Oct 2014
Last Revised: 13 Feb 2017
Accepted Paper Series
Robeco Investment Research and BlueCove Limited
Downloads
6,746
36.
Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices
Journal of Asset Management, Vol. 12, 3, 185-202, 2010
Number of pages: 22
Posted: 01 Jun 2013
Last Revised: 27 Nov 2014
Accepted Paper Series
John Moores University - Business School, University of Liverpool - Accounting and Finance Division and Harvest Alpha Capital
Downloads
6,677
37.
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
6,515
38.
Predicting Returns with Text Data
University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-69, Yale ICF Working Paper No. 2019-10, Chicago Booth Research Paper No. 20-37
Number of pages: 66
Posted: 20 May 2019
Last Revised: 17 Aug 2021
Working Paper Series
Harvard University, Yale SOM and University of Chicago - Booth School of Business
There are 2 versions of this paper
Predicting Returns with Text Data
University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-69, Yale ICF Working Paper No. 2019-10, Chicago Booth Research Paper No. 20-37
Number of pages: 66
Posted: 20 May 2019
Last Revised: 17 Aug 2021
Downloads
6,408
Predicting Returns with Text Data
NBER Working Paper No. w26186
Number of pages: 55
Posted: 03 Sep 2019
Last Revised: 21 Jul 2021
Downloads
41
Downloads
6,408
39.
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
6,289
40.
Supercharged IPOs and the Up-C
88 University of Colorado Law Review 913 (2017), BYU Law Research Paper No. 17-03
Number of pages: 48
Posted: 26 Mar 2016
Last Revised: 15 Nov 2021
Accepted Paper Series
Brigham Young University - J. Reuben Clark Law School
Downloads
6,278
41.
Fact, Fiction, and the Size Effect
Number of pages: 54
Posted: 24 May 2018
Last Revised: 10 Aug 2018
Working Paper Series
Office of Financial Research, AQR Capital Management, LLC and Yale University, Yale SOMAQR Capital
Downloads
6,211
42.
What is the Optimal Method to Value a Football Club?
Number of pages: 32
Posted: 24 Mar 2013
Working Paper Series
University of Reading - ICMA Centre
Downloads
6,102
43.
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
6,015
44.
Multifactor Risk Models and Heterotic CAPM
The Journal of Investment Strategies 5(4) (2016) 1-49
Number of pages: 49
Posted: 26 Jan 2016
Last Revised: 10 Sep 2016
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads
5,928
45.
International Tests of a Five-Factor Asset Pricing Model
Fama-Miller Working Paper, Tuck School of Business Working Paper No. 2622782
Number of pages: 48
Posted: 26 Jun 2015
Last Revised: 31 Dec 2015
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads
5,892
46.
Historical Returns of the Market Portfolio
Review of Asset Pricing Studies, Forthcoming
Number of pages: 75
Posted: 02 Jun 2017
Last Revised: 23 Oct 2019
Working Paper Series
Independent, Rabobank and Erasmus University Rotterdam (EUR)
Downloads
5,731
47.
Is There a Replication Crisis in Finance?
NYU Stern School of Business Forthcoming
Number of pages: 113
Posted: 05 Mar 2021
Last Revised: 07 Jan 2022
Working Paper Series
Copenhagen Business School, Yale SOM and AQR Capital Management, LLC
There are 2 versions of this paper
Is There a Replication Crisis in Finance?
NYU Stern School of Business Forthcoming
Number of pages: 113
Posted: 05 Mar 2021
Last Revised: 07 Jan 2022
Downloads
5,682
Is There a Replication Crisis in Finance?
NBER Working Paper No. w28432
Number of pages: 54
Posted: 08 Feb 2021
Last Revised: 18 Nov 2021
Downloads
12
Downloads
5,682
48.
Deep Learning in Asset Pricing
Number of pages: 75
Posted: 04 Apr 2019
Last Revised: 05 Aug 2021
Working Paper Series
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads
5,550
49.
Machine Learning for Stock Selection
Financial Analysts Journal, vol. 75, no. 3 (Third Quarter 2019)
Number of pages: 35
Posted: 04 Mar 2019
Last Revised: 09 Aug 2019
Accepted Paper Series
Gresham Investment Management, LLC and Arwen Advisors
Downloads
5,359
50.
On Origins of Alpha
The Hedge Fund Journal 108 (2015) 47-50
Number of pages: 8
Posted: 08 Mar 2015
Last Revised: 05 Nov 2015
Accepted Paper Series
Quantigic Solutions LLC
Downloads
5,307
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