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Big Data & Innovative Financial Technologies Research Paper Series

Berkeley Lab - Lawrence Berkeley National Laboratory Logo  

GOAL OF THE SERIES: To bring the latest financial technologies to the attention of regulators, researchers, financial practitioners and the public in general, with the goal of achieving more stable, efficient and secured financial markets.

SUBJECTS: The series is open to all innovative technologies with financial applications, and in particular:
- Data Analytics & Visualization
- Exascale Scientific Data Management
- Machine Learning
- High Performance Computing
- Large-Scale Complex Systems
- High-Frequency Trading
- Quantum Computing Applied to Finance

EDITORS: The series is edited by Dr. Marcos Lopez de Prado (research fellow, Lawrence Berkeley National Laboratory) and Dr. John Wu (senior scientist, Lawrence Berkeley National Laboratory & SciDAC). Editorial decisions are our own and do not necessarily reflect the views of the institutions we are affiliated with.

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Viewing: 1 - 50 of 436 papers

1.

The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading

The Journal of Portfolio Management, Vol. 37, No. 2, pp. 118-128, Winter 2011
Number of pages: 15 Posted: 22 Oct 2010 Last Revised: 31 Jan 2011
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 17,625
2.

Flow Toxicity and Liquidity in a High Frequency World

Review of Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012.
Number of pages: 71 Posted: 23 Oct 2010 Last Revised: 15 Apr 2012
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 15,780
3.

The 7 Reasons Most Machine Learning Funds Fail (Presentation Slides)

Number of pages: 44 Posted: 06 Sep 2017 Last Revised: 04 Oct 2018
Working Paper Series
AQR Capital Management, LLC
Downloads 14,389
4.

Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), AQR Capital Management, LLC and Western Michigan University
Downloads 10,962
5.

The Volume Clock: Insights into the High Frequency Paradigm

The Journal of Portfolio Management, (Fall, 2012) Forthcoming , Johnson School Research Paper Series No. 9-2012
Number of pages: 23 Posted: 05 Apr 2012 Last Revised: 20 Aug 2012
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 9,579
6.

The Probability of Backtest Overfitting

Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34 Posted: 16 Sep 2013 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), AQR Capital Management, LLC and Western Michigan University

Multiple version iconThere are 2 versions of this paper

Downloads 9,229
7.

Building Diversified Portfolios that Outperform Out-of-Sample

Journal of Portfolio Management, 2016, Forthcoming
Number of pages: 31 Posted: 28 Dec 2015 Last Revised: 24 May 2016
Accepted Paper Series
AQR Capital Management, LLC
Downloads 8,819
8.

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 8,088
9.

The Sharpe Ratio Efficient Frontier

Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of pages: 36 Posted: 24 Apr 2011 Last Revised: 23 Apr 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads 7,799
10.

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
AQR Capital Management, LLC
Downloads 7,006
11.

The Exchange of Flow Toxicity

The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011, Johnson School Research Paper Series No. 10-2011
Number of pages: 12 Posted: 27 Jan 2011 Last Revised: 27 Feb 2012
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,517
12.

Measuring Loss Potential of Hedge Fund Strategies

Journal of Alternative Investments, Vol. 7, No. 1, pp. 7-31, Summer 2004
Number of pages: 25 Posted: 04 Jan 2005
Accepted Paper Series
AQR Capital Management, LLC and UBS Wealth Managment Research
Downloads 6,253
13.

All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms

Number of pages: 19 Posted: 09 Apr 2016
Working Paper Series
Quantopian Inc, Quantopian Inc., Quantopian Inc and Quantopian Inc
Downloads 5,828
14.

Digital Tulips? Returns to Investors in Initial Coin Offerings

Number of pages: 54 Posted: 05 Jun 2018
Working Paper Series
Boston College - Carroll School of Management and Carroll School of Management, Boston College
Downloads 5,424
15.

Discerning Information from Trade Data

Journal of Financial Economics, 120(2), pp. 269-286. May 2016, Johnson School Research Paper Series No. 8-2012
Number of pages: 56 Posted: 23 Jan 2012 Last Revised: 16 May 2016
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 5,240
16.

Advances in Cointegration and Subset Correlation Hedging Methods

Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37 Posted: 08 Aug 2011 Last Revised: 31 Jan 2014
Accepted Paper Series
AQR Capital Management, LLC and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 5,061
17.

The 10 Reasons Most Machine Learning Funds Fail

Journalof Portfolio Management, Forthcoming
Number of pages: 21 Posted: 18 Jan 2018 Last Revised: 01 Jul 2018
Accepted Paper Series
AQR Capital Management, LLC
Downloads 4,982
18.

Blockchain Technology: What is it Good for?

Number of pages: 5 Posted: 01 Sep 2016
Working Paper Series
Lebanese American University
Downloads 4,875
19.

An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization

Algorithms, 6(1), pp.169-196, 2013
Number of pages: 29 Posted: 08 Jan 2013 Last Revised: 02 Jan 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads 4,105
20.

Understanding Modern Banking Ledgers Through Blockchain Technologies: Future of Transaction Processing and Smart Contracts on the Internet of Money

Number of pages: 33 Posted: 24 Nov 2015
Working Paper Series
Department of Actuarial Mathematics and Statistics, Heriot-Watt University and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 3,851
21.

What to Look for in a Backtest

Number of pages: 58 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Working Paper Series
AQR Capital Management, LLC
Downloads 3,725
22.

A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm

Quantitative Finance, 2013, Forthcoming, Johnson School Research Paper Series No. 39-2011
Number of pages: 34 Posted: 22 Sep 2011 Last Revised: 27 Oct 2013
Accepted Paper Series
AQR Capital Management, LLC and University of California, Irvine
Downloads 3,659
23.

Advances in High Frequency Strategies

Doctoral Dissertation, Complutense University, Madrid, 2011
Number of pages: 42 Posted: 14 Jul 2012 Last Revised: 08 Aug 2015
Working Paper Series
AQR Capital Management, LLC
Downloads 3,485
24.

Deep Learning for Mortgage Risk

Number of pages: 75 Posted: 23 Jun 2016 Last Revised: 22 Nov 2018
Working Paper Series
Imperial College London - Department of Mathematics, Stanford University and Stanford University - Management Science & Engineering
Downloads 3,484
25.

Kinetic Component Analysis

Number of pages: 24 Posted: 08 Apr 2014 Last Revised: 08 Aug 2016
Working Paper Series
AQR Capital Management, LLC and University of Oxford - Mathematical Institute
Downloads 3,429
26.

The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality

Journal of Portfolio Management, 40 (5), pp. 94-107. 2014 (40th Anniversary Special Issue).
Number of pages: 22 Posted: 01 Jul 2014 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads 3,354
27.

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
AQR Capital Management, LLC
Downloads 3,304
28.

Building Diversified Portfolios That Outperform Out-of-Sample (Presentation Slides)

Number of pages: 33 Posted: 11 Jan 2016 Last Revised: 14 Aug 2016
Working Paper Series
AQR Capital Management, LLC
Downloads 3,265
29.

Quantitative Meta-Strategies

Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming
Number of pages: 6 Posted: 10 Jan 2015
Accepted Paper Series
AQR Capital Management, LLC
Downloads 3,240
30.

A Tutorial for Using Twitter Data in the Social Sciences: Data Collection, Preparation, and Analysis

Number of pages: 95 Posted: 06 Jan 2016
Working Paper Series
Dept. of Communication, U of Mainz, Germany and University of Konstanz - Deptment of Politics and Public Administration
Downloads 3,134
31.

Optimal Execution Horizon

Mathematical Finance, 25(3), pp. 640-672. July 2015.
Number of pages: 43 Posted: 12 Apr 2012 Last Revised: 06 Jun 2015
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,122
32.

Balanced Baskets: A New Approach to Trading and Hedging Risks

Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44 Posted: 24 May 2012 Last Revised: 08 Sep 2012
Accepted Paper Series
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads 2,930
33.

Detection of False Investment Strategies Using Unsupervised Learning Methods

Number of pages: 25 Posted: 23 Apr 2018 Last Revised: 24 Nov 2018
Working Paper Series
AQR Capital Management, LLC and True Positive Technologies
Downloads 2,782
34.

VPIN and the Flash Crash: A Comment

Journal of Financial Markets, Forthcoming, Johnson School Research Paper Series No. 25-2012
Number of pages: 8 Posted: 18 May 2012 Last Revised: 29 Sep 2013
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,706
35.

The Strategy Approval Decision: A Sharpe Ratio Indifference Curve Approach

Algorithmic Finance, (2013) 2:1, 99-109
Number of pages: 12 Posted: 15 Feb 2012 Last Revised: 20 Jan 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory, AQR Capital Management, LLC and Universidad Complutense de Madrid (UCM)
Downloads 2,293
36.

Stop-Outs Under Serial Correlation and 'The Triple Penance Rule'

Journal of Risk, 2014
Number of pages: 35 Posted: 16 Jan 2013 Last Revised: 10 Jun 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads 2,285
37.

An Economic Analysis of the Bitcoin Payment System

Columbia Business School Research Paper No. 17-92
Number of pages: 60 Posted: 28 Aug 2017 Last Revised: 15 Nov 2018
Working Paper Series
Columbia Business School - Finance and Economics, Chicago Booth and Columbia Business School - Decision Risk and Operations

Multiple version iconThere are 3 versions of this paper

Downloads 2,187
38.

Managing Risks in a Risk-On/Risk-Off Environment

Number of pages: 50 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
AQR Capital Management, LLC
Downloads 2,103
39.

Optimal Risk Budgeting under a Finite Investment Horizon

Number of pages: 25 Posted: 07 Dec 2013 Last Revised: 05 Jul 2015
Working Paper Series
AQR Capital Management, LLC, Vince Strategies LLC and Western Michigan University
Downloads 2,032
40.

Market Design with Blockchain Technology

Number of pages: 40 Posted: 30 May 2016 Last Revised: 27 Jul 2017
Working Paper Series
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Finance Area
Downloads 2,005
41.

Stochastic Flow Diagrams

Algorithmic Finance 2014, 3:1-2, 21-42
Number of pages: 23 Posted: 16 Jan 2014 Last Revised: 27 May 2014
Accepted Paper Series
Clemson University and AQR Capital Management, LLC
Downloads 1,892
42.

Stock Portfolio Design and Backtest Overfitting

Number of pages: 16 Posted: 29 Feb 2016 Last Revised: 20 Jul 2016
Working Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia) and AQR Capital Management, LLC
Downloads 1,838
43.

How Value is Created in Tokenized Assets

Number of pages: 13 Posted: 21 Apr 2018 Last Revised: 05 May 2018
Working Paper Series
Bitcoin Market Journal, Massachusetts Institute of Technology and Ludwig-Maximilians-Universität München
Downloads 1,795
44.

Ten Financial Applications of Machine Learning

Number of pages: 20 Posted: 18 Jun 2018 Last Revised: 12 Oct 2018
Working Paper Series
AQR Capital Management, LLC
Downloads 1,745
45.

Characteristics Are Covariances: A Unified Model of Risk and Return

Number of pages: 58 Posted: 07 Sep 2017 Last Revised: 20 Oct 2018
Working Paper Series
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 1,651
46.

Deep Learning for Limit Order Books

Number of pages: 39 Posted: 04 Jan 2016 Last Revised: 11 Jan 2017
Working Paper Series
Imperial College London - Department of Mathematics
Downloads 1,616
47.

How Long Does It Take to Recover from a Drawdown?

Number of pages: 43 Posted: 22 Apr 2013 Last Revised: 29 Jun 2014
Working Paper Series
AQR Capital Management, LLC
Downloads 1,592
48.

Federal Market Information Technology in the Post Flash Crash Era: Roles for Supercomputing

Number of pages: 22 Posted: 07 Oct 2011
Working Paper Series
Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,588
49.

A Journey Through the 'Mathematical Underworld' of Portfolio Optimization

Number of pages: 26 Posted: 11 Feb 2013 Last Revised: 05 Jul 2015
Working Paper Series
AQR Capital Management, LLC
Downloads 1,574
50.

The Future of Empirical Finance

Journal of Portfolio Management, 41(4). Summer 2015. Forthcoming.
Number of pages: 12 Posted: 24 May 2015 Last Revised: 05 Jul 2015
Accepted Paper Series
AQR Capital Management, LLC
Downloads 1,571