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
17,600
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
15,736
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
14,044
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
10,868
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
9,455
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
There are 2 versions of this paper
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
Downloads
9,106
The Probability of Backtest Overfitting
Journal of Computational Finance, Forthcoming
Number of pages: 31
Posted: 21 Sep 2016
Downloads
9,106
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
8,492
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
7,978
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
7,726
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
6,781
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
6,501
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
6,235
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
5,756
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
5,228
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
5,179
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
5,027
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
4,756
18.
Blockchain Technology: What is it Good for?
Number of pages: 5
Posted: 01 Sep 2016
Working Paper Series
Lebanese American University
Downloads
4,652
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
4,039
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
3,762
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
3,684
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
3,626
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
3,441
24.
Deep Learning for Mortgage Risk
Number of pages: 83
Posted: 23 Jun 2016
Last Revised: 10 Mar 2018
Working Paper Series
Imperial College London - Department of Mathematics, Stanford University and Stanford University - Management Science & Engineering
Downloads
3,431
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
3,366
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
3,301
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
3,267
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
3,189
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
3,166
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
3,108
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
There are 2 versions of this paper
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
Downloads
3,100
Optimal Execution Horizon
Mathematical Finance, Vol. 25, Issue 3, pp. 640-672, 2015
Number of pages: 33
Posted: 05 Jun 2015
Downloads
3,100
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
2,897
33.
Detection of False Investment Strategies Using Unsupervised Learning Methods
Number of pages: 24
Posted: 23 Apr 2018
Last Revised: 19 Aug 2018
Working Paper Series
AQR Capital Management, LLC and True Positive Technologies
Downloads
2,742
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
2,692
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
2,279
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
2,256
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
There are 3 versions of this paper
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
Downloads
2,089
Monopoly Without a Monopolist: An Economic Analysis of the Bitcoin Payment System
Bank of Finland Research Discussion Paper No. 27/2017
Number of pages: 56
Posted: 06 Sep 2017
Last Revised: 03 Dec 2017
Downloads
236
Monopoly Without a Monopolist: An Economic Analysis of the Bitcoin Payment System
CEPR Discussion Paper No. DP12322
Number of pages: 55
Posted: 26 Sep 2017
Downloads
2,089
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
2,075
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
2,011
40.
Market Design with Blockchain Technology
Number of pages: 40
Posted: 30 May 2016
Last Revised: 27 Jul 2017
Working Paper Series
University of Toronto and University of Toronto - Finance Area
Downloads
1,961
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
1,862
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
1,815
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
1,729
44.
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
1,605
45.
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
1,586
46.
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
1,581
47.
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
1,566
48.
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
1,561
49.
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
1,547
50.
Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi
Number of pages: 6
Posted: 07 Jul 2015
Last Revised: 13 Sep 2015
Working Paper Series
Illinois Institute of Technology, Northwestern University and Northwestern University
Downloads
1,524
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 585 442 8170 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.