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JEL Code: C50

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Viewing: 1 - 50 of 647 papers

1.

A Quantitative Approach to Tactical Asset Allocation

The Journal of Wealth Management, Spring 2007
Number of pages: 70 Posted: 11 Feb 2007 Last Revised: 03 Mar 2014
Accepted Paper Series
Cambria Investment Management
Downloads 195,424
2.

Relative Strength Strategies for Investing

Number of pages: 22 Posted: 06 Apr 2010 Last Revised: 20 Apr 2010
Working Paper Series
Cambria Investment Management
Downloads 58,705
3.

An Intermarket Approach to Beta Rotation: The Strategy, Signal, and Power of Utilities

2014 Charles H. Dow Award Winner
Number of pages: 16 Posted: 31 Mar 2014
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 13,012
4.

An Intermarket Approach to Tactical Risk Rotation: Using the Signaling Power of Treasuries to Generate Alpha and Enhance Asset Allocation

2014 Wagner Award, 3rd Place
Number of pages: 18 Posted: 01 May 2014
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 5,731
5.

Rational Decision-Making under Uncertainty: Observed Betting Patterns on a Biased Coin

Number of pages: 8 Posted: 25 Oct 2016
Working Paper Series
Elm Partners and Pimco
Downloads 5,729
6.

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, Management School (ULMS), Students and Harvest Alpha Capital
Downloads 4,464
7.

Financial Econometrics

International Library of Financial Econometrics, Forthcoming
Number of pages: 31 Posted: 14 Jun 2007
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 4,122
8.

Forecasting Volatility in Financial Markets: A Review (revised edition)

Number of pages: 80 Posted: 04 Dec 2002
Working Paper Series
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School

Multiple version iconThere are 2 versions of this paper

Downloads 3,821
9.

An Improved Moving Average Technical Trading Rule

Quantf Research Working Paper Series No. WP01/2014
Number of pages: 32 Posted: 13 Sep 2011 Last Revised: 02 Jun 2014
Working Paper Series
Quantf Research and University of Peloponnese - School of Management and Economics
Downloads 3,648
10.

Forecasting Financial Market Volatility: A Review

Number of pages: 43 Posted: 15 Jun 2001
Working Paper Series
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School
Downloads 3,544
11.

Lumber: Worth It's Weight in Gold Offense and Defense in Active Portfolio Management

2015 NAAIM Wagner Award Winner
Number of pages: 18 Posted: 11 May 2015 Last Revised: 03 Mar 2016
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 3,375
12.

Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks

Number of pages: 18 Posted: 07 Mar 2016
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 3,047
13.

Paired-Switching for Tactical Portfolio Allocation

Number of pages: 4 Posted: 26 Aug 2011 Last Revised: 21 Sep 2011
Working Paper Series
Scalaton and Scalaton
Downloads 2,762
14.

Facts and Fantasies About Factor Investing

Number of pages: 112 Posted: 16 Nov 2014 Last Revised: 28 Nov 2014
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads 2,539
15.

A Simple Long Memory Model of Realized Volatility

Number of pages: 27 Posted: 07 Dec 2004
Working Paper Series
Ca' Foscari University of Venice
Downloads 2,328
16.

Forecasting Volatility in European Stock Markets with Non-Linear GARCH Models

FEEM Working Paper No. 98.2002
Number of pages: 40 Posted: 22 Nov 2002
Working Paper Series
University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS) and Università degli Studi di Milano-Bicocca - Department of Business Administration, Finance, Management and Law
Downloads 2,302
17.

ANANTA: A Systematic Quantitative FX Trading Strategy

Number of pages: 20 Posted: 02 Apr 2014 Last Revised: 29 May 2014
Working Paper Series
Independent
Downloads 2,152
18.

Can the VIX Signal Market's Direction? An Asymmetric Dynamic Strategy

Number of pages: 24 Posted: 27 Jun 2007
Working Paper Series
Deutsche Bank, Fixed Income Research and UBS Global Asset Management
Downloads 2,083
20.

Why Markets Are Inefficient: A Gambling ‘Theory’ of Financial Markets for Practitioners and Theorists

Number of pages: 30 Posted: 03 Mar 2017 Last Revised: 31 Aug 2017
Working Paper Series
Stuart School of Business, Illinois Institute of Technology
Downloads 1,681
21.

Know Your System! – Turning Data Mining from Bias to Benefit Through System Parameter Permutation

2014 NAAIM Wagner Award Winner
Number of pages: 33 Posted: 30 Apr 2014
Working Paper Series
StatisTrade
Downloads 1,628
22.

Tactical Asset Allocation on Market Neutral Hedge Fund

Number of pages: 51 Posted: 24 Apr 2009
Working Paper Series
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,501
23.

An Improved Moving Average Technical Trading Rule II: Can We Obtain Performance Improvements with Short Sales?

Quantf Research Working Paper Series No. WP02/2014
Number of pages: 45 Posted: 14 Nov 2011 Last Revised: 02 Jun 2014
Working Paper Series
Quantf Research and University of Peloponnese - School of Management and Economics
Downloads 1,413
24.

The Term Structure of Real Rates and Expected Inflation

EFA 2004 Maastricht Meetings Paper No. 1220; AFA 2004 San Diego Meetings
Number of pages: 64 Posted: 16 Jul 2003
Working Paper Series
Columbia Business School - Finance and Economics and BlackRock, Inc

Multiple version iconThere are 3 versions of this paper

Downloads 1,391
25.

Optimal Trade Sizing in a Game with Favourable Odds: The Stock Market

Number of pages: 4 Posted: 02 Dec 2016 Last Revised: 05 Dec 2016
Working Paper Series
Elm Partners and Citigroup, Inc. - Citigroup Global Markets
Downloads 1,336
26.

Dragon-Kings, Black Swans and the Prediction of Crises

Swiss Finance Institute Research Paper No. 09-36
Number of pages: 21 Posted: 08 Sep 2009
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

Multiple version iconThere are 2 versions of this paper

Downloads 1,309
27.

Return Chasing and Trend Following: Superficial Similarities Mask Fundamental Differences

Number of pages: 12 Posted: 21 Jan 2016 Last Revised: 30 Jan 2016
Working Paper Series
Elm Partners and Elm Partners
Downloads 1,202
28.

Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities

Number of pages: 31 Posted: 01 Jun 2013 Last Revised: 03 Jun 2013
Working Paper Series
Harvest Alpha Capital, John Moores University - Business School, University of Liverpool - Management School (ULMS) and University of Liverpool, Management School (ULMS), Students
Downloads 1,163
29.

Foreign Direct Investment and Stock Market Development: Ghana's Evidence

International Research Journal of Finance and Economics, Vol. 26, pp. 178-185, 2009
Number of pages: 12 Posted: 26 Oct 2008 Last Revised: 07 Apr 2009
Accepted Paper Series
University of Cape Coast - School of Business and University of Leicester - School of Management
Downloads 1,159
30.

Identifying Bull and Bear Markets in Stock Returns

Number of pages: 13 Posted: 19 Feb 1999
Working Paper Series
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,157
31.

Why Most Published Results on Unit Root and Cointegration are False

Number of pages: 14 Posted: 10 Jul 2015 Last Revised: 02 Jan 2016
Working Paper Series
Algoma University and Algoma University
Downloads 1,150
32.

A Primer on Alternative Risk Premia

Number of pages: 123 Posted: 04 May 2016 Last Revised: 26 Jun 2016
Working Paper Series
Lyxor Asset Management, Lyxor Asset Management, Amundi Asset Management and Lyxor Asset Management
Downloads 1,139
33.

The Effect of Endogenous Right-to-Work Laws on Business and Economic Conditions in the United States: A Multivariate Approach

Review of Law and Economics, Vol. 5, No. 1, pp. 595-614, 2009
Number of pages: 20 Posted: 07 Nov 2007 Last Revised: 23 Feb 2011
Accepted Paper Series
Hofstra University - Frank G. Zarb School of Business
Downloads 1,020
34.

The Impact of the Adoption of International Financial Reporting Standards on the Quality of Accounting Information of the Brazilian and European Public Firms

Number of pages: 16 Posted: 28 May 2013 Last Revised: 19 Jun 2013
Working Paper Series
Federal University of Paraiba, Federal University of Paraiba (UFPB), University of Roehampton and University of Roehampton - Social Sciences
Downloads 950
35.

Mean Reversion Based on Autocorrelation: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs

ETF Risk, 2013, October, 36-41
Number of pages: 24 Posted: 01 Jun 2013 Last Revised: 27 Nov 2014
Accepted Paper Series
John Moores University - Business School, University of Liverpool, Management School (ULMS), Students and Harvest Alpha Capital
Downloads 880
36.

The Impact of Trades on Daily Volatility

AFA 2005 Philadelphia Meetings
Number of pages: 46 Posted: 21 Mar 2004
Working Paper Series
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne

Multiple version iconThere are 3 versions of this paper

Downloads 846
37.

An Econometric Model of the Brazilian Stock Market

Number of pages: 16 Posted: 20 Apr 2005
Working Paper Series
University of Brasilia
Downloads 830
38.

A Sharper Lens for Sizing Up Nickels and Steamrollers

Number of pages: 3 Posted: 23 Nov 2016 Last Revised: 26 Jan 2017
Working Paper Series
Elm Partners and Elm Partners
Downloads 809
39.

The Statistical Properties of the Maximum Drawdown in Financial Time Series

Number of pages: 10 Posted: 02 May 2012 Last Revised: 15 May 2013
Working Paper Series
Antares Technologies and Antares Technologies
Downloads 808
40.

Stress Testing for Cyber Risks: Cyber Risk Insurance Modeling beyond Value-at-Risk (VaR): Risk, Uncertainty, and, Profit for the Cyber Era

Number of pages: 189 Posted: 23 Jan 2015 Last Revised: 25 Jan 2017
Working Paper Series
Global Risk Management Network, LLC
Downloads 769
41.

A Monthly Indicator of Brazilian GDP

UCR Department of Economics Working Paper
Number of pages: 32 Posted: 23 Jan 2001
Working Paper Series
University of California, Riverside (UCR) - Department of Economics
Downloads 741
42.

An Exploratory Study of the Impact of e-Service Process on Online Customer Satisfaction

Number of pages: 42 Posted: 14 Dec 2006
Working Paper Series
University of Connecticut - Department of Operations & Information Management and Government of the United States of America - Department of Homeland Security
Downloads 719
43.

Forecasting Housing Prices with Google Econometrics

GMU School of Public Policy Research Paper No. 2009-10
Number of pages: 38 Posted: 25 Jul 2009 Last Revised: 25 May 2015
Working Paper Series
Schar School of Policy & Government, Schar School of Policy and Government, George Mason University, George Mason University - School of Policy, Government, and International Affairs and Erasmus University Rotterdam (EUR) - Department of Economics
Downloads 717
44.

Stochastic Processes in Credit Risk Modelling

Number of pages: 37 Posted: 09 Mar 2006
Working Paper Series
University Ca' Foscari of Venice - Department of Economics
Downloads 712
45.

Informational Cascades and Software Adoption on the Internet: An Empirical Investigation

MIS Quarterly, Vol. 33, No. 1, pp. 23-48, March 2009
Number of pages: 58 Posted: 07 Apr 2008 Last Revised: 31 Jul 2012
Accepted Paper Series
George Washington University - School of Business, Arizona State University (ASU) - Department of Information Systems and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 697
46.

Profitable Pair Trading: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs

Number of pages: 19 Posted: 02 Jun 2013
Working Paper Series
Harvest Alpha Capital, John Moores University - Business School and University of Liverpool, Management School (ULMS), Students
Downloads 685
47.

Integrating Multiple Commodities in a Model of Stochastic Price Dynamics

Journal of Energy Markets, Vol. 2, No. 3, 2009
Number of pages: 41 Posted: 06 Mar 2008 Last Revised: 24 Apr 2012
Accepted Paper Series
University of Mannheim - Department of Business Administration and Finance and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 677
48.

Multiple-Curve Valuation with One-Factor Hull-White Model

Number of pages: 7 Posted: 01 May 2012 Last Revised: 15 Mar 2014
Working Paper Series
FINCAD
Downloads 648
49.

A Note on the Black-Scholes Implied Volatility with Default Risk

Wilmott Journal, Vol. 2, No. 3, 2010
Number of pages: 19 Posted: 12 Nov 2008 Last Revised: 14 Jun 2016
Accepted Paper Series
Merrill Lynch & Co., Mizuho-DL Financial Technology Co., Ltd., Mizuho-DL Financial Technology Co., Ltd. and Hosei University - Graduate School of Business Administration
Downloads 636
50.

Growth Regressions and What the Textbooks Don't Tell You

Number of pages: 33 Posted: 26 Jul 1999
Working Paper Series
University of Bristol - Department of Economics
Downloads 636