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SSRN eLibrary Search Results
JEL Code: C50
394,653 Total downloads
Showing Papers 1 - 50 of 620
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Incl. Electronic Paper A Quantitative Approach to Tactical Asset Allocation
The Journal of Wealth Management, Spring 2007
Meb Faber
Cambria Investment Management
Date Posted: February 11, 2007
Last Revised: March 03, 2014
Accepted Paper Series
187194 downloads

Incl. Electronic Paper Relative Strength Strategies for Investing
Meb Faber
Cambria Investment Management
Date Posted: April 06, 2010
Last Revised: April 20, 2010
Working Paper Series
55378 downloads

Incl. Electronic Paper An Intermarket Approach to Beta Rotation: The Strategy, Signal, and Power of Utilities
2014 Charles H. Dow Award Winner
Charles V. Bilello and Michael A. Gayed
Pension Partners, LLC and Pension Partners, LLC
Date Posted: March 31, 2014
Working Paper Series
12562 downloads

Incl. Electronic Paper 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
Michael A. Gayed and Charles V. Bilello
Pension Partners, LLC and Pension Partners, LLC
Date Posted: May 01, 2014
Working Paper Series
5491 downloads

Incl. Electronic Paper Rational Decision-Making under Uncertainty: Observed Betting Patterns on a Biased Coin
Victor Haghani and Richard Dewey
Elm Partners and Pimco
Date Posted: October 25, 2016
Working Paper Series
4415 downloads

Incl. Electronic Paper 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
Christian Dunis, Jason Laws and Jozef Rudy
John Moores University - Business School, University of Liverpool, Management School (ULMS), Students and Harvest Alpha Capital
Date Posted: June 01, 2013
Last Revised: November 27, 2014
Accepted Paper Series
4214 downloads

Incl. Electronic Paper Financial Econometrics
International Library of Financial Econometrics, Forthcoming
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: June 14, 2007
Accepted Paper Series
4042 downloads

Incl. Electronic Paper Forecasting Volatility in Financial Markets: A Review (revised edition)
Clive W. J. Granger and Ser-Huang Poon
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School
Date Posted: December 04, 2002
Working Paper Series
3733 downloads

Incl. Electronic Paper Forecasting Financial Market Volatility: A Review
Clive W. J. Granger and Ser-Huang Poon
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School
Date Posted: June 15, 2001
Working Paper Series
3508 downloads

Incl. Electronic Paper An Improved Moving Average Technical Trading Rule
Quantf Research Working Paper Series No. WP01/2014
Fotis Papailias and Dimitrios D. Thomakos
quantf research and University of Peloponnese - School of Management and Economics
Date Posted: September 13, 2011
Last Revised: June 02, 2014
Working Paper Series
3460 downloads

Incl. Electronic Paper Lumber: Worth It's Weight in Gold Offense and Defense in Active Portfolio Management
2015 NAAIM Wagner Award Winner
Charles V. Bilello and Michael A. Gayed
Pension Partners, LLC and Pension Partners, LLC
Date Posted: May 11, 2015
Last Revised: March 03, 2016
Working Paper Series
3129 downloads

Incl. Electronic Paper Optimal Momentum: A Global Cross Asset Approach
Gary Antonacci
Portfolio Management Consultants
Date Posted: May 10, 2011
Last Revised: December 15, 2014
Working Paper Series
2680 downloads

Incl. Electronic Paper Paired-Switching for Tactical Portfolio Allocation
Akhilesh Maewal and Joel R. Bock
Scalaton and Scalaton
Date Posted: August 26, 2011
Last Revised: September 21, 2011
Working Paper Series
2648 downloads

Incl. Electronic Paper Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks
Michael A. Gayed and Charles V. Bilello
Pension Partners, LLC and Pension Partners, LLC
Date Posted: March 07, 2016
Working Paper Series
2386 downloads

Incl. Electronic Paper Forecasting Volatility in European Stock Markets with Non-Linear GARCH Models
FEEM Working Paper No. 98.2002
Matteo Manera and Gianfranco Forte
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
Date Posted: November 22, 2002
Working Paper Series
2278 downloads

Incl. Electronic Paper A Simple Long Memory Model of Realized Volatility

Fulvio Corsi Ca' Foscari University of Venice
Date Posted: December 07, 2004
Working Paper Series
2234 downloads

Incl. Electronic Paper Facts and Fantasies About Factor Investing
Zélia Cazalet and Thierry Roncalli
Lyxor Asset Management and Amundi Asset Management
Date Posted: November 16, 2014
Last Revised: November 28, 2014
Working Paper Series
2175 downloads

Incl. Electronic Paper ANANTA: A Systematic Quantitative FX Trading Strategy
Nicolas Georges
Independent
Date Posted: April 02, 2014
Last Revised: May 29, 2014
Working Paper Series
2079 downloads

Incl. Electronic Paper Can the VIX Signal Market's Direction? An Asymmetric Dynamic Strategy
Alessandro Paolo Luigi Cipollini and Antonio Manzini
Deutsche Bank, Fixed Income Research and UBS Global Asset Management
Date Posted: June 27, 2007
Working Paper Series
2004 downloads

Incl. Electronic Paper Tactical Asset Allocation on Market Neutral Hedge Fund
Juan Ledesma Padilla and Martin Zebad
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: April 24, 2009
Working Paper Series
1480 downloads

Incl. Electronic Paper Know Your System! – Turning Data Mining from Bias to Benefit Through System Parameter Permutation
2014 NAAIM Wagner Award Winner
Dave Walton
StatisTrade
Date Posted: April 30, 2014
Working Paper Series
1432 downloads

Incl. Electronic Paper Economic Policy Analysis in Zimbabwe: A Review of Zimbabwe Economic Policies: Special Reference to Zimbabwe Agenda for Sustainable Socio-Economic Transformation (Zim Asset)
Wellington Garikai Bonga
Independent
Date Posted: January 26, 2014
Working Paper Series
1429 downloads

Incl. Electronic Paper The Term Structure of Real Rates and Expected Inflation
EFA 2004 Maastricht Meetings Paper No. 1220; AFA 2004 San Diego Meetings
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc
Date Posted: July 16, 2003
Working Paper Series
1385 downloads

Incl. Electronic Paper An Improved Moving Average Technical Trading Rule II: Can We Obtain Performance Improvements with Short Sales?
Quantf Research Working Paper Series No. WP02/2014
Fotis Papailias and Dimitrios D. Thomakos
quantf research and University of Peloponnese - School of Management and Economics
Date Posted: November 14, 2011
Last Revised: June 02, 2014
Working Paper Series
1381 downloads

Incl. Electronic Paper Dragon-Kings, Black Swans and the Prediction of Crises
Swiss Finance Institute Research Paper No. 09-36
Didier Sornette
Swiss Finance Institute
Date Posted: September 08, 2009
Working Paper Series
1246 downloads

Incl. Electronic Paper Optimal Trade Sizing in a Game with Favourable Odds: The Stock Market
Victor Haghani and Andrew Morton
Elm Partners and Citigroup, Inc. - Citigroup Global Markets
Date Posted: December 02, 2016
Last Revised: December 05, 2016
Working Paper Series
1150 downloads

Incl. Electronic Paper Identifying Bull and Bear Markets in Stock Returns
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Date Posted: February 19, 1999
Working Paper Series
1143 downloads

Incl. Electronic Paper Why Most Published Results on Unit Root and Cointegration are False
Hari S. Luitel and Gerry J. Mahar
Algoma University and Algoma University
Date Posted: July 10, 2015
Last Revised: January 02, 2016
Working Paper Series
1128 downloads

Incl. Electronic Paper Return Chasing and Trend Following: Superficial Similarities Mask Fundamental Differences
Victor Haghani and Samantha McBride
Elm Partners and Elm Partners
Date Posted: January 21, 2016
Last Revised: January 30, 2016
Working Paper Series
1023 downloads

Incl. Electronic Paper Foreign Direct Investment and Stock Market Development: Ghana's Evidence
International Research Journal of Finance and Economics, Vol. 26, pp. 178-185, 2009
Anokye M. Adam and George Tweneboah
University of Cape Coast - School of Business and University of Leicester - School of Management
Date Posted: October 26, 2008
Last Revised: April 07, 2009
Accepted Paper Series
1006 downloads

Incl. Electronic Paper 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
Lonnie K. Stevans
Hofstra University - Frank G. Zarb School of Business
Date Posted: November 07, 2007
Last Revised: February 23, 2011
Accepted Paper Series
997 downloads

Incl. Electronic Paper Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities
Jozef Rudy, Christian Dunis, Gianluigi Giorgioni and Jason Laws
Harvest Alpha Capital, John Moores University - Business School, University of Liverpool - Management School (ULMS) and University of Liverpool, Management School (ULMS), Students
Date Posted: June 01, 2013
Last Revised: June 03, 2013
Working Paper Series
964 downloads

Incl. Electronic Paper The Impact of the Adoption of International Financial Reporting Standards on the Quality of Accounting Information of the Brazilian and European Public Firms
Edilson Paulo, Luiz Felipe de Araújo Pontes Girão, David Carter and Rodrigo Silva de Souza
Federal University of Paraiba, Federal University of Paraiba (UFPB), University of Roehampton and University of Roehampton - Social Sciences
Date Posted: May 28, 2013
Last Revised: June 19, 2013
Working Paper Series
916 downloads

Incl. Electronic Paper The Impact of Trades on Daily Volatility
AFA 2005 Philadelphia Meetings
Doron Avramov, Tarun Chordia and Amit Goyal
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne
Date Posted: March 21, 2004
Working Paper Series
833 downloads

Incl. Electronic Paper An Econometric Model of the Brazilian Stock Market
Otavio Ribeiro de Medeiros University of Brasilia
Date Posted: April 20, 2005
Working Paper Series
810 downloads

Incl. Electronic Paper 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
Christian Dunis, Jason Laws and Jozef Rudy
John Moores University - Business School, University of Liverpool, Management School (ULMS), Students and Harvest Alpha Capital
Date Posted: June 01, 2013
Last Revised: November 27, 2014
Accepted Paper Series
802 downloads

Incl. Electronic Paper The Statistical Properties of the Maximum Drawdown in Financial Time Series
Alessandro Casati and Serge Tabachnik
Antares Technologies and Antares Technologies
Date Posted: May 02, 2012
Last Revised: May 15, 2013
Working Paper Series
749 downloads

Incl. Electronic Paper A Monthly Indicator of Brazilian GDP
UCR Department of Economics Working Paper
Marcelle Chauvet
University of California, Riverside (UCR) - Department of Economics
Date Posted: January 23, 2001
Working Paper Series
724 downloads

Incl. Electronic Paper A Primer on Alternative Risk Premia
Rayann Hamdan, Fabien Pavlowsky, Thierry Roncalli and Ban Zheng
Lyxor Asset Management, Lyxor Asset Management, Amundi Asset Management and Lyxor Asset Management
Date Posted: May 04, 2016
Last Revised: June 26, 2016
Working Paper Series
723 downloads

Incl. Electronic Paper An Exploratory Study of the Impact of e-Service Process on Online Customer Satisfaction
Sulin Ba and Wayne Johansson
University of Connecticut - School of Business and Government of the United States of America - Department of Homeland Security
Date Posted: December 14, 2006
Working Paper Series
709 downloads

Incl. Electronic Paper Stochastic Processes in Credit Risk Modelling
Roberto Casarin
University Ca' Foscari of Venice - Department of Economics
Date Posted: March 09, 2006
Working Paper Series
694 downloads

Incl. Electronic Paper A Sharper Lens for Sizing Up Nickels and Steamrollers
Victor Haghani and James White
Elm Partners and Independent
Date Posted: November 23, 2016
Last Revised: January 26, 2017
Working Paper Series
687 downloads

Incl. Electronic Paper Informational Cascades and Software Adoption on the Internet: An Empirical Investigation
MIS Quarterly, Vol. 33, No. 1, pp. 23-48, March 2009
Wenjing Duan, Bin Gu and Andrew B. Whinston
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
Date Posted: April 07, 2008
Last Revised: July 31, 2012
Accepted Paper Series
681 downloads

Incl. Electronic Paper Forecasting Housing Prices with Google Econometrics
GMU School of Public Policy Research Paper No. 2009-10
Rajendra Kulkarni, Kingsley E. Haynes, Roger R. Stough and Jean H. P. Paelinck
George Mason University - School of Policy, Government, and International Affairs, George Mason University - School of Policy, Government, and International Affairs, George Mason University - School of Policy, Government, and International Affairs and Erasmus University Rotterdam (EUR) - Department of Economics
Date Posted: July 25, 2009
Last Revised: May 25, 2015
Working Paper Series
674 downloads

Incl. Electronic Paper Integrating Multiple Commodities in a Model of Stochastic Price Dynamics
Journal of Energy Markets, Vol. 2, No. 3, 2009
Raphael Paschke and Marcel Prokopczuk
University of Mannheim - Department of Business Administration and Finance and Leibniz Universität Hannover - Faculty of Economics and Management
Date Posted: March 06, 2008
Last Revised: April 24, 2012
Accepted Paper Series
664 downloads

Incl. Electronic Paper Profitable Pair Trading: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs
Jozef Rudy, Christian Dunis and Jason Laws
Harvest Alpha Capital, John Moores University - Business School and University of Liverpool, Management School (ULMS), Students
Date Posted: June 02, 2013
Working Paper Series
635 downloads

Incl. Electronic Paper Growth Regressions and What the Textbooks Don't Tell You
Jonathan R.W. Temple
University of Bristol - Department of Economics
Date Posted: July 26, 1999
Working Paper Series
633 downloads

Incl. Electronic Paper A Note on the Black-Scholes Implied Volatility with Default Risk
Wilmott Journal, Vol. 2, No. 3, 2010
Shuichi Ohsaki, Takaaki Ozeki, Yuji Umezawa and Akira Yamazaki
Merrill Lynch & Co., Mizuho-DL Financial Technology Co., Ltd., Mizuho-DL Financial Technology Co., Ltd. and Hosei University - Graduate School of Business Administration
Date Posted: November 12, 2008
Last Revised: June 14, 2016
Accepted Paper Series
629 downloads

Incl. Electronic Paper Stress Testing for Cyber Risks: Cyber Risk Insurance Modeling beyond Value-at-Risk (VaR): Risk, Uncertainty, and, Profit for the Cyber Era
Yogesh Malhotra
Global Risk Management Network, LLC
Date Posted: January 23, 2015
Last Revised: January 25, 2017
Working Paper Series
624 downloads

Incl. Electronic Paper Cointegration and Threshold Adjustment
Pierre L. Siklos and Walter Enders
Wilfrid Laurier University - School of Business & Economics and University of Alabama - Department of Economics, Finance and Legal Studies
Date Posted: February 24, 1998
Working Paper Series
610 downloads


 

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