Anatoly B. Schmidt

Finance and Risk Engineering, NYU Tandon School of Engineering

Adjunct prof.

NY

United States

  • Finance and Risk Engineering, NYU Tandon School of Engineering

SCHOLARLY PAPERS

25

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6,977

SSRN CITATIONS
Rank 36,220

SSRN RANKINGS

Top 36,220

in Total Papers Citations

16

CROSSREF CITATIONS

8

Scholarly Papers (25)

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1.

Momentum Strategies for the ETF-Based Portfolios

Number of pages: 20 Posted: 14 Nov 2018 Last Revised: 24 Apr 2019
Daniel Nadler and Anatoly B. Schmidt
Kensho Technologies and Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 1,742 (16,923)
Citation 1

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Momentum Strategies, Portfolio Management, ETFs

2.

Portfolio Theory in Terms of Partial Covariance

Number of pages: 19 Posted: 14 May 2014 Last Revised: 14 Jun 2016
Daniel Nadler and Anatoly B. Schmidt
Kensho Technologies and Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 958 (40,787)
Citation 2

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portfolio theory, portfolio performance, partial correlations

3.

Optimal ESG Portfolios: Which ESG Ratings to Use?

Number of pages: 22 Posted: 09 Jun 2021 Last Revised: 08 Jan 2022
Anatoly B. Schmidt and Xu Zhang
Finance and Risk Engineering, NYU Tandon School of Engineering and New York University (NYU) - NYU Tandon School of Engineering
Downloads 623 (72,543)
Citation 1

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portfolio choice, mean variance theory, ESG, Dow Jones Index

4.

Beta Hedging: Performance Measures, Momentum Weighting, and Rebalancing Effects

Number of pages: 10 Posted: 22 Apr 2018 Last Revised: 07 May 2018
Daniel Nadler and Anatoly B. Schmidt
Kensho Technologies and Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 455 (106,720)

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beta hedging, portfolio performance

5.

Ecology of the Modern Institutional Spot FX: The EBS Market in 2011

Number of pages: 28 Posted: 13 Jan 2012
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 447 (108,914)
Citation 7

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FX, high-frequency trading, market microstructure

6.

Optimal ESG Portfolios: An Example for the Dow Jones Index

Number of pages: 11 Posted: 13 Mar 2020 Last Revised: 18 May 2020
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 370 (135,409)
Citation 7

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portfolio choice, mean variance theory, ESG, Dow Jones Index

7.

The ESG Conundrum: An Outsider’s View

Number of pages: 7 Posted: 14 Oct 2021 Last Revised: 03 Nov 2021
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 318 (159,523)

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portfolio choice, portfolio performance measure, ESG

8.

What’s So Special about the Time Series Momentum?

Number of pages: 12 Posted: 24 Aug 2019
Haotian Cai and Anatoly B. Schmidt
Kensho Technologies and Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 317 (159,997)
Citation 1

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time series momentum, buy-and-hold strategy, simple moving average strategy

9.

Market Impact of Macroeconomic Announcements: Do Surprises Matter?

Number of pages: 23 Posted: 14 Jun 2014 Last Revised: 30 Jul 2015
Daniel Nadler and Anatoly B. Schmidt
Kensho Technologies and Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 294 (173,210)
Citation 1

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market impact; macroeconomic announcements; ARMA GARCH model

10.

News-Based ESG Ratings for Optimal Portfolios: SASB vs SDG

Number of pages: 18 Posted: 23 Jun 2022 Last Revised: 21 Jan 2023
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 250 (204,904)
Citation 1

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ESG, SASB, SDG, optimal ESG portfolios

11.

Taming HFT in the Multi-Dealer FX Market

Number of pages: 4 Posted: 06 Mar 2013
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 232 (219,462)

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high-frequency trading, FX, multi-dealer platforms, market making

12.

Expanding the Fama-French Factor Model with the Industry Beta

Number of pages: 31 Posted: 02 Aug 2023
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 212 (238,907)

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asset pricing, factor models, equity ETFs

13.

Comparing Mean-Variance Portfolios and Equal-Weight Portfolios for Major US Equity Indexes

Number of pages: 14 Posted: 12 Jun 2019 Last Revised: 20 Feb 2020
Haotian Cai and Anatoly B. Schmidt
Kensho Technologies and Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 173 (286,715)
Citation 5

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mean variance portfolio, equal weight portfolio, partial correlations, out-of-sample performance

14.

Forecasting Stock Prices with a News-Based Model

Number of pages: 20 Posted: 30 Sep 2022
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 160 (306,254)

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asset pricing, equity factors, ARMA model

15.

News-Based Optimal ESG Portfolios for the US Equity Sector ETFs

Number of pages: 22 Posted: 02 May 2022 Last Revised: 28 Mar 2023
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 120 (383,867)

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16.

Corrections in the US Equity Indexes and Sector ETFs

Number of pages: 20 Posted: 06 May 2019 Last Revised: 20 Oct 2019
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 100 (437,344)
Citation 1

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Market Corrections; US Equity Indexes; Equity Sector ETFs; ARMA+GARCH Model

17.

Impact of Earnings Announcements for Dow Jones Index Stocks

Number of pages: 10 Posted: 25 Feb 2020
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 84 (488,601)

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Earnings Announcements, Regression Model

18.

The True Invariant of an Arbitrage Free Portfolio: Finite Liquidity Effect

Number of pages: 6 Posted: 08 Sep 2012
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 83 (491,978)

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Option pricing, arbitrage free portfolio, liquidity

19.

An Impact of Greenhouse Gas Aversion on Optimal Portfolios

Number of pages: 15 Posted: 23 May 2023
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 39 (705,008)

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portfolio choice, mean variance theory, GHG emissions

20.

A News-Based Model for Pricing Equity ETF Holdings

The Journal of Beta Investment Strategies Spring 2023, 14 (1) 78-97
Posted: 12 Apr 2023
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering

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asset pricing, equity ETFs, ARMA model

21.

Managing Portfolio Diversity within the Mean Variance Theory

Annals of Operation Research, Vol. Schmidt, A.B. Ann Oper Res (2018). DOI: 10.1007/s10479-018-2896-x
Posted: 28 Oct 2016 Last Revised: 02 Nov 2018
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering

Abstract:

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Portfolio Theory, Mean Variance, Portfolio Diversification

22.

Persistent Interest Portfolios: Marrying Web Search Data with Mean Variance Theory

Journal of Investing, Vol. 25, No. 3, 2016, pp.135-141.
Posted: 14 Oct 2015 Last Revised: 23 Sep 2016
Daniel Nadler and Anatoly B. Schmidt
Kensho Technologies and Finance and Risk Engineering, NYU Tandon School of Engineering

Abstract:

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web search, mean variance theory

23.

Impact of Macroeconomic Announcements on ETF Trading Volumes

Journal of Trading, 2015, v10, N3, pp.31-35
Posted: 05 Apr 2015 Last Revised: 08 Jul 2015
Daniel Nadler and Anatoly B. Schmidt
Kensho Technologies and Finance and Risk Engineering, NYU Tandon School of Engineering

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daily trading volume, macroeconomic anouncements, ARIMA model

24.

Impact of Macroeconomic Announcements on US Equity Prices: 2009-2013

Journal of Forecasting 35, pp.34-42 (2016).
Posted: 26 Sep 2014 Last Revised: 31 Dec 2015
Daniel Nadler and Anatoly B. Schmidt
Kensho Technologies and Finance and Risk Engineering, NYU Tandon School of Engineering

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asset returns, macroeconomic announcements, ARMA GARCH model

25.

Impact of Trading in the Multi-Dealer Spot Foreign Exchange

Journal of Trading, 2016, Vol. 11, No. 1: pp. 68-75
Posted: 03 Jan 2012 Last Revised: 12 Jan 2016
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering

Abstract:

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FX, market impact, market microstructure, VAR