Anatoly B. Schmidt

Kensho Technologies

World Trade Center, Suite 46J

NYC, NY 10007

United States

Financial Risk and Engineering, NYU School of Engineering

Adjunct prof.

NY

United States

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 21,874

SSRN RANKINGS

Top 21,874

in Total Papers Downloads

2,150

CITATIONS

4

Scholarly Papers (14)

1.

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 Kensho Technologies
Downloads 749 (32,331)
Citation 1

Abstract:

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portfolio theory, portfolio performance, partial correlations

2.

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

Number of pages: 28 Posted: 13 Jan 2012
Anatoly B. Schmidt
Kensho Technologies
Downloads 375 (77,859)
Citation 4

Abstract:

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FX, high-frequency trading, market microstructure

3.

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 Kensho Technologies
Downloads 275 (109,977)

Abstract:

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Momentum Strategies, Portfolio Management, ETFs

4.

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 Kensho Technologies
Downloads 242 (125,482)

Abstract:

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market impact; macroeconomic announcements; ARMA GARCH model

5.

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 Kensho Technologies
Downloads 186 (161,238)

Abstract:

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beta hedging, portfolio performance

6.

Taming HFT in the Multi-Dealer FX Market

Number of pages: 4 Posted: 06 Mar 2013
Anatoly B. Schmidt
Kensho Technologies
Downloads 182 (164,466)

Abstract:

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

7.

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

Number of pages: 6 Posted: 08 Sep 2012
Anatoly B. Schmidt
Kensho Technologies
Downloads 66 (337,857)

Abstract:

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Option pricing, arbitrage free portfolio, liquidity

8.

Corrections in the US Equity Indexes and Sector ETFs

Number of pages: 20 Posted: 06 May 2019 Last Revised: 31 Jul 2019
Anatoly B. Schmidt
Kensho Technologies
Downloads 56 (366,666)

Abstract:

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

9.

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

Number of pages: 13 Posted: 12 Jun 2019
Haotian Cai and Anatoly B. Schmidt
Kensho Technologies and Kensho Technologies
Downloads 19 (524,609)

Abstract:

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

10.

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
Kensho Technologies

Abstract:

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Portfolio Theory, Mean Variance, Portfolio Diversification

11.

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 Kensho Technologies

Abstract:

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web search, mean variance theory

12.

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 Kensho Technologies

Abstract:

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daily trading volume, macroeconomic anouncements, ARIMA model

13.

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 Kensho Technologies

Abstract:

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asset returns, macroeconomic announcements, ARMA GARCH model

14.

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
Kensho Technologies

Abstract:

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FX, market impact, market microstructure, VAR