Anatoly B. Schmidt

Financial Risk and Engineering, NYU School of Engineering

Adjunct prof.

NY

United States

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 19,593

SSRN RANKINGS

Top 19,593

in Total Papers Downloads

2,770

SSRN CITATIONS

3

CROSSREF CITATIONS

7

Scholarly Papers (17)

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 Financial Risk and Engineering, NYU School of Engineering
Downloads 816 (32,982)
Citation 2

Abstract:

Loading...

portfolio theory, portfolio performance, partial correlations

2.

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 Financial Risk and Engineering, NYU School of Engineering
Downloads 510 (61,190)

Abstract:

Loading...

Momentum Strategies, Portfolio Management, ETFs

3.

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

Number of pages: 28 Posted: 13 Jan 2012
Anatoly B. Schmidt
Financial Risk and Engineering, NYU School of Engineering
Downloads 388 (84,977)
Citation 7

Abstract:

Loading...

FX, high-frequency trading, market microstructure

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 Financial Risk and Engineering, NYU School of Engineering
Downloads 252 (136,275)
Citation 1

Abstract:

Loading...

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 Financial Risk and Engineering, NYU School of Engineering
Downloads 251 (136,789)

Abstract:

Loading...

beta hedging, portfolio performance

6.

Taming HFT in the Multi-Dealer FX Market

Number of pages: 4 Posted: 06 Mar 2013
Anatoly B. Schmidt
Financial Risk and Engineering, NYU School of Engineering
Downloads 187 (180,683)

Abstract:

Loading...

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

7.

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 Financial Risk and Engineering, NYU School of Engineering
Downloads 100 (295,272)
Citation 1

Abstract:

Loading...

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

8.

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
Financial Risk and Engineering, NYU School of Engineering
Downloads 70 (365,924)
Citation 1

Abstract:

Loading...

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

9.

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

Number of pages: 6 Posted: 08 Sep 2012
Anatoly B. Schmidt
Financial Risk and Engineering, NYU School of Engineering
Downloads 67 (374,635)

Abstract:

Loading...

Option pricing, arbitrage free portfolio, liquidity

10.

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
Financial Risk and Engineering, NYU School of Engineering
Downloads 64 (383,495)
Citation 1

Abstract:

Loading...

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

11.

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 Financial Risk and Engineering, NYU School of Engineering
Downloads 34 (498,514)
Citation 1

Abstract:

Loading...

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

12.

Impact of Earnings Announcements for Dow Jones Index Stocks

Number of pages: 10 Posted: 25 Feb 2020
Anatoly B. Schmidt
Financial Risk and Engineering, NYU School of Engineering
Downloads 31 (513,439)

Abstract:

Loading...

Earnings Announcements, Regression Model

13.

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
Financial Risk and Engineering, NYU School of Engineering

Abstract:

Loading...

Portfolio Theory, Mean Variance, Portfolio Diversification

14.

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 Financial Risk and Engineering, NYU School of Engineering

Abstract:

Loading...

web search, mean variance theory

15.

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 Financial Risk and Engineering, NYU School of Engineering

Abstract:

Loading...

daily trading volume, macroeconomic anouncements, ARIMA model

16.

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 Financial Risk and Engineering, NYU School of Engineering

Abstract:

Loading...

asset returns, macroeconomic announcements, ARMA GARCH model

17.

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
Financial Risk and Engineering, NYU School of Engineering

Abstract:

Loading...

FX, market impact, market microstructure, VAR