Anatoly B. Schmidt

Finance and Risk Engineering, NYU Tandon School of Engineering

Adjunct prof.

NY

United States

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 13,507

SSRN RANKINGS

Top 13,507

in Total Papers Downloads

5,315

SSRN CITATIONS

3

CROSSREF CITATIONS

8

Scholarly Papers (23)

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 1,322 (21,790)
Citation 1

Abstract:

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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 915 (37,110)
Citation 2

Abstract:

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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 469 (87,940)

Abstract:

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

4.

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 420 (99,974)
Citation 7

Abstract:

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FX, high-frequency trading, market microstructure

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 Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 378 (113,150)

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beta hedging, portfolio performance

6.

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 272 (160,057)
Citation 1

Abstract:

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market impact; macroeconomic announcements; ARMA GARCH model

7.

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 268 (163,115)
Citation 2

Abstract:

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

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 264 (164,914)
Citation 1

Abstract:

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

9.

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 222 (195,013)

Abstract:

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portfolio choice, portfolio performance measure, ESG

10.

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 208 (207,169)

Abstract:

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

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 Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 121 (322,953)
Citation 1

Abstract:

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

12.

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

Number of pages: 16 Posted: 23 Jun 2022
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 91 (390,482)

Abstract:

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ESG, SASB, SDG, optimal ESG portfolios

13.

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 87 (401,360)
Citation 1

Abstract:

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

14.

A News-Based Model for Stock Pricing

Number of pages: 21 Posted: 12 Aug 2022 Last Revised: 22 Sep 2022
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 72 (447,145)

Abstract:

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asset pricing, equity factors, ARMA model

15.

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 70 (454,065)

Abstract:

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Option pricing, arbitrage free portfolio, liquidity

16.

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 68 (460,855)

Abstract:

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Earnings Announcements, Regression Model

17.

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

Number of pages: 22 Posted: 02 May 2022
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 51 (528,195)

Abstract:

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18.

Forecasting Stock Prices with a News-Based Model

Number of pages: 20
Anatoly B. Schmidt
Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 17

Abstract:

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asset pricing, equity factors, ARMA model

19.

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

20.

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

21.

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

Abstract:

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daily trading volume, macroeconomic anouncements, ARIMA model

22.

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

Abstract:

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asset returns, macroeconomic announcements, ARMA GARCH model

23.

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