John O'Brien

University College Cork - Department of Accounting, Finance and Information Systems

O'Rahilly Building

College Road

Cork

Ireland

University College Cork - Cork University Business School

West Wing, Main Quadrangle, College Road

Cork

Ireland

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 27,477

SSRN RANKINGS

Top 27,477

in Total Papers Downloads

1,729

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

Trends and Applications of Machine Learning in Quantitative Finance

8th International Conference on Economics and Finance Research (ICEFR 2019)
Number of pages: 9 Posted: 13 Jun 2019
University College Cork - Cork University Business School, University College Cork - Cork University Business School, University College Cork - Cork University Business School and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 992 (22,546)

Abstract:

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Machine Learning, Quantitative Finance, Portfolio Construction, Return Forecasting

2.

Time Series Momentum and Macroeconomic Risk

Number of pages: 45 Posted: 18 Jan 2015 Last Revised: 09 Oct 2018
Mark C. Hutchinson and John O'Brien
University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 511 (55,253)
Citation 2

Abstract:

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Trend Following, Time Series Momentum, Macroeconomic Risk, CTA

3.

Momentum, the Disposition Effect and Beta

Number of pages: 21 Posted: 23 Feb 2018
John O'Brien and Peter Best
University College Cork - Department of Accounting, Finance and Information Systems and Independent
Downloads 140 (211,592)

Abstract:

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Momentum, Disposition, Behavioural, Equities

4.

Does Convertible Arbitrage Risk Exposure Vary Through Time?

Number of pages: 34 Posted: 18 Apr 2015 Last Revised: 16 Jun 2018
Dublin City University Business School, University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 63 (356,026)

Abstract:

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Regime switching, hedge fund, convertible arbitrage, Risk Model

5.

When It Pays to Follow the Crowd: Strategy Conformity and CTA Performance

Number of pages: 36 Posted: 14 Nov 2019
Vanderbilt University - Finance, University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 23 (515,914)

Abstract:

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CTA, Strategy Distinctiveness

6.

Is This Time Different? Trend Following and Financial Crises

Posted: 21 May 2019
Mark C. Hutchinson and John O'Brien
University College Cork and University College Cork - Department of Accounting, Finance and Information Systems

Abstract:

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Trend Following, Time Series Momentum, Financial Crisis, CTA

7.

Testing Futures Trading Strategy Assumptions

Posted: 03 Apr 2018 Last Revised: 02 Dec 2019
Mark C. Hutchinson and John O'Brien
University College Cork and University College Cork - Department of Accounting, Finance and Information Systems

Abstract:

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Time Series Momentum, Commodity Trading Advisors, CTAs, Fees, Transaction Costs, Synthetic Futures

8.

Just a One Trick Pony? An Analysis of CTA Risk and Return

Posted: 10 Jun 2016 Last Revised: 22 May 2019
University College Cork, University College Cork, University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 0 (681,569)

Abstract:

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Performance measurement, Commodity Trading Advisors, CTAs, Alternative risk premia