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

9

DOWNLOADS
Rank 19,913

SSRN RANKINGS

Top 19,913

in Total Papers Downloads

2,627

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (9)

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 1,593 (11,685)

Abstract:

Loading...

Machine Learning, Quantitative Finance, Portfolio Construction, Return Forecasting

2.

Time Series Momentum and Macroeconomic Risk

Number of pages: 48 Posted: 18 Jan 2015 Last Revised: 22 Dec 2019
Mark C. Hutchinson and John O'Brien
University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 532 (55,966)
Citation 2

Abstract:

Loading...

Trend Following, Time Series Momentum, Macroeconomic Risk, CTA

3.

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 236 (140,587)

Abstract:

Loading...

CTA, Strategy Distinctiveness

4.

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 171 (189,326)

Abstract:

Loading...

Momentum, Disposition, Behavioural, Equities

5.

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 66 (366,332)

Abstract:

Loading...

Regime switching, hedge fund, convertible arbitrage, Risk Model

6.

Can European Electric Utilities Manage Asset Impairments Arising From Net Zero Carbon Targets?

Number of pages: 29 Posted: 02 Mar 2020
University of Oxford, University College Cork - Department of Accounting, Finance and Information Systems, University of Oxford - Smith School of Enterprise and the Environment, University College Cork and University College Cork
Downloads 29 (508,700)

Abstract:

Loading...

Stranded Assets; Asset Impairments; Climate Change; Utilities; Energy Transition

7.

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:

Loading...

Trend Following, Time Series Momentum, Financial Crisis, CTA

8.

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:

Loading...

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

9.

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 (718,528)

Abstract:

Loading...

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