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

10

DOWNLOADS
Rank 8,585

SSRN RANKINGS

Top 8,585

in Total Papers Downloads

7,776

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (10)

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 5,611 (1,991)
Citation 1

Abstract:

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Machine Learning, Quantitative Finance, Portfolio Construction, Return Forecasting

2.

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

Journal of Futures Markets
Number of pages: 47 Posted: 14 Nov 2019 Last Revised: 09 Feb 2021
Vanderbilt University - Finance, University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 835 (41,460)

Abstract:

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CTA, Strategy Distinctiveness

3.

Time Series Momentum and Macroeconomic Risk

Number of pages: 48 Posted: 18 Jan 2015 Last Revised: 03 Feb 2022
Mark C. Hutchinson and John O'Brien
University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 619 (61,335)
Citation 2

Abstract:

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Trend Following, Time Series Momentum, Macroeconomic Risk, CTA

4.

Technical Trading Rule Profitability in Currencies: It’s All About Momentum

QMS Research Paper
Number of pages: 32 Posted: 02 Feb 2022 Last Revised: 12 Jul 2022
University College Cork, University College Cork - Cork University Business School, University College Cork - Department of Accounting, Finance and Information Systems, University College Cork - Cork University Business School and Queen's Management School, Queen's University Belfast
Downloads 269 (159,303)

Abstract:

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Momentum, technical trading rules, currencies

5.

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 188 (223,380)

Abstract:

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Momentum, Disposition, Behavioural, Equities

6.

Are Carry, Momentum and Value Still There in Currencies?

International Review of Financial Analysis, Forthcoming
Number of pages: 36 Posted: 03 Feb 2022 Last Revised: 12 Jul 2022
University College Cork, University College Cork - Cork University Business School, University College Cork - Department of Accounting, Finance and Information Systems, University College Cork - Cork University Business School and Queen's Management School, Queen's University Belfast
Downloads 172 (242,288)

Abstract:

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Currency return predictability, Carry, Momentum, Time series momentum, Cross sectional momentum, Value

7.

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 82 (409,390)

Abstract:

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Regime switching, hedge fund, convertible arbitrage, Risk Model

8.

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

9.

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

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

10.

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 (907,349)

Abstract:

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