Ondrej Tobek

University of Cambridge - Faculty of Economics

Sidgwick Avenue

Cambridge, CB3 9DD

United Kingdom

SCHOLARLY PAPERS

5

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1,091

SSRN CITATIONS
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Top 44,812

in Total Papers Citations

7

CROSSREF CITATIONS

8

Scholarly Papers (5)

1.

Does It Pay to Follow Anomalies Research? Machine Learning Approach with International Evidence

Number of pages: 51 Posted: 08 Mar 2018 Last Revised: 24 Sep 2018
Ondrej Tobek and Martin Hronec
University of Cambridge - Faculty of Economics and Charles University in Prague - Institute of Economic Studies
Downloads 406 (86,188)
Citation 6

Abstract:

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Anomalies, International Finance, Machine Learning, Neural Network, Random Forest.

2.

Are Volatility Over Volume Liquidity Proxies Useful for Global or US Research?

Kelley School of Business Research Paper No. 17-49
Number of pages: 60 Posted: 20 Jun 2017 Last Revised: 06 Mar 2018
University of New South Wales - School of Banking and Finance, Indiana University - Kelley School of Business - Department of Finance and University of Cambridge - Faculty of Economics
Downloads 332 (108,095)
Citation 7

Abstract:

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Liquidity, Transaction Cost Invariance, Effective Spread, Lambda

3.

Does the Source of Fundamental Data Matter?

Number of pages: 78 Posted: 01 Apr 2018 Last Revised: 03 Aug 2018
Ondrej Tobek and Martin Hronec
University of Cambridge - Faculty of Economics and Charles University in Prague - Institute of Economic Studies
Downloads 173 (204,835)
Citation 2

Abstract:

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Anomalies, Datastream, Fundamental data

4.

The October 2016 Sterling Flash Episode: When Liquidity Disappeared from One of the World's Most Liquid Markets

Bank of England Working Paper No. 687
Number of pages: 30 Posted: 09 Nov 2017
Bank of England, Bank of England, University of Cambridge - Faculty of Economics, University of Cambridge and Bank of England
Downloads 99 (313,727)
Citation 3

Abstract:

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Flash Crash, Foreign Exchange Market, Liquidity, Price Impact

5.

Does Data Mining Add Any Value to Academic Research? Fundamental Anomalies in Multiple Hypothesis Setting

Number of pages: 63 Posted: 09 Nov 2017 Last Revised: 03 Aug 2018
Ondrej Tobek
University of Cambridge - Faculty of Economics
Downloads 81 (355,436)

Abstract:

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fundamental strategies, data mining, international evidence