Thomas Raffinot

Silex-IP

Silex-IP

12 rue robert planquette

Paris, 75018

France

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 17,889

SSRN RANKINGS

Top 17,889

in Total Papers Downloads

2,500

CITATIONS

0

Scholarly Papers (7)

1.

Hierarchical Clustering Based Asset Allocation

Number of pages: 27 Posted: 20 Sep 2016 Last Revised: 01 Dec 2018
Thomas Raffinot
Silex-IP
Downloads 1,036 (19,088)

Abstract:

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Hierarchical Clustering, Asset Allocation, Model Confidence Set, Portfolio Construction, Graph Theory, Financial Networks, Machine Learning, Risk Parity

2.

Can Macroeconomists Get Rich Nowcasting Output Gap Turning Points with a Simple Machine-Learning Algorithm?

Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Number of pages: 30 Posted: 07 Jan 2015 Last Revised: 05 May 2017
Thomas Raffinot
Silex-IP
Downloads 466 (56,750)

Abstract:

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Learning Vector Quantization, Economic turning points detection, Profit maximization measures, Model Confidence Set

3.

Time-Varying Risk Premiums and Economic Cycles

Number of pages: 30 Posted: 11 Apr 2017
Thomas Raffinot
Silex-IP
Downloads 386 (71,195)

Abstract:

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4.

Investing Through Economic Cycles with Ensemble Machine Learning Algorithms

Number of pages: 47 Posted: 28 May 2016 Last Revised: 11 Dec 2018
Thomas Raffinot and Sylvain Benoit
Silex-IP and Université Paris Dauphine - LEDa-SDFi
Downloads 238 (121,042)

Abstract:

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Random Forest, Boosting, Economic cycles, Profit maximization measures, Model Confidence Set, Machine Learning, Turning Points Detection

5.

Understanding the Impact of Large Scale Asset Purchases on Long-Term Government Bond Yields: The Quantitative Easing Paradox

Number of pages: 25 Posted: 06 Sep 2014 Last Revised: 26 Jun 2016
Thomas Raffinot
Silex-IP
Downloads 180 (157,668)

Abstract:

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6.

The Hierarchical Equal Risk Contribution Portfolio

Number of pages: 26 Posted: 20 Sep 2018
Thomas Raffinot
Silex-IP
Downloads 176 (160,890)

Abstract:

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Hierarchical Clustering, Asset Allocation, Model Confidence Set, Portfolio Construction, Graph Theory, Financial Networks, Machine Learning, Equal Risk Contribution

7.

Interest-Rates-Free Monetary Policy Rule

Mercatus Working Paper, Mercatus Center at George Mason University, Arlington, VA, 2017
Number of pages: 30 Posted: 31 May 2017
Thomas Raffinot
Silex-IP
Downloads 18 (504,790)

Abstract:

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monetary policy stance, interest rates, Taylor rule