Joseph A. Cerniglia

New York University (NYU) - Courant Institute of Mathematical Sciences

251 Mercer Street

New York, NY - 10012

United States

University of Pennsylvania - Department of Psychology

Philadelphia, PA 19104

United States

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

1.

Academic, Practitioner, and Investor Perspectives on Factor Investing

The Journal of Portfolio Management Quantitative Special Issue 2018, 44 (4) 10-16; DOI/10.3905/jpm.2018.44.4.010
Posted: 27 Jan 2020
Joseph A. Cerniglia and Frank J. Fabozzi
New York University (NYU) - Courant Institute of Mathematical Sciences and EDHEC Business School

Abstract:

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Factor Investing, Financial Economics, Quantitative Finance

2.

Accelerating Learning in Active Management: The Alpha-Brier Process

The Journal of Portfolio Management July 2019, 45 (5) 125-135; DOI/10.3905/jpm.2019.45.5.125
Posted: 27 Jan 2020
Joseph A. Cerniglia and Philip Tetlock
New York University (NYU) - Courant Institute of Mathematical Sciences and University of Pennsylvania

Abstract:

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Finance, Forecasting, Decision Science, Psychology, Quantitative Finance, Behavior Finance

3.

Best Practices in Research for Quantitative Equity Strategies

The Journal of Portfolio Management Special QES Issue 2016, 42 (5) 135-143; DOI/10.3905/jpm.2016.42.5.135
Posted: 27 Jan 2020
Joseph A. Cerniglia, Frank J. Fabozzi and Petter N. Kolm
New York University (NYU) - Courant Institute of Mathematical Sciences, EDHEC Business School and New York University (NYU) - Courant Institute of Mathematical Sciences

Abstract:

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Research methodology, quantitative finance, machine learning, psychology

4.

First Come First Disserved

Journal of Investment Management, Vol. 6, No. 2, Second Quarter 2008
Posted: 15 May 2008
Joseph A. Cerniglia and Joshua Livnat
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University

Abstract:

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Standardized unexpected earnings, drift, abnormal returns, timelines of earnings, industry information transfer