1.
Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay
Number of pages: 33
Posted: 04 Apr 2013
Last Revised: 13 Jun 2015
Working Paper Series
Portfolio Management Consultants
Downloads
34,318
2.
A Simplified Approach to Understanding the Kalman Filter Technique
Number of pages: 24
Posted: 07 May 2005
Last Revised: 17 Apr 2008
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business, Auburn University and Georgia State University - Department of Finance
Downloads
20,977
3.
Empirical Asset Pricing via Machine Learning
Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79
Posted: 09 Apr 2018
Last Revised: 15 Sep 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
There are 2 versions of this paper
Empirical Asset Pricing via Machine Learning
Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79
Posted: 09 Apr 2018
Last Revised: 15 Sep 2019
Downloads
19,405
Empirical Asset Pricing Via Machine Learning
NBER Working Paper No. w25398
Number of pages: 80
Posted: 26 Dec 2018
Last Revised: 26 May 2023
Downloads
428
Downloads
19,405
4.
Imitation is the Sincerest Form of Flattery: Warren Buffett and Berkshire Hathaway
Number of pages: 51
Posted: 26 Sep 2005
Last Revised: 05 May 2008
Working Paper Series
American University - Kogod School of Business and University of Nevada, Las Vegas - Department of Finance
Downloads
19,233
5.
The Dow Theory: William Peter Hamilton's Track Record Re-Considered
Number of pages: 46
Posted: 11 Feb 1998
Working Paper Series
New York University - Stern School of Business, University of Miami - Miami Herbert Business School and Yale School of Management - International Center for Finance
There are 2 versions of this paper
The Dow Theory: William Peter Hamilton's Track Record Re-Considered
Number of pages: 46
Posted: 11 Feb 1998
Downloads
14,574
The Dow Theory: William Peter Hamilton's Track Record Re-Considered
NYU Working Paper No. FIN-98-013
Number of pages: 45
Posted: 07 Nov 2008
Downloads
946
Downloads
14,574
6.
Alpha Generation and Risk Smoothing Using Managed Volatility
Number of pages: 37
Posted: 24 Aug 2010
Working Paper Series
Double-Digit Numerics
Downloads
14,045
7.
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
Number of pages: 47
Posted: 18 May 2010
Last Revised: 05 Aug 2016
Working Paper Series
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and New York University (NYU) - Department of Finance
Downloads
12,764
8.
How Much Should We Trust Staggered Difference-In-Differences Estimates?
European Corporate Governance Institute – Finance Working Paper No. 736/2021, Rock Center for Corporate Governance at Stanford University Working Paper No. 246, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61
Posted: 01 Mar 2021
Last Revised: 27 Jan 2022
Working Paper Series
Berkeley Law School, Stanford University - Graduate School of Business and Harvard Business School (HBS)
Downloads
11,848
9.
Effects of Word-of-Mouth versus Traditional Marketing: Findings from an Internet Social Networking Site
Robert H. Smith School Research Paper No. RHS 06-065
Number of pages: 49
Posted: 08 May 2008
Last Revised: 19 Jun 2014
Working Paper Series
University of Maryland - Robert H. Smith School of Business, UCLA Anderson School of Management and Ozyegin University
Downloads
11,790
10.
Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits
Number of pages: 24
Posted: 08 Apr 2016
Last Revised: 13 Apr 2016
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads
10,942
11.
Machine Learning in Asset Management
JFDS: https://jfds.pm-research.com/content/2/1/10
Number of pages: 65
Posted: 18 Jul 2019
Last Revised: 23 Jun 2020
Working Paper Series
The Alan Turing Institute
Downloads
10,770
12.
Bitcoin Spreads Like a Virus
Number of pages: 19
Posted: 23 Apr 2019
Last Revised: 19 Jan 2021
Working Paper Series
Cane Island Alternative Advisors
Downloads
10,125
13.
Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less
Number of pages: 37
Posted: 19 Jul 2017
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads
9,846
14.
Momentum and Markowitz: A Golden Combination
Number of pages: 34
Posted: 16 May 2015
Last Revised: 05 Jun 2015
Working Paper Series
VU University Amsterdam, ReSolve Asset Management and QuantStrat TradeR
Downloads
9,416
15.
Augmented Dickey Fuller Test
Number of pages: 19
Posted: 17 Aug 2011
Working Paper Series
Université Paris I Panthéon-Sorbonne
Downloads
8,776
16.
A Multifractal Model of Asset Returns
Cowles Foundation Discussion Paper No. 1164, Sauder School of Business Working Paper
Number of pages: 33
Posted: 21 Apr 1998
Working Paper Series
Yale University - International Center for Finance, University of British Columbia (UBC) - Sauder School of Business and SKEMA Business School
Downloads
8,728
17.
Lucky Factors
Number of pages: 99
Posted: 22 Nov 2014
Last Revised: 08 Apr 2021
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads
8,211
18.
Value at Risk Models in Finance
ECB Working Paper No. 75
Number of pages: 41
Posted: 25 Feb 2003
Working Paper Series
European Central Bank (ECB) and New York University (NYU) - Department of Finance
Downloads
7,939
19.
Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR
Number of pages: 25
Posted: 05 Mar 2019
Last Revised: 13 Feb 2020
Working Paper Series
Quantitative Risk Management, Inc. and Bloomberg L.P.
Downloads
7,584
20.
Asset Allocation with Crypto: Application of Preferences for Positive Skewness
Number of pages: 43
Posted: 02 Apr 2022
Working Paper Series
BlackRock, Inc, BlackRock, Inc and BlackRock, Inc
Downloads
7,445
21.
Machine Learning for Stock Selection
Financial Analysts Journal, vol. 75, no. 3 (Third Quarter 2019)
Number of pages: 35
Posted: 04 Mar 2019
Last Revised: 09 Aug 2019
Accepted Paper Series
Gresham Investment Management, LLC and Arwen Advisors
Downloads
7,427
22.
Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)
Number of pages: 29
Posted: 01 Aug 2018
Last Revised: 07 Sep 2021
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads
7,087
23.
A Better Measure of Relative Prediction Accuracy for Model Selection and Model Estimation
Journal of the Operational Research Society (2015) 66, 1352–1362
Number of pages: 25
Posted: 25 Jul 2015
Accepted Paper Series
University of Hertfordshire Business School
Downloads
5,412
24.
Energy Shocks and Financial Markets
Journal of Futures Markets, Vol. 16, No. 1, pp. 1-27, 1996
Number of pages: 38
Posted: 16 May 2006
Accepted Paper Series
University of Notre Dame, University of New South Wales, Sydney and Vanderbilt University - Finance
Downloads
4,354
25.
Relative and Absolute Momentum in Times of Rising/Low Yields: Bold Asset Allocation (BAA)
Number of pages: 14
Posted: 25 Jul 2022
Working Paper Series
VU University Amsterdam
Downloads
4,352
26.
Incrementality Bidding & Attribution
Number of pages: 40
Posted: 06 Mar 2018
Last Revised: 12 Mar 2018
Working Paper Series
Amazon and Netflix
Downloads
4,274
27.
Growth-Trend Timing and 60-40 Variations: Lethargic Asset Allocation (LAA)
Number of pages: 15
Posted: 15 Dec 2019
Last Revised: 22 Jan 2020
Working Paper Series
VU University Amsterdam
Downloads
3,827
28.
Glossary to ARCH (GARCH)
CREATES Research Paper 2008-49
Number of pages: 46
Posted: 04 Sep 2008
Working Paper Series
Duke University - Finance
Downloads
3,815
29.
Principal Component Analysis of Volatility Smiles and Skews
Number of pages: 16
Posted: 08 Dec 2000
Working Paper Series
University of Sussex Business School
Downloads
3,619
30.
Determinants of Unemployment in Bangladesh: A Case Study
Developing Country Studies, Vol.4, No.3, 2014
Number of pages: 5
Posted: 01 Mar 2014
Working Paper Series
University of Chittagong and Jatiya Kabi Kazi Nazrul Islam University
Downloads
3,612
31.
LIBOR Manipulation?
Number of pages: 49
Posted: 05 Aug 2008
Last Revised: 11 Aug 2008
Working Paper Series
Berkeley Research Group, LLC, University of Houston - C.T. Bauer College of Business, The Brattle Group and Milgard School of Business, UWT
Downloads
3,581
32.
Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
Number of pages: 31
Posted: 21 Feb 2011
Working Paper Series
National Chung Hsing University - Department of Applied Economics, Department of Finance, Complutense University of Madrid, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads
3,545
33.
The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation
Number of pages: 45
Posted: 08 Nov 2005
Working Paper Series
Bates College
Downloads
3,544
34.
Risk Everywhere: Modeling and Managing Volatility
Number of pages: 54
Posted: 28 Jan 2016
Last Revised: 22 Mar 2017
Working Paper Series
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
There are 2 versions of this paper
Risk Everywhere: Modeling and Managing Volatility
Number of pages: 54
Posted: 28 Jan 2016
Last Revised: 22 Mar 2017
Downloads
3,543
Risk Everywhere: Modeling and Managing Volatility
CEPR Discussion Paper No. DP12687
Number of pages: 57
Posted: 14 Feb 2018
Downloads
3
Downloads
3,543
35.
Testing the Fama and French Three-Factor Model and its Variants for the Indian Stock Returns
Number of pages: 35
Posted: 11 Dec 2006
Working Paper Series
affiliation not provided to SSRN
Downloads
3,497
36.
Expected Stock Returns and Variance Risk Premia
AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41
Posted: 21 Sep 2006
Last Revised: 14 Dec 2008
Working Paper Series
Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance
There are 2 versions of this paper
Expected Stock Returns and Variance Risk Premia
AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41
Posted: 21 Sep 2006
Last Revised: 14 Dec 2008
Downloads
3,491
Expected Stock Returns and Variance Risk Premia
Finance and Economics (FEDS) Discussion Paper No. W 2007-11
Number of pages: 33
Posted: 17 Sep 2009
Downloads
367
Downloads
3,491
37.
Which Variables Predict and Forecast Stock Market Returns?
Number of pages: 29
Posted: 29 Jun 2016
Working Paper Series
University of Stirling
Downloads
3,442
38.
Statistical Arbitrage: Medium Frequency Portfolio Trading
Number of pages: 27
Posted: 25 Jun 2013
Last Revised: 09 Jul 2013
Working Paper Series
Independent
Downloads
3,424
39.
Testing Weak-Form Efficiency of the Russian Stock Market
EFA 2002 Berlin Meetings Presented Paper
Number of pages: 27
Posted: 11 Mar 2002
Working Paper Series
Deloitte & Touche, LLP, University of Cambridge - Judge Business School and University of Nijmegen, Nijmegen School of Management
Downloads
3,394
40.
A Simple Long Memory Model of Realized Volatility
Number of pages: 27
Posted: 07 Dec 2004
Working Paper Series
University of Pisa - Department of Economics
Downloads
3,336
41.
Macroeconomic Factors and Stock Market Movement: Evidence from Ghana
Number of pages: 26
Posted: 26 Oct 2008
Last Revised: 16 Mar 2009
Working Paper Series
University of Cape Coast - School of Business and University of Leicester - School of Management
Downloads
3,218
42.
A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)?
Brown Univ. Economics Working Paper No. 01-04
Number of pages: 23
Posted: 13 Apr 2001
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and CREATESAarhus University - School of Business and Social Sciences
Downloads
3,206
43.
The Impact of COVID-19 on Exchange Rate Volatility: Evidence Through GARCH Model
Number of pages: 15
Posted: 28 May 2020
Working Paper Series
University of Sousse - LAMIDED Laboratory and King Faisal University (KFU)
Downloads
3,175
44.
Value at Risk (VAR) in Real Options Analysis
Number of pages: 42
Posted: 20 May 2003
Working Paper Series
University of L'Aquila - Department of Information Engineering, Computer Science
Downloads
3,150
45.
Lazy Momentum with Growth-Trend timing: Resilient Asset Allocation (RAA)
Number of pages: 9
Posted: 11 Jan 2021
Last Revised: 10 Mar 2021
Working Paper Series
VU University Amsterdam
Downloads
3,093
46.
Brexit and Foreign Investment in the UK
Number of pages: 27
Posted: 07 May 2016
Working Paper Series
University of Warwick - Warwick Business School and Aston University
Downloads
3,024
47.
The Yield Curve and Predicting Recessions
FEDs Working Paper No. 2006-7
Number of pages: 21
Posted: 03 May 2006
Working Paper Series
Johns Hopkins University - Department of Economics
Downloads
3,003
48.
Model Selection Using Database Characteristics: Developing a Classification Tree for Longitudinal Incidence Data
Number of pages: 50
Posted: 18 Jun 2012
Last Revised: 11 Jul 2013
Working Paper Series
University of Michigan, Stephen M. Ross School of BusinessUniversity of Pennsylvania - Marketing Department, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department
Downloads
2,998
49.
Do Mutual Funds Perform When it Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions
Number of pages: 53
Posted: 30 Aug 2006
Last Revised: 02 Sep 2011
Working Paper Series
Imperial College Business School
There are 2 versions of this paper
Do Mutual Funds Perform When it Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions
Number of pages: 53
Posted: 30 Aug 2006
Last Revised: 02 Sep 2011
Downloads
2,994
Do Mutual Funds Perform When it Matters Most to Investors? U.S. Mutual Fund Performance and Risk in Recessions and Expansions
Quarterly Journal of Finance, Vol. 1, No. 3, November 2011
Posted: 25 Aug 2011
Last Revised: 05 Sep 2011
Downloads
2,994
50.
Testing the Significance of Calendar Effects
Federal Reserve Bank of Atlanta Working Paper No. 2005-02
Number of pages: 30
Posted: 26 May 2003
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics, CREATESAarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads
2,979
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.