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JEL Code: C5

4,952,445 Total downloads

Viewing: 1 - 50 of 15,632 papers

1.

A Quantitative Approach to Tactical Asset Allocation

The Journal of Wealth Management, Spring 2007
Number of pages: 70 Posted: 11 Feb 2007 Last Revised: 03 Mar 2014
Accepted Paper Series
Cambria Investment Management
Downloads 268,343
2.

Relative Strength Strategies for Investing

Number of pages: 22 Posted: 06 Apr 2010 Last Revised: 20 Apr 2010
Working Paper Series
Cambria Investment Management
Downloads 80,492
3.

Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models

Number of pages: 69 Posted: 10 Apr 2023 Last Revised: 14 Apr 2024
Working Paper Series
University of Florida - Department of Finance, Insurance and Real Estate and University of Florida - Department of Finance
Downloads 62,991
4.

Financial Machine Learning

Number of pages: 159 Posted: 13 Jul 2023
Working Paper Series
Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 53,190
5.

Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks

2016 Charles H. Dow Award Updated Through December 31, 2020
Number of pages: 24 Posted: 07 Mar 2016 Last Revised: 09 Feb 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 40,194
6.

Lumber: Worth Its Weight in Gold Offense and Defense in Active Portfolio Management

2015 NAAIM Founders Award Winner Updated Through November 30, 2020
Number of pages: 20 Posted: 11 May 2015 Last Revised: 14 Feb 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 25,994
7.

Can Day Trading Really Be Profitable?

Number of pages: 18 Posted: 24 Apr 2023 Last Revised: 21 Feb 2024
Working Paper Series
Concretum Research and Peak Capital Trading
Downloads 22,751
8.

An Intermarket Approach to Beta Rotation: The Strategy, Signal, and Power of Utilities

2014 Charles H. Dow Award Winner Updated Through October 31, 2020
Number of pages: 18 Posted: 31 Mar 2014 Last Revised: 11 Jan 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 22,587
9.

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

Multiple version iconThere are 2 versions of this paper

Downloads 21,374
10.

Easy Volatility Investing

Number of pages: 34 Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads 18,932
11.

Alpha Generation and Risk Smoothing Using Managed Volatility

Number of pages: 37 Posted: 24 Aug 2010
Working Paper Series
Double-Digit Numerics
Downloads 16,326
12.

Dealing with Logs and Zeros in Regression Models

CREST - Série des Documents de Travail n° 2019-13
Number of pages: 71 Posted: 05 Sep 2019 Last Revised: 05 Apr 2022
Working Paper Series
CREST (Center for Research in Economics and Statistics) - ENSAE (National School for Statistics and Economic Administration), HEC MontrealCREST-ENSAE and Télécom Paris
Downloads 14,546
13.

An Investor’s Guide to Crypto

Number of pages: 29 Posted: 02 Jun 2022 Last Revised: 02 Sep 2022
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Ruffer LLP, Man AHL, Man Group, Man AHL and Man AHL
Downloads 14,351
14.

Rational Decision-Making under Uncertainty: Observed Betting Patterns on a Biased Coin

Number of pages: 8 Posted: 25 Oct 2016
Working Paper Series
Elm Partners and Proven
Downloads 13,186
15.

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 12,922
16.

The Micro-Price: A High Frequency Estimator of Future Prices

Number of pages: 14 Posted: 19 May 2017 Last Revised: 03 Jun 2020
Working Paper Series
Cornell Financial Engineering Manhattan
Downloads 11,979
17.

The Ohlson Model: Contribution to Valuation Theory, Limitations, and Empirical Applications

Sauder School of Business Working Paper
Number of pages: 48 Posted: 16 Mar 2000
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business and Northwestern University - Kellogg School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 11,791
18.

Deep Learning for Finance: Deep Portfolios

Applied Stochastic Models in Business and Industry 33 (1), 3-12.
Number of pages: 10 Posted: 14 Sep 2016 Last Revised: 17 Oct 2022
Accepted Paper Series
One Hat Research LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 11,470
19.

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 11,321
20.

The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies

ISMA Finance Discussion Paper No. 2002-08
Number of pages: 55 Posted: 05 Aug 2002
Working Paper Series
University of Sussex Business School and University of Reading - ISMA Centre
Downloads 11,134
21.

A Backtesting Protocol in the Era of Machine Learning

Number of pages: 18 Posted: 13 Nov 2018 Last Revised: 24 Nov 2018
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business and University of California at San Diego
Downloads 10,771
22.

Bitcoin Spreads Like a Virus

Number of pages: 19 Posted: 23 Apr 2019 Last Revised: 24 Feb 2024
Working Paper Series
Cane Island Digital Research
Downloads 10,506
23.

Volume Weighted Average Price (VWAP) The Holy Grail for Day Trading Systems

Number of pages: 26 Posted: 04 Dec 2023 Last Revised: 26 Dec 2023
Working Paper Series
Concretum Research and Peak Capital Trading
Downloads 10,444
24.

An Intermarket Approach to Tactical Risk Rotation: Using the Signaling Power of Treasuries to Generate Alpha and Enhance Asset Allocation

2014 Wagner Award, 3rd Place Updated Through November 30, 2020
Number of pages: 21 Posted: 01 May 2014 Last Revised: 20 Jan 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 10,402
25.

Factor Models, Machine Learning, and Asset Pricing

Number of pages: 35 Posted: 18 Oct 2021 Last Revised: 18 Feb 2022
Working Paper Series
Yale School of Management, Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 10,197
26.

A Generalized Earnings Model of Stock Valuation

Number of pages: 37 Posted: 18 Jul 1998
Working Paper Series
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 9,854
27.

Forecasting Volatility

Number of pages: 42 Posted: 13 Jul 1999
Working Paper Series
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 9,751
28.

Deep Learning in Asset Pricing

Number of pages: 75 Posted: 04 Apr 2019 Last Revised: 05 Aug 2021
Working Paper Series
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 9,623
29.

GPT-4 Passes the Bar Exam

382 Philosophical Transactions of the Royal Society A (2024)
Number of pages: 35 Posted: 15 Mar 2023 Last Revised: 03 Apr 2024
Accepted Paper Series
Illinois Tech - Chicago Kent College of Law, 273 Ventures, Casetext and Casetext
Downloads 9,546
30.

Deep Order Flow Imbalance: Extracting Alpha at Multiple Horizons from the Limit Order Book

Number of pages: 43 Posted: 09 Aug 2021
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences, University College London and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 9,318
31.

Instrumented Principal Component Analysis

Number of pages: 71 Posted: 09 Jun 2017 Last Revised: 28 Dec 2020
Working Paper Series
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 9,174
32.

A Stochastic Model for Order Book Dynamics

Number of pages: 23 Posted: 26 Sep 2008 Last Revised: 31 Aug 2009
Working Paper Series
University of Oxford, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 9,002
33.

TV Advertising Effectiveness and Profitability: Generalizable Results from 288 Brands

Number of pages: 46 Posted: 20 Jan 2020 Last Revised: 17 Apr 2021
Working Paper Series
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and Northwestern - Kellogg

Multiple version iconThere are 2 versions of this paper

Downloads 8,949
34.

Artificial Intelligence in Human Resources Management: Challenges and a Path Forward

Number of pages: 34 Posted: 01 Nov 2018 Last Revised: 06 May 2022
Working Paper Series
University of Pennsylvania Wharton School - Center for Human Resources, Wharton School, U. Pennsylvania and University of PennsylvaniaESSEC Business School
Downloads 8,838
35.

The Virtue of Complexity in Return Prediction

Swiss Finance Institute Research Paper No. 21-90, Journal of Finance, forthcoming
Number of pages: 141 Posted: 15 Dec 2021 Last Revised: 20 Oct 2023
Accepted Paper Series
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 8,432
36.

Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning

Swiss Finance Institute Research Paper No. 19-80
Number of pages: 14 Posted: 30 May 2019 Last Revised: 08 Aug 2022
Working Paper Series
XTX Markets, Ludwig-Maximilians-Universität München, ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 8,414
37.

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 8,277
38.

Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero

Journal of Economics and Financial Analysis, 2(2), 1-27
Number of pages: 27 Posted: 26 Feb 2018 Last Revised: 12 Jan 2021
Accepted Paper Series
London School of Commerce
Downloads 8,102
39.

Enhanced Portfolio Optimization

Lasse Heje Pedersen, Abhilash Babu, and Ari Levine (2021), Enhanced Portfolio Optimization, Financial Analysts Journal, 77:2, 124-151, DOI: 10.1080/0015198X.2020.1854543
Number of pages: 49 Posted: 02 Mar 2020 Last Revised: 30 Apr 2021
Accepted Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management
Downloads 7,941
40.

Should We Treat Data as Labor? Moving Beyond 'Free'

American Economic Association Papers & Proceedings, Vol. 1, No. 1, Forthcoming
Number of pages: 5 Posted: 29 Dec 2017
Accepted Paper Series
Stanford University, Columbia University, Federal Reserve Bank of Chicago, Microsoft Corporation and Plural Technology Collaboratory, Microsoft Research Special Projects
Downloads 7,898
41.

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
Accepted Paper Series
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 7,898
42.

GPT Takes the Bar Exam

Number of pages: 7 Posted: 31 Dec 2022 Last Revised: 03 Jan 2023
Working Paper Series
273 Ventures and Illinois Tech - Chicago Kent College of Law
Downloads 7,874
43.

Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices

Journal of Asset Management, Vol. 12, 3, 185-202, 2010
Number of pages: 22 Posted: 01 Jun 2013 Last Revised: 27 Nov 2014
Accepted Paper Series
John Moores University - Business School, University of Liverpool - Accounting and Finance Division and Harvest Alpha Capital
Downloads 7,398
44.

The Price Impact of Order Book Events

JOURNAL OF FINANCIAL ECONOMETRICS (Winter 2014) 12 (1): 47-88.
Number of pages: 32 Posted: 28 Nov 2010 Last Revised: 17 Sep 2015
Accepted Paper Series
University of Oxford, Tower Research Capital, LLC and Cornell Financial Engineering Manhattan
Downloads 7,376
45.

Using and Interpreting Fixed Effects Models

Number of pages: 40 Posted: 16 Oct 2020 Last Revised: 30 Mar 2021
Working Paper Series
Stanford Graduate School of Business
Downloads 7,363
46.

High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds

Number of pages: 27 Posted: 19 Jul 2004
Working Paper Series
London Business School
Downloads 7,230
47.

A Profitable Day Trading Strategy For The U.S. Equity Market

Number of pages: 25 Posted: 15 Mar 2024
Working Paper Series
Concretum Research, University of St. Gallen and Peak Capital Trading
Downloads 7,227
48.

The Exchange of Flow Toxicity

The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011; https://doi.org/10.3905/jot.2011.6.2.008. , Johnson School Research Paper Series No. 10-2011
Number of pages: 12 Posted: 17 Jul 2019 Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 7,002
49.

Momentum and Trend Following Trading Strategies for Currencies Revisited - Combining Academia and Industry

Number of pages: 22 Posted: 11 Apr 2017 Last Revised: 11 Jan 2019
Working Paper Series
Zurich University of Applied Sciences, Zurich University of Applied Sciences and University of Twente
Downloads 6,953
50.

Markov-Switching GARCH Models in R: The MSGARCH Package

Journal of Statistical Software, Vol. 91, Issue 4, 2019
Number of pages: 38 Posted: 02 Oct 2016 Last Revised: 20 Nov 2019
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 6,824