1.
Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models
Number of pages: 96
Posted: 10 Apr 2023
Last Revised: 04 Sep 2024
Working Paper Series
University of Florida - Department of Finance, Insurance and Real Estate and University of Florida - Department of Finance
Downloads
71,528
2.
Easy Volatility Investing
Number of pages: 34
Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads
19,927
3.
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 (UPF) - Faculty of Economic and Business Sciences and New York University (NYU) - Department of Finance
Downloads
13,125
4.
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
New York University (NYU) - Finance and Risk Engineering Department
Downloads
11,863
5.
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
10,821
6.
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
10,571
7.
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
9,828
8.
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
7,383
9.
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
Review of Financial Studies 28, 791-837, 2015
Number of pages: 67
Posted: 19 Aug 2013
Last Revised: 30 Jan 2019
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business, Xiamen University, Shanghai Jiao Tong University (SJTU), Antai College of Economics and Management, Students and Washington University in St. Louis - John M. Olin Business School
Downloads
7,159
10.
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
7,052
11.
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
6,958
12.
Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy
Number of pages: 28
Posted: 05 Jan 2013
Working Paper Series
Universidade Federal de Santa Catarina & CNPq and Federal University of Santa Catarina (UFSC) - Department of Economics
Downloads
6,773
13.
Valuing Customers
Journal of Marketing Research, pp. 7-18, February 2004, HBS Marketing Research Paper No. 03-08
Number of pages: 13
Posted: 13 Nov 2003
Last Revised: 27 Jul 2011
Accepted Paper Series
Harvard University - Business School (HBS), Columbia University - Columbia Business School, Marketing and Novartis International
Downloads
6,484
14.
Bond Risk Premia with Machine Learning
WBS Finance Group Research Paper No. 252
Number of pages: 86
Posted: 26 Aug 2018
Last Revised: 08 Apr 2020
Working Paper Series
Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and University of Notre Dame - Mendoza College of Business
Downloads
6,428
15.
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
6,121
16.
VolGAN: a generative model for arbitrage-free implied volatility surfaces
Number of pages: 45
Posted: 28 Nov 2023
Last Revised: 19 Feb 2025
Working Paper Series
University of Oxford and University of Oxford
Downloads
5,577
17.
Pe Ratios, Peg Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital
Number of pages: 39
Posted: 09 Sep 2003
Working Paper Series
University of Notre Dame - Department of Accountancy
There are 2 versions of this paper
Pe Ratios, Peg Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital
Number of pages: 39
Posted: 09 Sep 2003
Downloads
5,429
Downloads
5,429
18.
Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks
Number of pages: 34
Posted: 19 Jan 2023
Last Revised: 24 May 2023
Working Paper Series
University of Oxford, University of California, Los Angeles (UCLA) - Department of Mathematics and University of Oxford - Mathematical Institute
Downloads
5,352
19.
The Four Horsemen of Machine Learning in Finance
Number of pages: 24
Posted: 24 Sep 2019
Working Paper Series
Illinois Institute of Technology and Fidelity Investments, Inc.
Downloads
4,954
20.
Cross-Sectional Expected Returns: New Fama-MacBeth Regressions in the Era of Machine Learning
Review of Finance, forthcoming
Number of pages: 41
Posted: 13 Jun 2018
Last Revised: 08 Aug 2024
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, University of South Carolina - Darla Moore School of Business, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads
4,462
21.
Long-Term Investing in Triple Leveraged Exchange Traded Funds
Number of pages: 15
Posted: 13 Jan 2021
Working Paper Series
Independent
Downloads
3,921
22.
Application of Neural Networks to an Emerging Financial Market: Forecasting and Trading the Taiwan Stock Index
Number of pages: 42
Posted: 13 Aug 2001
Working Paper Series
National Chung Cheng University - Department of Finance, Cornell University - School of Applied Economics and Management and University of Texas at San Antonio - Department of Management Science and Statistics
Downloads
3,844
23.
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
3,798
Risk Everywhere: Modeling and Managing Volatility
CEPR Discussion Paper No. DP12687
Number of pages: 57
Posted: 14 Feb 2018
Downloads
4
Downloads
3,798
24.
Uncovering Trend Rules
Number of pages: 17
Posted: 12 May 2015
Working Paper Series
Robeco Institutional Asset Management and Fintelligence CCT
Downloads
3,794
25.
Investor Attention and Stock Returns
Number of pages: 52
Posted: 26 Jun 2018
Last Revised: 24 Aug 2020
Working Paper Series
Xiamen University - School of Economics, Hunan University - College of Finance and Statistics, Jinan University - Management School and Washington University in St. Louis - John M. Olin Business School
Downloads
3,769
26.
An Econometric Analysis of Emission Trading Allowances
Journal of Banking and Finance, Vol. 32, No. 10, 2008, Swiss Finance Institute Research Paper No. 06-26
Number of pages: 45
Posted: 26 Nov 2006
Last Revised: 21 Dec 2009
Accepted Paper Series
University of Edinburgh Business School and University of Zurich - Department Finance
Downloads
3,721
27.
Multiple Regression Model for Predicting GDP Using Macroeconomic Variables (Part 1)
Number of pages: 13
Posted: 30 Aug 2021
Last Revised: 01 Sep 2021
Working Paper Series
Independent
Downloads
3,675
28.
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
Number of pages: 62
Posted: 27 Aug 2008
Last Revised: 10 Apr 2009
Working Paper Series
Research Department, Federal Reserve Bank of Atlanta, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads
3,637
29.
Everything You Always Wanted to Know About Log Periodic Power Laws for Bubble Modelling But Were Afraid to Ask
European Journal of Finance, Forthcoming
Number of pages: 35
Posted: 01 Feb 2011
Accepted Paper Series
Moscow State University and National Research University Higher School of Economics (Moscow)
Downloads
3,612
30.
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, Complutense University of Madrid, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads
3,577
31.
Manager Sentiment and Stock Returns
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67
Posted: 21 Sep 2015
Last Revised: 13 Sep 2017
Working Paper Series
Xiamen University, Brigham Young University, Washington University in Saint Louis - Olin School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads
3,576
32.
Market Timing & Trading Strategies Using Asset Rotation
Number of pages: 31
Posted: 18 Jan 2010
Last Revised: 19 Feb 2010
Working Paper Series
University of Zurich - Department Finance and University of Athens, Department of Business Administration
Downloads
3,545
33.
Trading Volume Alpha
Number of pages: 52
Posted: 23 Apr 2024
Last Revised: 01 Aug 2024
Working Paper Series
McGill University - Desautels Faculty of Management, Yale SOM, Yale University, Yale SOMAQR Capital, Johns Hopkins University - Carey Business School and Hong Kong University of Science and Technology (Guangzhou)
There are 2 versions of this paper
Trading Volume Alpha
Number of pages: 52
Posted: 23 Apr 2024
Last Revised: 01 Aug 2024
Downloads
3,540
Downloads
15
Downloads
3,540
34.
Forecasting Stock Returns in Good and Bad Times: The Role of Market States
27th Australasian Finance and Banking Conference 2014 Paper, Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 41
Posted: 14 Dec 2012
Last Revised: 01 Aug 2017
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Xiamen University, Shanghai Jiao Tong University (SJTU), Antai College of Economics and Management, Students and Washington University in St. Louis - John M. Olin Business School
Downloads
3,478
35.
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
3,475
36.
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
3,475
37.
The Yield Curve as a Predictor of U.S. Recessions
Current Issues in Economics and Finance, Vol. 2, No. 7, June 1996
Number of pages: 6
Posted: 21 Jul 2007
Working Paper Series
Rensselaer Polytechnic Institute and Columbia University - Columbia Business School, Finance
Downloads
3,418
38.
Leveraged Buyout Bankruptcies, the Problem of Hindsight Bias, and the Credit Default Swap Solution
Columbia Business Law Review, Vol. 2011, No. 1, p. 118, 2011, Seton Hall Public Law Research Paper No. 1632084
Number of pages: 104
Posted: 17 Jul 2010
Last Revised: 25 Apr 2011
Accepted Paper Series
University of Southern California Gould School of Law and Davis Polk & Wardwell LLP - New York Office
Downloads
3,318
39.
Conditional Value-at-Risk: Aspects of Modeling and Estimation
Number of pages: 28
Posted: 07 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Department of Management Science & Engineering
Downloads
3,249
40.
Understanding the Decline in the Price of Oil Since June 2014
CFS Working Paper No. 501
Number of pages: 36
Posted: 29 Jan 2015
Last Revised: 31 Mar 2015
Working Paper Series
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
There are 3 versions of this paper
Understanding the Decline in the Price of Oil Since June 2014
CFS Working Paper No. 501
Number of pages: 36
Posted: 29 Jan 2015
Last Revised: 31 Mar 2015
Downloads
3,240
Understanding the Decline in the Price of Oil Since June 2014
CESifo Working Paper Series No. 5755
Number of pages: 41
Posted: 15 Mar 2016
Downloads
579
Understanding the Decline in the Price of Oil Since June 2014
CEPR Discussion Paper No. DP10404
Number of pages: 37
Posted: 10 Feb 2015
Downloads
5
Downloads
3,240
41.
Predicting Recessions Using VIX-Yield Curve Cycles
International Journal of Forecasting, Volume 40, Issue 1, January-March 2024, Pages 409-422.
Number of pages: 31
Posted: 18 Nov 2021
Last Revised: 07 Dec 2023
Accepted Paper Series
Federal Reserve Banks - Quantitative Supervision & Research
Downloads
3,197
42.
Machine Learning at Central Banks
Bank of England Working Paper No. 674
Number of pages: 89
Posted: 06 Sep 2017
Working Paper Series
Bank of England and Bank of England
Downloads
3,172
43.
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 Business, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department
Downloads
3,143
44.
Time-Series and Cross-Sectional Stock Return Forecasting: New Machine Learning Methods
Number of pages: 37
Posted: 01 Aug 2019
Working Paper Series
Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads
3,098
45.
Simple and Effective Market Timing with Tactical Asset Allocation
Number of pages: 13
Posted: 17 May 2014
Working Paper Series
Independent
Downloads
3,072
46.
Can the VIX Signal Market's Direction? An Asymmetric Dynamic Strategy
Number of pages: 24
Posted: 27 Jun 2007
Working Paper Series
Deutsche Bank, Fixed Income Research and UBS Global Asset Management
Downloads
3,029
47.
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
Number of pages: 33
Posted: 30 Apr 2009
Last Revised: 27 Jan 2010
Working Paper Series
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads
3,027
48.
Evaluating Performance of Regression Machine Learning Models Using Multiple Error Metrics in Azure Machine Learning Studio
Number of pages: 16
Posted: 24 May 2018
Working Paper Series
Financial University
Downloads
3,009
49.
The Financial Analyst Forecasting Literature: A Taxonomy with Suggestions for Further Research
International Journal of Forecasting, Vol. 24, No. 1, 2008
Number of pages: 42
Posted: 18 Feb 2008
Accepted Paper Series
University of Miami - Department of Accounting, University of Colorado at Boulder - Department of Accounting and College of William & Mary - Raymond A. Mason School of Business
Downloads
2,918
50.
Regime Switches in Interest Rates
Number of pages: 70
Posted: 01 Jun 1998
Working Paper Series
Columbia University - Columbia Business School, Finance and Columbia University
There are 2 versions of this paper
Regime Switches in Interest Rates
NBER Working Paper No. w6508
Number of pages: 71
Posted: 12 Jul 2000
Last Revised: 15 Oct 2022
Downloads
455
Downloads
2,892
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