1.
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
19,391
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
427
Downloads
19,391
2.
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
13,474
3.
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
10,999
4.
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
5.
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
9,725
6.
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
There are 2 versions of this paper
Factor Models, Machine Learning, and Asset Pricing
Annual Review of Financial Economics, Vol. 14, pp. 337-368, 2022
Posted: 10 Nov 2022
Factor Models, Machine Learning, and Asset Pricing
Number of pages: 35
Posted: 18 Oct 2021
Last Revised: 18 Feb 2022
Downloads
8,856
Downloads
8,856
7.
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
7,766
8.
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
7,418
9.
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
6,913
10.
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
6,855
11.
The Virtue of Complexity in Return Prediction
Swiss Finance Institute Research Paper No. 21-90, Journal of Finance, forthcoming
Number of pages: 122
Posted: 15 Dec 2021
Last Revised: 09 Jan 2023
Accepted Paper Series
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management
There are 3 versions of this paper
The Virtue of Complexity in Return Prediction
Swiss Finance Institute Research Paper No. 21-90, Journal of Finance, forthcoming
Number of pages: 122
Posted: 15 Dec 2021
Last Revised: 09 Jan 2023
Downloads
6,847
The Virtue of Complexity in Return Prediction
NBER Working Paper No. w30217
Number of pages: 116
Posted: 08 Jul 2022
Last Revised: 26 Jul 2023
Downloads
14
The Virtue of Complexity in Return Prediction
CEPR Discussion Paper No. DP17194
Number of pages: 103
Posted: 27 May 2022
Downloads
3
Downloads
6,847
12.
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
6,583
13.
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
6,220
14.
Short Interest and Aggregate Stock Returns
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 51
Posted: 02 Aug 2014
Last Revised: 20 Feb 2016
Working Paper Series
Research Department, Federal Reserve Bank of Atlanta, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads
5,986
15.
CDS Rate Construction Methods by Machine Learning Techniques
Number of pages: 51
Posted: 15 May 2017
Last Revised: 31 Oct 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads
5,557
16.
Managing Risk Exposures Using the Risk Budgeting Approach
Number of pages: 33
Posted: 23 Feb 2012
Last Revised: 10 Apr 2012
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads
5,533
17.
Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning
Number of pages: 20
Posted: 16 Mar 2018
Last Revised: 29 Mar 2018
Working Paper Series
Imperial College London - Department of Mathematics and University of Oxford
Downloads
5,114
18.
Forest Through the Trees: Building Cross-Sections of Stock Returns
Number of pages: 60
Posted: 19 Dec 2019
Last Revised: 05 Aug 2023
Working Paper Series
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads
4,506
19.
Principal Portfolios
Swiss Finance Institute Research Paper No. 20-67, NYU Stern School of Business
Number of pages: 98
Posted: 06 Aug 2020
Last Revised: 26 May 2021
Working Paper Series
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
There are 2 versions of this paper
Principal Portfolios
Swiss Finance Institute Research Paper No. 20-67, NYU Stern School of Business
Number of pages: 98
Posted: 06 Aug 2020
Last Revised: 26 May 2021
Downloads
4,466
Principal Portfolios
NBER Working Paper No. w27388
Number of pages: 72
Posted: 22 Jun 2020
Last Revised: 03 May 2023
Downloads
97
Downloads
4,466
20.
Risk Parity Portfolios with Risk Factors
Number of pages: 32
Posted: 03 Oct 2012
Last Revised: 06 Oct 2012
Working Paper Series
Amundi Asset Management and affiliation not provided to SSRN
Downloads
3,912
21.
Drawdowns
Number of pages: 19
Posted: 24 Apr 2020
Last Revised: 05 May 2020
Working Paper Series
Man AHL, University of Cambridge - Downing College, Duke University - Fuqua School of Business, Man Group plc, Man AHL and Man Group plc
Downloads
3,672
22.
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
3,541
Risk Everywhere: Modeling and Managing Volatility
CEPR Discussion Paper No. DP12687
Number of pages: 57
Posted: 14 Feb 2018
Downloads
3
Downloads
3,541
23.
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, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads
3,311
24.
Does it Pay to Be Green?
Number of pages: 16
Posted: 27 Feb 2017
Working Paper Series
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-SorbonneClimate Finance Alpha
Downloads
3,296
25.
Presidential Address: The Scientific Outlook in Financial Economics
Duke I&E Research Paper No. 2017-05
Number of pages: 38
Posted: 10 Jan 2017
Last Revised: 22 Dec 2017
Working Paper Series
Duke University - Fuqua School of Business
Downloads
3,207
26.
Stock Picking with Machine Learning
Number of pages: 45
Posted: 23 Jun 2020
Last Revised: 18 Aug 2023
Accepted Paper Series
Deka Investment GmbHTechnical University of Darmstadt and Allianz SE - Allianz Global Investors Europe
Downloads
3,156
27.
Stocks for the Long Run? Evidence from a Broad Sample of Developed Markets
Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 81
Posted: 03 Jun 2020
Last Revised: 19 Jan 2021
Accepted Paper Series
Emory University - Department of Finance, University of Arizona - Department of Finance and University of Missouri at Columbia - Department of Finance
Downloads
3,120
28.
The Bloomberg Corporate Default Risk Model (DRSK) for Public Firms
Number of pages: 33
Posted: 28 Aug 2021
Working Paper Series
Bloomberg L.P., Validationquant LLC, Bloomberg L.P., Bloomberg L.P., Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and Two Sigma
Downloads
2,981
29.
Understanding Cryptocurrencies
Number of pages: 39
Posted: 29 Apr 2019
Last Revised: 22 Sep 2020
Working Paper Series
Blockchain Research Center Humboldt-Universität zu Berlin, Duke University - Fuqua School of Business and International Research Training Group 1792
Downloads
2,964
30.
Cross-Sectional Expected Returns: New Fama-MacBeth Regressions in the Era of Machine Learning
Number of pages: 57
Posted: 13 Jun 2018
Last Revised: 30 Apr 2023
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
2,943
31.
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Number of pages: 61
Posted: 04 Dec 2019
Last Revised: 22 Jun 2022
Working Paper Series
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads
2,809
32.
A Proof of the Optimality of Volatility Weighting Over Time
Number of pages: 23
Posted: 20 Feb 2012
Last Revised: 15 Aug 2014
Working Paper Series
Fintelligence CCT
Downloads
2,571
33.
Measuring Investor Sentiment
Annual Review of Financial Economics, Forthcoming
Number of pages: 37
Posted: 11 Oct 2017
Last Revised: 17 Dec 2017
Accepted Paper Series
Washington University in St. Louis - John M. Olin Business School
There are 2 versions of this paper
Measuring Investor Sentiment
Annual Review of Financial Economics, Forthcoming
Number of pages: 37
Posted: 11 Oct 2017
Last Revised: 17 Dec 2017
Downloads
2,567
Measuring Investor Sentiment
Annual Review of Financial Economics, Vol. 10, pp. 239-259, 2018
Posted: 08 Nov 2018
Downloads
2,567
34.
Long-Term Investing in Triple Leveraged Exchange Traded Funds
Number of pages: 15
Posted: 13 Jan 2021
Working Paper Series
Independent
Downloads
2,495
35.
VPIN and the Flash Crash
Journal of Financial Markets, Vol. 17, pp. 1-46, 2014
Number of pages: 44
Posted: 09 Jul 2011
Last Revised: 18 Feb 2014
Accepted Paper Series
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads
2,495
36.
Strategic Risk Management: Out-of-Sample Evidence from the COVID-19 Equity Selloff
Number of pages: 11
Posted: 03 Aug 2020
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Man Group plc and Man AHL
Downloads
2,472
37.
Machine Learning and the Stock Market
Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 73
Posted: 27 Aug 2018
Last Revised: 31 Jan 2022
Working Paper Series
University of Utah - David Eccles School of Business and Stockholm University
Downloads
2,410
38.
Simple and Effective Market Timing with Tactical Asset Allocation Part 2 - Choices
Number of pages: 12
Posted: 05 Mar 2018
Last Revised: 27 Apr 2018
Working Paper Series
Independent
Downloads
2,338
39.
Be Skeptical of Asset Management Research
Number of pages: 6
Posted: 03 Sep 2021
Working Paper Series
Duke University - Fuqua School of Business
Downloads
2,311
40.
Enhancing Risk Parity by Including Views
Journal of Investing, 2017
Number of pages: 34
Posted: 12 Aug 2014
Last Revised: 20 Sep 2016
Accepted Paper Series
Robeco Investment Research, Fintelligence CCT, Robeco Asset Management and Robeco Asset Management
Downloads
2,244
41.
Trading volume and liquidity provision in cryptocurrency markets
Number of pages: 42
Posted: 13 Sep 2018
Last Revised: 20 Jun 2022
Working Paper Series
School of Economics and Finance, Queen Mary University of London, UNSW Business School and Lancaster University Management School
Downloads
2,232
42.
Investment Strategies with VIX and VSTOXX Futures
Number of pages: 44
Posted: 08 Nov 2013
Last Revised: 02 Dec 2013
Working Paper Series
University of Kent - Kent Business School and University of Sussex
Downloads
2,198
43.
The Misuse of Tobin's Q
UC Berkeley Public Law Research Paper
Number of pages: 50
Posted: 15 Feb 2018
Last Revised: 28 Jun 2018
Working Paper Series
Stanford Law School and University of California, Berkeley - School of Law
Downloads
2,189
44.
Machine-Learning in the Chinese Stock Market
Number of pages: 88
Posted: 18 Feb 2021
Last Revised: 12 Jul 2021
Working Paper Series
University of Zurich, University of Zurich - Department of Banking and Finance and affiliation not provided to SSRN
Downloads
2,102
45.
The Contributions of Betas versus Characteristics to the ESG Premium
CEIS Working Paper No. 413
Number of pages: 34
Posted: 20 Dec 2019
Last Revised: 03 Aug 2022
Working Paper Series
Tor Vergata University of Rome - Department of Economics and Finance, University of Gronigen - Faculty of Economics and Business and University of Groningen - Faculty of Economics and Business
Downloads
2,094
46.
Volatility Weighting Applied to Momentum Strategies
Journal of Alternative Investments, Forthcoming, https://doi.org/10.3905/jai.2017.19.3.040
Number of pages: 37
Posted: 29 Apr 2015
Last Revised: 22 May 2019
Accepted Paper Series
Independent and Fintelligence CCT
Downloads
2,091
47.
Predicting VIX with Adaptive Machine Learning
Number of pages: 71
Posted: 16 Jun 2021
Last Revised: 01 Mar 2023
Working Paper Series
IEEE and University of Liverpool Management School
Downloads
2,059
48.
Machine Learning for Predicting Stock Return Volatility
Swiss Finance Institute Research Paper No. 21-95
Number of pages: 63
Posted: 30 Dec 2021
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads
2,055
49.
Simply Better Market Betas
Number of pages: 38
Posted: 06 May 2019
Last Revised: 22 Jun 2021
Working Paper Series
University of California, Los Angeles (UCLA)
There are 2 versions of this paper
Simply Better Market Betas
Number of pages: 38
Posted: 06 May 2019
Last Revised: 22 Jun 2021
Downloads
2,037
Simpler Better Market Betas
NBER Working Paper No. w26105
Number of pages: 62
Posted: 02 Aug 2019
Last Revised: 01 May 2022
Downloads
113
Downloads
2,037
50.
Factors That Fit the Time Series and Cross-Section of Stock Returns
Number of pages: 61
Posted: 01 Aug 2018
Last Revised: 30 Jan 2020
Working Paper Series
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
There are 2 versions of this paper
Factors that Fit the Time Series and Cross-Section of Stock Returns
NBER Working Paper No. w24858
Number of pages: 60
Posted: 01 Aug 2018
Last Revised: 04 Jun 2023
Downloads
115
Factors that Fit the Time Series and Cross-Section of Stock Returns
CEPR Discussion Paper No. DP13049
Number of pages: 62
Posted: 16 Jul 2018
Last Revised: 30 Jul 2018
Downloads
2
Downloads
2,031
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