1.
The Intuition Behind Black-Litterman Model Portfolios
Number of pages: 27
Posted: 28 Oct 2002
Working Paper Series
IndependentGoldman Sachs Group, Inc. - Quantitative Strategy Group and Kepos Capital
Downloads
28,252
2.
Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 8
Number of pages: 71
Posted: 16 Nov 2021
Last Revised: 17 Nov 2021
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine
Downloads
22,632
3.
Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 6
Number of pages: 84
Posted: 08 Nov 2021
Last Revised: 17 Nov 2021
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine
Downloads
21,828
4.
Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 9
Number of pages: 63
Posted: 10 Feb 2022
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine
Downloads
21,081
5.
Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 3
Number of pages: 51
Posted: 03 Nov 2021
Last Revised: 17 Nov 2021
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine
Downloads
20,420
6.
Kelly Criterion for Multivariate Portfolios: A Model-Free Approach
Number of pages: 15
Posted: 02 May 2013
Last Revised: 30 Sep 2014
Working Paper Series
letYourMoneyGrow.com
Downloads
15,058
7.
Machine Learning for Trading
Number of pages: 19
Posted: 14 Aug 2017
Last Revised: 04 Dec 2017
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads
13,679
8.
Mathematical Finance Introduction to Continuous Time Financial Market Models
Number of pages: 129
Posted: 02 Apr 2007
Working Paper Series
University of Glasgow
Downloads
12,652
9.
Efficient Simulation of the Heston Stochastic Volatility Model
Number of pages: 38
Posted: 22 Nov 2006
Working Paper Series
Bank of America
Downloads
12,235
10.
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
10,783
11.
A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
Number of pages: 42
Posted: 12 Aug 2010
Last Revised: 22 May 2012
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis and Washington University in St. Louis - John M. Olin Business School
Downloads
10,446
12.
Buy Low Sell High: A High Frequency Trading Perspective
Cartea, Álvaro, Sebastian Jaimungal, and Jason Ricci. "Buy low, sell high: A high frequency trading perspective." SIAM Journal on Financial Mathematics 5.1 (2014): 415-444.
Number of pages: 37
Posted: 26 Nov 2011
Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads
8,204
13.
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
7,785
14.
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
7,678
15.
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
7,664
16.
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
7,588
17.
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
7,439
18.
Price Theory
Journal of Economic Literature, Forthcoming
Number of pages: 80
Posted: 02 Jun 2014
Last Revised: 18 Apr 2017
Accepted Paper Series
Plural Technology Collaboratory, Microsoft Research Special Projects
Downloads
7,425
19.
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
6,961
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
6,961
20.
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
6,957
21.
Advances in Cointegration and Subset Correlation Hedging Methods
Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37
Posted: 08 Aug 2011
Last Revised: 31 Jan 2014
Accepted Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads
6,664
22.
Local Stochastic Volatility Models: Calibration and Pricing
Number of pages: 57
Posted: 11 Jun 2014
Last Revised: 15 Jul 2014
Working Paper Series
Independent
Downloads
6,413
23.
Introduction to Fast Fourier Transform in Finance
Research paper
Number of pages: 21
Posted: 29 Jun 2004
Last Revised: 28 Oct 2021
Working Paper Series
Bayes Business School, City, University of London
Downloads
6,388
24.
Discrete Time Finance
Number of pages: 104
Posted: 28 Mar 2007
Working Paper Series
University of Glasgow
Downloads
6,358
25.
Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals
Number of pages: 75
Posted: 27 Dec 2007
Working Paper Series
Two Sigma
Downloads
6,135
26.
Modelling Operational Risk
Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Number of pages: 23
Posted: 11 Dec 2001
Last Revised: 06 Jan 2010
Working Paper Series
Zurich Cantonal Bank, University of Basel, ETH Zürich - Department of Mathematics and Zurich Cantonal Bank
Downloads
5,807
27.
Real Options Valuation: A Monte Carlo Approach
Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper, WBS Finance Group Research Paper No. 14
Number of pages: 71
Posted: 06 Mar 2002
Working Paper Series
University of Warwick - Finance Group
Downloads
5,748
28.
Accountable Algorithms
University of Pennsylvania Law Review, Vol. 165, 2017 Forthcoming, Fordham Law Legal Studies Research Paper No. 2765268
Number of pages: 66
Posted: 16 Apr 2016
Last Revised: 20 Nov 2016
Accepted Paper Series
Naval Postgraduate School, Princeton University - Center for Information Technology Policy, Cornell UniversityMicrosoft Research, Princeton University - Center for Information Technology Policy, Fordham University School of Law, Georgetown University Law CenterUpturn and Princeton University - Center for Information Technology Policy
Downloads
5,597
29.
Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing
Number of pages: 45
Posted: 11 Aug 1999
Working Paper Series
Bank of America and Saxo Bank
Downloads
5,575
30.
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
5,561
31.
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
5,558
32.
Trend Filtering Methods for Momentum Strategies
Number of pages: 49
Posted: 07 Jul 2013
Working Paper Series
Lyxor Asset Management, affiliation not provided to SSRN, Eisler Capital and Amundi Asset Management
Downloads
5,342
33.
Arbitrage-Free SVI Volatility Surfaces
Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Number of pages: 27
Posted: 03 Apr 2012
Last Revised: 15 Jan 2014
Accepted Paper Series
CUNY Baruch College and Imperial College London
Downloads
5,250
34.
Markov Models for Commodity Futures: Theory and Practice
Number of pages: 45
Posted: 30 May 2008
Last Revised: 30 Dec 2008
Working Paper Series
Bank of America
Downloads
5,078
35.
Pricing Under Rough Volatility
Quantitative Finance, Vol. 16, No. 6, 887-904, 2016.
Number of pages: 42
Posted: 25 Jan 2015
Last Revised: 13 Jun 2016
Accepted Paper Series
Weierstras Institute for Applied Analysis and Stochastics (WIAS), Technische Universität Berlin (TU Berlin) and CUNY Baruch College
Downloads
5,065
36.
Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies
Number of pages: 102
Posted: 09 Oct 2017
Working Paper Series
Ecole Polytechnique, Paris - Centre De Mathématiques Appliquées (CMAP), StudentsEcole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and affiliation not provided to SSRN
Downloads
5,061
37.
Automated Trading with Boosting and Expert Weighting
Quantitative Finance, Vol. 4, No. 10, pp. 401–420
Number of pages: 18
Posted: 17 Oct 2006
Last Revised: 20 Feb 2013
Accepted Paper Series
Stevens Institute of Technology, School of Business and University of California, San Diego
Downloads
5,055
38.
Moment Explosions in Stochastic Volatility Models
Number of pages: 32
Posted: 29 Jun 2004
Working Paper Series
Bank of America and NatWest MarketsImperial College London
Downloads
4,891
39.
Implied Binomial Trees in Excel Without Vba
Number of pages: 21
Posted: 08 May 2004
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance and Washington and Lee University - Department of Business Administration
Downloads
4,854
40.
Machine Learning and the Implementable Efficient Frontier
Swiss Finance Institute Research Paper No. 22-63
Number of pages: 70
Posted: 18 Aug 2022
Last Revised: 19 Aug 2022
Working Paper Series
Copenhagen Business School, Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads
4,749
41.
Balanced Baskets: A New Approach to Trading and Hedging Risks
Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44
Posted: 24 May 2012
Last Revised: 08 Sep 2012
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
4,598
42.
Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 1
Number of pages: 40
Posted: 02 Nov 2021
Last Revised: 17 Nov 2021
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine
Downloads
4,571
43.
Modern Perspectives on Reinforcement Learning in Finance
The Journal of Machine Learning in Finance, Vol. 1, No. 1, 2020.
Number of pages: 28
Posted: 16 Sep 2019
Last Revised: 16 Mar 2021
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads
4,553
44.
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
4,503
Principal Portfolios
NBER Working Paper No. w27388
Number of pages: 72
Posted: 22 Jun 2020
Last Revised: 03 May 2023
Downloads
97
Downloads
4,503
45.
A Model of Credit Risk, Optimal Policies, and Asset Prices
Number of pages: 45
Posted: 21 Mar 2001
Working Paper Series
London Business School and New York University (NYU) - Department of Finance
There are 5 versions of this paper
A Model of Credit Risk, Optimal Policies, and Asset Prices
Number of pages: 45
Posted: 21 Mar 2001
Downloads
4,466
A Model of Credit Risk, Optimal Policies, and Asset Prices
NYU Working Paper No. FIN-03-047
Number of pages: 46
Posted: 11 Nov 2008
Downloads
109
A Model of Credit Risk, Optimal Policies, and Asset Prices
NYU Working Paper No. S-CDM-03-20
Number of pages: 46
Posted: 05 Nov 2008
Downloads
90
A Model of Credit Risk, Optimal Policies, and Asset Prices
NYU Working Paper No. FIN-00-029
Number of pages: 41
Posted: 04 Nov 2008
Downloads
70
A Model of Credit Risk, Optimal Policies and Asset Prices
Number of pages: 43
Posted: 31 Jul 2002
Downloads
32
Downloads
4,466
46.
Managing Risks in a Risk-On/Risk-Off Environment
Number of pages: 50
Posted: 23 Sep 2012
Last Revised: 26 May 2014
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
4,433
47.
The Quantification of Operational Risk
Number of pages: 38
Posted: 30 Dec 2003
Working Paper Series
University of Zurich and University of Basel
There are 2 versions of this paper
The Quantification of Operational Risk
Journal of Risk, Vol. 8, No. 1, Fall 2005
Posted: 08 Nov 2005
Downloads
4,377
48.
Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach
Rapport Interne CMAP Working Paper No. 490
Number of pages: 39
Posted: 22 Nov 2002
Working Paper Series
University of Oxford and ENSAE, Institut Polytechnique de Paris
Downloads
4,364
49.
The Irony in the Derivatives Discounting Part II: The Crisis
Number of pages: 12
Posted: 14 Jul 2009
Last Revised: 19 Dec 2009
Working Paper Series
muRisQ Advisory
There are 2 versions of this paper
The Irony in the Derivatives Discounting Part II: The Crisis
Number of pages: 12
Posted: 14 Jul 2009
Last Revised: 19 Dec 2009
Downloads
4,342
The Irony in the Derivatives Discounting Part II: The Crisis
Wilmott Journal, Vol. 2, pp. 301-316, 2010
Posted: 28 Sep 2011
Downloads
4,342
50.
Facts and Fantasies About Factor Investing
Number of pages: 112
Posted: 16 Nov 2014
Last Revised: 28 Nov 2014
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads
4,338
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