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JEL Code: C61

1,519,072 Total downloads

Viewing: 1 - 50 of 5,361 papers

1.

The Intuition Behind Black-Litterman Model Portfolios

Number of pages: 27 Posted: 28 Oct 2002
Working Paper Series
Guangliang He, Guangliang He and Robert Litterman
IndependentGoldman Sachs Group, Inc. - Quantitative Strategy Group and Kepos Capital
Downloads 31,813
2.

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
Vasily Nekrasov
letYourMoneyGrow.com
Downloads 16,274
3.

Machine Learning for Trading

Number of pages: 19 Posted: 14 Aug 2017 Last Revised: 04 Dec 2017
Working Paper Series
Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 15,281
4.

Mathematical Finance Introduction to Continuous Time Financial Market Models

Number of pages: 129 Posted: 02 Apr 2007
Working Paper Series
Christian Oliver Ewald
University of Glasgow
Downloads 12,802
5.

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
Derek Snow
New York University (NYU) - Finance and Risk Engineering Department
Downloads 11,864
6.

Comparing Deep RL and Traditional Financial Portfolio Methods (ECML PKDD 2023 - MIDAS Slides)

Number of pages: 13 Posted: 21 Oct 2023
Working Paper Series
Eric Benhamou, Beatrice Guez, Jean-Jacques Ohana, David Saltiel, Rida Laraki and Jamal Atif
Université Paris Dauphine, AI For Alpha, AI For Alpha, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and Université Paris Dauphine
Downloads 11,652
7.

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
Yufeng Han, Ke Yang and Guofu Zhou
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 10,879
8.

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
Petter N. Kolm, Jeremy Turiel and Nicholas Westray
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
9.

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
Álvaro Cartea, Sebastian Jaimungal and Jason Ricci
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 9,915
10.

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
Bryan T. Kelly, Semyon Malamud and Kangying Zhou
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 9,596
11.

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
Lasse Heje Pedersen, Abhilash Babu and Ari Levine
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management
Downloads 9,349
12.

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
Hans Buehler, Lukas Gonon, Josef Teichmann, Ben Wood, Baranidharan Mohan and Jonathan Kochems
XTX Markets, Ludwig Maximilian University of Munich (LMU), ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 9,103
13.

Machine Learning and the Implementable Efficient Frontier

Swiss Finance Institute Research Paper No. 22-63
Number of pages: 88 Posted: 18 Aug 2022 Last Revised: 24 Jul 2024
Working Paper Series
Theis Ingerslev Jensen, Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale University, Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 8,549
14.

Price Theory

Journal of Economic Literature, Forthcoming
Number of pages: 80 Posted: 02 Jun 2014 Last Revised: 18 Apr 2017
Accepted Paper Series
E. Glen Weyl
Plural Technology Collaboratory, Microsoft Research Special Projects
Downloads 7,900
15.

Local Stochastic Volatility Models: Calibration and Pricing

Number of pages: 57 Posted: 11 Jun 2014 Last Revised: 15 Jul 2014
Working Paper Series
Cristian Homescu
Independent
Downloads 7,203
16.

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
Marcos Lopez de Prado, Marcos Lopez de Prado and David Leinweber
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 7,200
17.

Discrete Time Finance

Number of pages: 104 Posted: 28 Mar 2007
Working Paper Series
Christian Oliver Ewald
University of Glasgow
Downloads 6,424
18.

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
Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 5,663
19.

Modern Perspectives on Reinforcement Learning in Finance

Number of pages: 28 Posted: 16 Sep 2019 Last Revised: 08 Mar 2024
Working Paper Series
Petter N. Kolm and Gordon Ritter
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 5,531
20.

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
David H. Bailey, Marcos Lopez de Prado and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 5,145
21.

Implied Binomial Trees in Excel Without Vba

Number of pages: 21 Posted: 08 May 2004
Working Paper Series
Tom Arnold, Timothy Falcon Crack and Adam Schwartz
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 4,918
22.

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
Marcos Lopez de Prado and Marcos Lopez de Prado
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,887
23.

Honey, I Shrunk the Sample Covariance Matrix

UPF Economics and Business Working Paper No. 691
Number of pages: 21 Posted: 18 Sep 2003
Working Paper Series
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 4,817
24.

An Algorithm for Computing Risk Parity Weights

Number of pages: 6 Posted: 24 Jul 2013 Last Revised: 13 Jan 2020
Working Paper Series
Florin Spinu
affiliation not provided to SSRN
Downloads 4,786
25.

Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation

Number of pages: 35 Posted: 07 May 2012
Working Paper Series
Z. George Yang and Liang Zhong
Flexible Plan Investments, Ltd. and University of Delaware
Downloads 4,731
26.

A Model of Credit Risk, Optimal Policies, and Asset Prices

Number of pages: 45 Posted: 21 Mar 2001
Working Paper Series
Suleyman Basak and Alex Shapiro
London Business School and New York University (NYU) - Department of Finance

Multiple version iconThere are 5 versions of this paper

Downloads 4,490
27.

Statistical Arbitrage: Medium Frequency Portfolio Trading

Number of pages: 27 Posted: 25 Jun 2013 Last Revised: 09 Jul 2013
Working Paper Series
Igor Skachkov
Independent
Downloads 4,407
28.

Market Making with Alpha Signals

Number of pages: 25 Posted: 22 Aug 2019 Last Revised: 29 Aug 2019
Working Paper Series
Álvaro Cartea and Yixuan Wang
University of Oxford and University of Oxford
Downloads 4,176
29.

Know Your System! – Turning Data Mining from Bias to Benefit Through System Parameter Permutation

2014 NAAIM Wagner Award Winner
Number of pages: 33 Posted: 30 Apr 2014
Working Paper Series
Dave Walton
StatisTrade
Downloads 4,164
30.

Understanding Bonds, Pricing and the Risks ‘My Name Is Bond, James Bond’

Number of pages: 13 Posted: 17 Oct 2022 Last Revised: 21 Feb 2023
Working Paper Series
Nicholas Burgess
University of Oxford - Said Business School
Downloads 4,128
31.

Dynamic Mean-Variance Asset Allocation

EFA 2007 Ljubljana Meetings, AFA 2009 San Francisco Meetings Paper
Number of pages: 46 Posted: 27 Feb 2007 Last Revised: 09 Apr 2009
Working Paper Series
Suleyman Basak and Georgy Chabakauri
London Business School and London School of Economics and Political Science

Multiple version iconThere are 2 versions of this paper

Downloads 4,066
32.

Interest Rates Benchmark Reform and Options Markets

Number of pages: 22 Posted: 09 Mar 2020 Last Revised: 05 May 2022
Working Paper Series
Vladimir Piterbarg
NatWest MarketsImperial College London
Downloads 4,022
33.

APT or “AIPT”? The Surprising Dominance of Large Factor Models 

Swiss Finance Institute Research Paper No. 23-19
Number of pages: 152 Posted: 14 Mar 2023 Last Revised: 02 Jan 2025
Working Paper Series
Antoine Didisheim, Shikun Ke, Bryan T. Kelly and Semyon Malamud
University of Melbourne, Yale School of Management, Yale SOM and Ecole Polytechnique Federale de Lausanne

Multiple version iconThere are 2 versions of this paper

Downloads 3,991
34.

Analysis of Mortgage Backed Securities: Before and after the Credit Crisis

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 42 Posted: 07 Jan 2007 Last Revised: 29 Jun 2018
Accepted Paper Series
Harvey J. Stein, Alexander L. Belikoff, Kirill Levin and Xusheng Tian
Two Sigma, Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads 3,958
35.

Long-Term Investing in Triple Leveraged Exchange Traded Funds

Number of pages: 15 Posted: 13 Jan 2021
Working Paper Series
Lewis A. Glenn
Independent
Downloads 3,923
36.

BCMA-ES II: Revisiting Bayesian CMA-ES

A.I Square Working Paper, March 2019, France
Number of pages: 10 Posted: 06 May 2019
Working Paper Series
Eric Benhamou, David Saltiel, Beatrice Guez and Nicolas Paris
Université Paris Dauphine, Université Paris Dauphine, AI For Alpha and A.I. Square Connect
Downloads 3,912
37.

The Big Data Newsvendor: Practical Insights from Machine Learning

Published in Operations Research 67(1):90-108. https://doi.org/10.1287/opre.2018.1757
Number of pages: 55 Posted: 03 Feb 2015 Last Revised: 22 Aug 2019
Accepted Paper Series
Gah‐Yi Ban and Cynthia Rudin
Imperial College Business School and Duke University - Department of Computer Science
Downloads 3,809
38.

Technical Analysis and Theory of Finance

EFA 2007 Ljubljana Meetings Paper
Number of pages: 54 Posted: 05 Mar 2007
Working Paper Series
Yingzi Zhu and Guofu Zhou
Tsinghua University - School of Economics & Management and Washington University in St. Louis - John M. Olin Business School
Downloads 3,635
39.

Risk Metrics and Fine Tuning of High Frequency Trading Strategies

Cartea, ÁLvaro, and Sebastian Jaimungal. "RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES." Mathematical Finance (2013).
Number of pages: 37 Posted: 26 Feb 2012 Last Revised: 27 Apr 2015
Accepted Paper Series
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 3,602
40.

The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization

Number of pages: 22 Posted: 19 Jul 2021
Working Paper Series
Sander Gerber, Harry Markowitz, Philip Ernst, Yinsen Miao, No Name and Paul Sargen
Hudson Bay Capital Management, LP, University of California at San Diego, Rice University, Fidelity Investments, Inc., affiliation not provided to SSRN and Hudson Bay Capital Management, LP
Downloads 3,557
41.

Calibrating the Nelson-Siegel-Svensson Model

Number of pages: 22 Posted: 16 Sep 2010 Last Revised: 22 Apr 2011
Working Paper Series
Manfred Gilli, Stefan Grosse and Enrico Schumann
University of Geneva - Research Center for Statistics, NORD/LB and Independent
Downloads 3,519
42.

Learning Curve Dynamics with Artificial Neural Networks

Number of pages: 18 Posted: 25 Sep 2017 Last Revised: 15 May 2018
Working Paper Series
Oleksiy Kondratyev
Imperial College London - Department of Mathematics
Downloads 3,496
43.

Economic Order Quantity (EOQ)

Number of pages: 14 Posted: 05 Nov 2019
Working Paper Series
Samithamby Senthilnathan
International Training Institute
Downloads 3,493
44.

Financial Statement Analysis: A Data Envelopment Analysis Approach

Number of pages: 11 Posted: 08 Aug 2008 Last Revised: 28 Nov 2018
Accepted Paper Series
Ehsan H. Feroz, Sungsoo Kim and Raymond L. Raab
University of Washington Tacoma, Milgard School of Business-Accounting, Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)
Downloads 3,449
45.

The Black-Litterman Model Explained

Journal of Asset Management, Vol. 11, No. 4, pp. 229-43, February 2011
Number of pages: 19 Posted: 12 Feb 2009 Last Revised: 26 Jul 2024
Accepted Paper Series
Wing Cheung
Independent
Downloads 3,410
46.

Optimal Portfolios from Ordering Information

Number of pages: 62 Posted: 25 Dec 2004
Working Paper Series
Robert Almgren and Neil A Chriss
University of Toronto - Department of Mathematics and Hutchin Hill Capital
Downloads 3,370
47.

Implied Volatility Surface: Construction Methodologies and Characteristics

Number of pages: 38 Posted: 10 Jul 2011
Working Paper Series
Cristian Homescu
Independent
Downloads 3,333
48.

Algorithmic Trading of Co-Integrated Assets

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 17 Posted: 01 Aug 2015 Last Revised: 24 May 2016
Accepted Paper Series
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 3,326
49.

Artificial Intelligence in Financial Decision Making

Handbook of Financial Decision Making, Forthcoming , HKUST Business School Research Paper No. 2022-082
Number of pages: 32 Posted: 04 Oct 2022 Last Revised: 13 Dec 2022
Accepted Paper Series
Allen H. Huang and Haifeng You
Hong Kong University of Science and Technology - Department of Accounting and Hong Kong University of Science & Technology (HKUST) - Department of Accounting
Downloads 3,277
50.

A Graph Theory Approach to Portfolio Optimization

Number of pages: 25 Posted: 10 Nov 2023 Last Revised: 27 Nov 2023
Working Paper Series
Dany Cajas
Universidad Nacional de Ingeniería
Downloads 3,268