1.
The Best Strategies for Inflationary Times
Number of pages: 32
Posted: 29 Mar 2021
Last Revised: 25 May 2021
Working Paper Series
Man Group, Ruffer LLP, CCLA Investment Management, Duke University - Fuqua School of Business and Man AHL
Downloads
47,523
2.
Building Diversified Portfolios that Outperform Out-of-Sample
Journal of Portfolio Management, 2016; https://doi.org/10.3905/jpm.2016.42.4.059.
Number of pages: 31
Posted: 17 Jul 2019
Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
29,100
3.
The 7 Reasons Most Machine Learning Funds Fail (Presentation Slides)
Number of pages: 44
Posted: 06 Sep 2017
Last Revised: 04 Oct 2018
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
23,871
4.
DeFi and the Future of Finance
Number of pages: 39
Posted: 15 Dec 2020
Last Revised: 06 Feb 2022
Working Paper Series
Duke University - Fuqua School of Business, Independent and Fei Protocol
Downloads
22,061
5.
What Happened to the Quants in August 2007?
Number of pages: 67
Posted: 21 Sep 2007
Last Revised: 17 Jan 2008
Working Paper Series
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
There are 2 versions of this paper
What Happened to the Quants in August 2007?
Number of pages: 67
Posted: 21 Sep 2007
Last Revised: 17 Jan 2008
Downloads
16,039
What Happened to the Quants in August 2007?
Journal of Investment Management, Vol. 5, No. 4, Fourth Quarter 2007
Posted: 17 Jan 2008
Downloads
16,039
6.
Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance
Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14
Posted: 12 Aug 2013
Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads
15,770
7.
The Probability of Backtest Overfitting
Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34
Posted: 16 Sep 2013
Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
There are 2 versions of this paper
The Probability of Backtest Overfitting
Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34
Posted: 16 Sep 2013
Last Revised: 05 Jul 2015
Downloads
15,671
The Probability of Backtest Overfitting
Journal of Computational Finance, Forthcoming
Number of pages: 31
Posted: 21 Sep 2016
Downloads
6
Downloads
15,671
8.
Advances in Financial Machine Learning (Chapter 1)
Advances in Financial Machine Learning, Wiley, 1st Edition (2018); ISBN: 978-1-119-48208-6
Number of pages: 61
Posted: 19 Jan 2018
Accepted Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
14,720
9.
Causal Factor Investing: Can Factor Investing Become Scientific?
Number of pages: 78
Posted: 15 Sep 2022
Last Revised: 06 Nov 2023
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
14,438
10.
An Alternative Three-Factor Model
Number of pages: 32
Posted: 19 May 2010
Last Revised: 21 Jan 2014
Working Paper Series
Cheung Kong Graduate School of BusinessLuohan Academy, Simon Business School, University of Rochester and Ohio State University - Fisher College of Business
Downloads
13,365
11.
Three Quant Lessons from COVID-19 (Presentation Slides)
Number of pages: 19
Posted: 31 Mar 2020
Last Revised: 22 Aug 2021
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Hebrew University of Jerusalem
Downloads
13,182
12.
Advances in Financial Machine Learning: Lecture 1/10 (seminar slides)
Number of pages: 57
Posted: 21 Oct 2018
Last Revised: 29 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
13,159
13.
The 10 Reasons Most Machine Learning Funds Fail
Journalof Portfolio Management, Forthcoming
Number of pages: 21
Posted: 18 Jan 2018
Last Revised: 01 Jul 2018
Accepted Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
12,860
14.
Institutional Investors and Stock Market Volatility
MIT Department of Economics Working Paper No. 03-30
Number of pages: 51
Posted: 11 Sep 2003
Last Revised: 01 Jun 2010
Accepted Paper Series
Harvard University - Department of Economics, Boston University - Center for Polymer Studies, Boston University - Center for Polymer Studies and Boston University - Center for Polymer Studies
There are 2 versions of this paper
Institutional Investors and Stock Market Volatility
MIT Department of Economics Working Paper No. 03-30
Number of pages: 51
Posted: 11 Sep 2003
Last Revised: 01 Jun 2010
Downloads
11,855
Institutional Investors and Stock Market Volatility
NBER Working Paper No. w11722
Number of pages: 52
Posted: 18 Jan 2006
Last Revised: 14 Jul 2022
Downloads
232
Downloads
11,855
15.
The Tactical and Strategic Value of Commodity Futures
Number of pages: 61
Posted: 03 Feb 2005
Working Paper Series
TR and Duke University - Fuqua School of Business
There are 2 versions of this paper
The Tactical and Strategic Value of Commodity Futures
Number of pages: 61
Posted: 03 Feb 2005
Downloads
11,210
The Tactical and Strategic Value of Commodity Futures
NBER Working Paper No. w11222
Number of pages: 46
Posted: 29 Apr 2005
Last Revised: 01 Sep 2022
Downloads
594
Downloads
11,210
16.
Analysis of the Dot-Com Bubble of the 1990s
Number of pages: 37
Posted: 29 Jun 2008
Working Paper Series
Kansas State University and Kent State University
Downloads
10,617
17.
A Closed-Form Solution for Optimal Mean-Reverting Trading Strategies
Number of pages: 32
Posted: 09 Mar 2020
Last Revised: 24 Mar 2020
Working Paper Series
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
10,510
18.
Advances in Financial Machine Learning: Lecture 3/10 (seminar slides)
Number of pages: 32
Posted: 30 Sep 2018
Last Revised: 29 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
10,113
19.
The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality
Journal of Portfolio Management, 40 (5), pp. 94-107. 2014 (40th Anniversary Special Issue)
Number of pages: 22
Posted: 21 May 2019
Last Revised: 30 May 2019
Working Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
9,728
20.
The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?
Number of pages: 26
Posted: 31 May 2019
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Man Group plc, Man AHL, Man Numeric and Man AHL
Downloads
8,893
21.
The Norway Model
Journal of Portfolio Management, Vol. 38, No. 2, 2012, pages 67–81, https://doi.org/10.3905/jpm.2012.38.2.067
Number of pages: 17
Posted: 17 Jul 2019
Last Revised: 17 Jul 2019
Accepted Paper Series
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and AQR Capital Management
Downloads
8,874
22.
Macroeconomic Factors and the Correlation of Stock and Bond Returns
Number of pages: 53
Posted: 23 Nov 2003
Working Paper Series
Capula Investment Services
Downloads
8,348
23.
The Financial Market Impact of Quantitative Easing
Bank of England Working Paper No. 393
Number of pages: 44
Posted: 12 Jul 2010
Last Revised: 15 Jul 2015
Working Paper Series
Bank of England - Monetary Analysis, Bank of England, Bank of England and Bank of England
Downloads
8,335
24.
Factor Investing in the Corporate Bond Market
Financial Analysts Journal, 2017, Vol. 73, No. 2
Number of pages: 49
Posted: 31 Oct 2014
Last Revised: 13 Feb 2017
Accepted Paper Series
Robeco Asset Management and Cubist Systematic Strategies
Downloads
8,324
25.
Detection of False Investment Strategies Using Unsupervised Learning Methods
Number of pages: 25
Posted: 23 Apr 2018
Last Revised: 07 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads
7,824
26.
The 7 Reasons Most Econometric Investments Fail (Presentation Slides)
Number of pages: 39
Posted: 23 Apr 2019
Last Revised: 16 Sep 2019
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
7,601
27.
Bagehot was a Shadow Banker: Shadow Banking, Central Banking, and the Future of Global Finance
Number of pages: 20
Posted: 12 Mar 2013
Last Revised: 06 Nov 2013
Working Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Credit SuisseShadow Banking Colloquium (INET), Credit Suisse and Bard College at Simon's Rock
Downloads
7,589
28.
Advances in Financial Machine Learning: Lecture 2/10 (seminar slides)
Number of pages: 51
Posted: 30 Sep 2018
Last Revised: 29 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
7,538
29.
Sharpening the Arithmetic of Active Management
Financial Analysts Journal, 2018, 74 (1): 21-36
Number of pages: 23
Posted: 07 Oct 2016
Last Revised: 23 Feb 2018
Working Paper Series
AQR Capital Management, LLC
Downloads
7,468
30.
Crypto-Securities Regulation: ICOs, Token Sales and Cryptocurrencies under EU Financial Law
15 European Company and Financial Law Review 645-696 (2018)
Number of pages: 45
Posted: 30 Nov 2017
Last Revised: 17 Apr 2019
Accepted Paper Series
European University Viadrina Frankfurt (Oder) - European New School of Digital Studies and University of Vienna, Faculty of Law
Downloads
7,309
31.
Tactical Investment Algorithms
Number of pages: 11
Posted: 30 Sep 2019
Last Revised: 01 Oct 2019
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
7,159
32.
Financial Inclusion and Financial Stability: Current Policy Issues
ADBI Working Paper No. 259
Number of pages: 33
Posted: 22 Dec 2010
Last Revised: 15 Jan 2011
Working Paper Series
Alliance for Financial Inclusion (AFI) and affiliation not provided to SSRN
Downloads
7,000
33.
Measuring Loss Potential of Hedge Fund Strategies
Number of pages: 25
Posted: 04 Jan 2005
Accepted Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and UBS Wealth Managment Research
Downloads
6,673
34.
Building Diversified Portfolios That Outperform Out-of-Sample (Presentation Slides)
Number of pages: 33
Posted: 11 Jan 2016
Last Revised: 14 Aug 2016
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
6,551
35.
The Impact of Volatility Targeting
Number of pages: 28
Posted: 17 May 2018
Last Revised: 11 Jul 2018
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man Group plc, Man AHL and Man AHL
Downloads
6,498
36.
Advances in Financial Machine Learning: Lecture 4/10 (seminar slides)
Number of pages: 198
Posted: 30 Sep 2018
Last Revised: 29 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
6,449
37.
Beyond Econometrics: A Roadmap Towards Financial Machine Learning
Number of pages: 32
Posted: 22 Apr 2019
Last Revised: 05 Jul 2022
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
6,437
38.
Kinetic Component Analysis
Journal of Investing, Vol. 25, No. 3, 2016
Number of pages: 24
Posted: 21 May 2019
Last Revised: 30 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and University of Oxford - Mathematical Institute
Downloads
6,417
39.
Advances in Financial Machine Learning: Numerai's Tournament (seminar slides)
Number of pages: 40
Posted: 25 Nov 2019
Last Revised: 29 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
6,213
40.
Quantitative Meta-Strategies
Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming
Number of pages: 6
Posted: 10 Jan 2015
Accepted Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
6,183
41.
A Robust Estimator of the Efficient Frontier
Number of pages: 16
Posted: 18 Oct 2019
Last Revised: 04 Mar 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
6,102
42.
The Crisis: Basic Mechanisms, and Appropriate Policies
MIT Department of Economics Working Paper No. 09-01
Number of pages: 34
Posted: 10 Jan 2009
Last Revised: 15 Jan 2009
Working Paper Series
National Bureau of Economic Research (NBER)Peterson Institute for International Economics
There are 2 versions of this paper
The Crisis: Basic Mechanisms, and Appropriate Policies
MIT Department of Economics Working Paper No. 09-01
Number of pages: 34
Posted: 10 Jan 2009
Last Revised: 15 Jan 2009
Downloads
6,090
The Crisis: Basic Mechanisms and Appropriate Policies
IMF Working Paper No. 09/80
Number of pages: 24
Posted: 28 Apr 2009
Downloads
1,139
Downloads
6,090
43.
What to Look for in a Backtest
Number of pages: 58
Posted: 12 Aug 2013
Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
5,949
44.
Trend Following: Equity and Bond Crisis Alpha
Number of pages: 19
Posted: 30 Aug 2016
Working Paper Series
Man AHL, Man Group plc and Man AHL
Downloads
5,946
45.
The Danske Bank Money Laundering Scandal: A Case Study
Number of pages: 79
Posted: 10 Sep 2019
Working Paper Series
Copenhagen Business School and London School of Economics - Centre for Economic Performance
Downloads
5,851
46.
Demography and the Long-Run Predictability of the Stock Market
Number of pages: 33
Posted: 24 Sep 2002
Working Paper Series
Yale University, University of Southern California - Department of Economics and University of California, Davis - Department of Economics
Downloads
5,722
47.
The Dark Side of Universal Banking: Financial Conglomerates and the Origins of the Subprime Financial Crisis
Connecticut Law Review, Vol. 41, No. 4, 2009, GWU Law School Public Law Research Paper No. 468, GWU Legal Studies Research Paper No. 468
Number of pages: 89
Posted: 13 May 2009
Accepted Paper Series
George Washington University Law School
Downloads
5,703
48.
What Every Investor Should Know About Commodities, Part I: Univariate Return Analysis
Alternative Investment Research Centre Working Paper No. 29, Cass Business School Research Paper
Number of pages: 35
Posted: 27 Jan 2006
Working Paper Series
Independent and Deutsche Bank AG (London)
Downloads
5,586
49.
Does the Fed Control Interest Rates?
The Review of Asset Pricing Studies, Forthcoming, Chicago Booth Research Paper No. 12-23, Fama-Miller Working Paper
Number of pages: 6
Posted: 05 Aug 2012
Last Revised: 27 Oct 2022
Accepted Paper Series
University of Chicago - Finance
Downloads
5,570
50.
Advances in Financial Machine Learning: Lecture 5/10 (seminar slides)
Number of pages: 27
Posted: 30 Sep 2018
Last Revised: 29 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
5,561
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