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
51,309
2.
An Analysis of the Financial Crisis of 2008: Causes and Solutions
Number of pages: 28
Posted: 04 Nov 2008
Last Revised: 16 Dec 2008
Working Paper Series
Oakland University - School of Business Administration
Downloads
41,671
3.
Bridging the gap between Markowitz planning and deep reinforcement learning (ICAPS PRL Presentation Slides 2020)
Number of pages: 37
Posted: 25 Oct 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, Société Générale and SGCIB
Downloads
38,668
4.
Adaptive Supervised Learning for Volatility Targeting Models (Ecml Pkdd Midas 2021 Presentation Slides)
Number of pages: 17
Posted: 20 Sep 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, École Polytechnique Fédérale de Lausanne (EPFL), Lombard Odier Investment Managers and AI For Alpha
Downloads
32,451
5.
Time your hedge with Deep Reinforcement Learning (ICAPS 2020 Presentation Slides)
Number of pages: 38
Posted: 20 Sep 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, Société Générale and SGCIB
Downloads
31,100
6.
Knowledge discovery with Deep RL for selecting financial hedges (AAAI 2021 KDF Presentation slides)
Number of pages: 19
Posted: 28 Sep 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, Société Générale and SGCIB
Downloads
30,719
7.
Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask
Number of pages: 82
Posted: 18 Feb 2013
Last Revised: 03 Apr 2013
Working Paper Series
Digital Gold Institute and Intesa SanPaolo SpA
Downloads
23,517
8.
Non-Life Insurance: Mathematics & Statistics
Number of pages: 325
Posted: 03 Sep 2013
Last Revised: 16 Feb 2024
Working Paper Series
RiskLab, ETH Zurich
Downloads
22,327
9.
A Simplified Approach to Understanding the Kalman Filter Technique
Number of pages: 24
Posted: 07 May 2005
Last Revised: 17 Apr 2008
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business, Auburn University and Georgia State University - Department of Finance
Downloads
21,195
10.
The Flash Crash: High-Frequency Trading in an Electronic Market
Journal of Finance, Forthcoming
Number of pages: 42
Posted: 27 May 2011
Last Revised: 11 Dec 2023
Accepted Paper Series
University of Cambridge - Finance, University of Maryland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads
21,103
11.
Deep Decoding of Strategies
Université Paris-Dauphine Research Paper No. 4128693
Number of pages: 20
Posted: 16 Jun 2022
Last Revised: 05 May 2024
Working Paper Series
AI For Alpha, Université Paris Dauphine, Université Paris Dauphine and AI For Alpha
Downloads
20,694
12.
Risk Management Lessons from Long-Term Capital Management
Number of pages: 27
Posted: 02 Aug 1999
Working Paper Series
University of California, Irvine - Paul Merage School of Business
Downloads
19,877
13.
Easy Volatility Investing
Number of pages: 34
Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads
19,807
14.
Machine Learning Fundamentals: Unsupervised Learning part 2 - Data & AI Reskilling Seminar slides
Number of pages: 46
Posted: 22 Nov 2022
Working Paper Series
Université Paris Dauphine
Downloads
18,015
15.
Machine Learning in Banking - Tips & Tricks: Session 2 - Time Series Analysis
Number of pages: 37
Posted: 22 Nov 2022
Working Paper Series
Université Paris Dauphine
Downloads
17,925
16.
Machine Learning in Banking - Tips & Tricks: Session 3 - Classification with Logistic Regression, Decision Trees and Neural Networks
Number of pages: 42
Posted: 22 Nov 2022
Working Paper Series
Université Paris Dauphine
Downloads
17,688
17.
Machine Learning in Banking - Tips & Tricks: Session 4 - Similarities with Unsupervised learning
Number of pages: 38
Posted: 22 Nov 2022
Working Paper Series
Université Paris Dauphine
Downloads
17,641
18.
Machine Learning in Banking - Tips & Tricks: Session 5 - Interpretability with Shapley values
Number of pages: 26
Posted: 22 Nov 2022
Working Paper Series
Université Paris Dauphine
Downloads
17,562
19.
Risk-Neutral Probabilities Explained
Number of pages: 27
Posted: 27 Apr 2009
Last Revised: 20 Oct 2010
Working Paper Series
affiliation not provided to SSRN
Downloads
16,876
20.
The Profitability of Technical Analysis: A Review
AgMAS Project Research Report No. 2004-04
Number of pages: 106
Posted: 15 Oct 2004
Working Paper Series
Chungbuk National University and University of Illinois at Urbana-Champaign
Downloads
15,920
21.
The Fundamentals of Commodity Futures Returns
Yale ICF Working Paper No. 07-08
Number of pages: 62
Posted: 28 Jun 2007
Last Revised: 07 Feb 2012
Working Paper Series
Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance
There are 2 versions of this paper
The Fundamentals of Commodity Futures Returns
Yale ICF Working Paper No. 07-08
Number of pages: 62
Posted: 28 Jun 2007
Last Revised: 07 Feb 2012
Downloads
15,565
The Fundamentals of Commodity Futures Returns
NBER Working Paper No. w13249
Number of pages: 63
Posted: 13 Jul 2007
Last Revised: 15 Sep 2022
Downloads
440
Downloads
15,565
22.
Momentum Turning Points
Number of pages: 98
Posted: 05 Dec 2019
Last Revised: 23 May 2023
Working Paper Series
Auburn University - Harbert College of Business, Duke University - Fuqua School of Business and The Capital Group Companies
Downloads
15,367
23.
Dissecting Investment Strategies in the Cross Section and Time Series
Number of pages: 31
Posted: 24 Nov 2015
Last Revised: 07 Dec 2015
Working Paper Series
Man Group, Man AHL, Duke University - Fuqua School of Business, Pimco Europe and Man Group plc
Downloads
14,261
24.
Efficient Simulation of the Heston Stochastic Volatility Model
Number of pages: 38
Posted: 22 Nov 2006
Working Paper Series
Bank of America
Downloads
13,415
25.
Mathematical Finance Introduction to Continuous Time Financial Market Models
Number of pages: 129
Posted: 02 Apr 2007
Working Paper Series
University of Glasgow
Downloads
12,796
26.
Hedging Pressure and Commodity Option Prices
Number of pages: 43
Posted: 01 Oct 2021
Working Paper Series
University of Toronto - Rotman School of Management, Institute of Economics, School of Social Sciences, Tsinghua University and Yale University
Downloads
12,641
27.
Can Hedge-Fund Returns Be Replicated?: The Linear Case
Number of pages: 54
Posted: 27 Aug 2006
Working Paper Series
Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
There are 2 versions of this paper
Can Hedge-Fund Returns Be Replicated?: The Linear Case
Number of pages: 54
Posted: 27 Aug 2006
Downloads
11,824
Can Hedge-Fund Returns Be Replicated?: The Linear Case
Journal of Investment Management, Vol. 5, No. 2, Second Quarter 2007
Posted: 30 May 2007
Downloads
11,824
28.
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
11,776
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
672
Downloads
11,776
29.
Can Deep Reinforcement Learning Solve the Portfolio Allocation Problem? (PhD Manuscript)
Number of pages: 212
Posted: 09 Nov 2023
Working Paper Series
Université Paris Dauphine
Downloads
11,315
30.
Integrated Risk Management for the Firm: A Senior Manager's Guide
Number of pages: 39
Posted: 26 Feb 2002
Working Paper Series
Claremont McKenna College - Robert Day School of Economics and Finance
Downloads
11,191
31.
A Century of Evidence on Trend-Following Investing
Number of pages: 26
Posted: 28 Jun 2017
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads
11,142
32.
Stock Valuation and Investment Strategies
Number of pages: 55
Posted: 26 Jul 2001
Working Paper Series
York University - Schulich School of Business and University of Hong Kong, Faculty of Business Economics (HKU Business School)
Downloads
10,779
33.
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
9,819
34.
On Default Correlation: A Copula Function Approach
Number of pages: 28
Posted: 09 Dec 1999
Working Paper Series
Shanghai Advanced Institute of Finance, SJTU
Downloads
9,306
35.
Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals
Journal of Banking and Finance 34, 2530-2548
Number of pages: 48
Posted: 30 Apr 2008
Last Revised: 11 Sep 2019
Accepted Paper Series
Bayes Business School, City, University of London, Audencia Business School and City University of London - Sir John Cass Business School
Downloads
9,306
36.
Which Trend Is Your Friend?
Financial Analysts Journal, vol. 72, no. 3 (May/June 2016)
Number of pages: 32
Posted: 10 May 2015
Last Revised: 19 Apr 2016
Accepted Paper Series
AQR Capital Management and AQR Capital Management, LLC
Downloads
9,144
37.
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Number of pages: 29
Posted: 29 Jan 2009
Last Revised: 22 Jun 2016
Working Paper Series
Intesa SanPaolo SpA
There are 2 versions of this paper
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Number of pages: 29
Posted: 29 Jan 2009
Last Revised: 22 Jun 2016
Downloads
9,020
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Risk, August 2010
Posted: 15 Sep 2011
Last Revised: 10 Sep 2018
Downloads
9,020
38.
Volatility Interpolation
Number of pages: 11
Posted: 21 Oct 2010
Last Revised: 30 Oct 2010
Working Paper Series
Verition Group LLC and Saxo Bank
Downloads
8,623
39.
Credit Risk Modeling and Valuation: An Introduction
Number of pages: 67
Posted: 21 Dec 2003
Working Paper Series
Stanford University - Department of Management Science & Engineering
Downloads
8,475
40.
Downloads
8,470
41.
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
7,996
42.
Momentum Strategies in Commodity Futures Markets
Journal of Banking and Finance, Vol. 31, No. 9, 2007
Number of pages: 34
Posted: 20 Apr 2005
Last Revised: 10 Nov 2015
Accepted Paper Series
Audencia Business School and City University of London - Sir John Cass Business School
There are 2 versions of this paper
Momentum Strategies in Commodity Futures Markets
Journal of Banking and Finance, Vol. 31, No. 9, 2007
Number of pages: 34
Posted: 20 Apr 2005
Last Revised: 10 Nov 2015
Downloads
7,955
Momentum Strategies in Commodity Futures Markets
Journal of Banking and Finance, Vol. 31, No. 6, 2007
Posted: 27 May 2008
Downloads
7,955
43.
Volatility Is (Mostly) Path-Dependent
Number of pages: 47
Posted: 03 Aug 2022
Last Revised: 04 Jun 2024
Working Paper Series
Ecole Nationale des Ponts et Chaussées (ENPC) and University of California, Berkeley
Downloads
7,878
44.
A Market Model for Inflation
Number of pages: 15
Posted: 17 Aug 2004
Working Paper Series
CDC Ixis Capital Markets, Université Paris Dauphine and CNCE
Downloads
7,602
45.
Interest Rates and The Credit Crunch: New Formulas and Market Models
Bloomberg Portfolio Research Paper No. 2010-01-FRONTIERS
Number of pages: 39
Posted: 24 Jan 2009
Last Revised: 11 May 2010
Accepted Paper Series
Bloomberg L.P.
Downloads
7,597
46.
Bootstrapping Credit Curves from CDS Spread Curves
Number of pages: 21
Posted: 21 Apr 2012
Working Paper Series
New York University (NYU)
Downloads
7,587
47.
A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model
Number of pages: 26
Posted: 07 Apr 1999
Working Paper Series
Bank of America
Downloads
7,471
48.
The Risk-Reversal Premium
Number of pages: 15
Posted: 23 Nov 2021
Working Paper Series
HTAA, LLC and Bluefin TradingFactorWave
Downloads
7,457
49.
Valuation Methods and Shareholder Value Creation
VALUATION METHODS AND SHAREHOLDER VALUE CREATION, Academic Press, 2002
Number of pages: 13
Posted: 22 Nov 2004
Accepted Paper Series
IESE Business School
Downloads
7,362
50.
Strategic Rebalancing
Number of pages: 25
Posted: 17 Feb 2019
Last Revised: 20 Dec 2019
Working Paper Series
Man Group plc, Man AHL, Duke University - Fuqua School of Business and Man AHL
Downloads
7,269
Feedback
Feedback to SSRN