Recent Top Papers (60 days)

As of: 27 Jul 2022 - 25 Sep 2022
Rank Paper Downloads
1.

Seasonal Momentum in Option Returns

University of Maryland - Department of Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Rochester Institute of Technology (RIT), London School of Economics and Political Science and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
231
2.

Immunization With Consistent Term Structure Dynamics

Aarhus University, CREATES, DFI, Aarhus University and Aarhus University
219
3.

Do Investors Hedge Against Green Swans? Option-Implied Risk Aversion to Wildfires

Rutgers Business School
164
4.

Using the VIX to Distinguish between Transitory and Persistent Risk

Capital Market Risk Advisors
153
5.

The Role of Hedgers and Speculators in the Currency Futures Markets

University of Otago - Department of Accountancy and Finance, University of Otago - Department of Accountancy and Finance and University of Otago, Otago Business School, Department of Accountancy and Finance
128
6.

Are Equity Option Returns Abnormal? IPCA Says No

University of Lausanne and Federal Reserve Banks - Federal Reserve Bank of Dallas
124
7.

Sovereign Default Risk and Climate Change: Is it Hot Enough ?

Université Paris-Saclay and Université Paris 1 Panthéon-Sorbonne
97
8.

Very Noisy Option Prices and Inference Regarding the Volatility Risk Premium

Rice University, University of Southern California - Marshall School of Business - Finance and Business Economics Department and Louisiana State University, Baton Rouge
79
9.

A Wavelet-Based Decomposition of Investors Market Sentiment

Polytechnic University of Marche - Dipartimento di scienze sociali and Polytechnic University of Marche - Dipartimento di scienze sociali
76
10.

Uncertainty of Put-Call Parity Violation and Option Returns

University of TorontoTsinghua University - School of Economics and Management, Tsinghua University, School of Economics and Management, Tsinghua University and The Hong Kong Polytechnic University
67

All Time Top Papers

As of: 02 Jan 1997 - 25 Sep 2022
Rank Paper Downloads
1.

151 Trading Strategies

Quantigic Solutions LLC and NYU - Courant Institute of Mathematical Sciences
69,694
2.

Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask

Digital Gold Institute and Intesa Sanpaolo - Financial and Market Risk Management
17,650
3.

Understanding CVA, DVA, and FVA: Examples of Interest Rate Swap Valuation

Boston University - Department of Finance & Economics
12,921
4.

Dissecting Investment Strategies in the Cross Section and Time Series

Man Group, Man AHL, Duke University - Fuqua School of Business, Pimco Europe and Man Group plc
10,034
5.

Finding Yield in a 2% World

Cambria Investment Management
7,742
6.

The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?

Duke University - Fuqua School of Business, Man AHL, Man Group plc, Man AHL, Man Numeric and Man AHL
7,348
7.

Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR

Quantitative Risk Management, Inc. and Bloomberg L.P.
7,343
8.

Why Indexing Works

One Hat Research LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics
7,225
9.

Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning

JP Morgan, Ludwig-Maximilians-Universität München, ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
6,850
10.

Two Centuries of Price Return Momentum

University of Pennsylvania - The Wharton School, Finance Department and Two Centuries Investments
6,322