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JEL Code: C00

765,561 Total downloads

Viewing: 1 - 50 of 1,365 papers

1.

A Quantitative Approach to Tactical Asset Allocation

The Journal of Wealth Management, Spring 2007
Number of pages: 70 Posted: 11 Feb 2007 Last Revised: 03 Mar 2014
Accepted Paper Series
Cambria Investment Management
Downloads 247,650
2.

A Checklist for Reviewing a Paper

Duke I&E Research Paper No. 2017-03, Stanford University Graduate School of Business Research Paper No. 17-6
Number of pages: 2 Posted: 21 Dec 2016 Last Revised: 10 Sep 2020
Working Paper Series
Stanford Graduate School of Business, Duke University - Fuqua School of Business and Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business
Downloads 28,298
3.

Pitching Research®

Number of pages: 37 Posted: 04 Jul 2014 Last Revised: 08 Mar 2021
Working Paper Series
University of QueenslandBond University
Downloads 19,651
4.

An Intermarket Approach to Beta Rotation: The Strategy, Signal, and Power of Utilities

2014 Charles H. Dow Award Winner Updated Through October 31, 2020
Number of pages: 18 Posted: 31 Mar 2014 Last Revised: 11 Jan 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 18,803
5.

Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks

2016 Charles H. Dow Award Updated Through December 31, 2020
Number of pages: 24 Posted: 07 Mar 2016 Last Revised: 09 Feb 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 16,388
6.

Lumber: Worth Its Weight in Gold Offense and Defense in Active Portfolio Management

2015 NAAIM Founders Award Winner Updated Through November 30, 2020
Number of pages: 20 Posted: 11 May 2015 Last Revised: 14 Feb 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 15,092
7.

Rational Decision-Making under Uncertainty: Observed Betting Patterns on a Biased Coin

Number of pages: 8 Posted: 25 Oct 2016
Working Paper Series
Elm Partners and Royal Bridge Capital
Downloads 10,881
8.

An Intermarket Approach to Tactical Risk Rotation: Using the Signaling Power of Treasuries to Generate Alpha and Enhance Asset Allocation

2014 Wagner Award, 3rd Place Updated Through November 30, 2020
Number of pages: 21 Posted: 01 May 2014 Last Revised: 20 Jan 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 8,201
9.

Momentum and Markowitz: A Golden Combination

Number of pages: 34 Posted: 16 May 2015 Last Revised: 05 Jun 2015
Working Paper Series
VU University Amsterdam, ReSolve Asset Management and QuantStrat TradeR
Downloads 8,038
10.

Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits

Number of pages: 24 Posted: 08 Apr 2016 Last Revised: 13 Apr 2016
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 7,964
11.

Cryptofinance

Number of pages: 141 Posted: 19 May 2014 Last Revised: 16 Jan 2016
Working Paper Series
Duke University - Fuqua School of Business
Downloads 7,496
12.

Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less

Number of pages: 37 Posted: 19 Jul 2017
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 7,230
13.

Generalized Momentum and Flexible Asset Allocation (FAA): An Heuristic Approach

Number of pages: 19 Posted: 25 Dec 2012 Last Revised: 16 Jan 2015
Working Paper Series
VU University Amsterdam and Flex Capital BV
Downloads 7,157
14.

Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices

Journal of Asset Management, Vol. 12, 3, 185-202, 2010
Number of pages: 22 Posted: 01 Jun 2013 Last Revised: 27 Nov 2014
Accepted Paper Series
John Moores University - Business School, University of Liverpool - Accounting and Finance Division and Harvest Alpha Capital
Downloads 6,595
15.

Bitcoin Myths and Facts

Number of pages: 10 Posted: 16 Aug 2014 Last Revised: 20 Nov 2017
Working Paper Series
Duke University - Fuqua School of Business
Downloads 6,061
16.

A Century of Generalized Momentum; From Flexible Asset Allocations (FAA) to Elastic Asset Allocation (EAA)

Number of pages: 32 Posted: 31 Dec 2014 Last Revised: 21 Jan 2015
Working Paper Series
VU University Amsterdam and ReSolve Asset Management
Downloads 5,194
17.

Warning: Physics Envy May be Hazardous to Your Wealth!

Number of pages: 73 Posted: 05 Mar 2010 Last Revised: 15 Mar 2010
Working Paper Series
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology, Center for Theoretical Physics

Multiple version iconThere are 2 versions of this paper

Downloads 4,946
18.

Applied Multidimensional Girsanov Theorem

Number of pages: 18 Posted: 11 Apr 2011 Last Revised: 03 Mar 2015
Working Paper Series
Tenokonda Ltd
Downloads 4,770
19.

Markov Representation of the Heath-Jarrow-Morton Model

Number of pages: 13 Posted: 26 Mar 2001
Working Paper Series
Loomis Sayles
Downloads 4,488
20.

Stress Testing the Banking System: Methodologies and Applications

STRESS TESTING THE BANKING SYSTEM, M. Quagliariello, ed., Cambridge University Press, Forthcoming
Number of pages: 67 Posted: 10 Jan 2009 Last Revised: 01 May 2009
Accepted Paper Series
European Central Bank (ECB)
Downloads 4,456
21.

Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)

Number of pages: 29 Posted: 01 Aug 2018 Last Revised: 07 Sep 2021
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 4,452
22.

An Improved Moving Average Technical Trading Rule

Quantf Research Working Paper Series No. WP01/2014
Number of pages: 32 Posted: 13 Sep 2011 Last Revised: 02 Jun 2014
Working Paper Series
Quantf Research and University of Athens, Department of Business Administration
Downloads 4,413
23.

A Simple Macroeconomic Model of Bitcoin

Number of pages: 3 Posted: 12 Feb 2014
Working Paper Series
Bitquant Research Laboratories
Downloads 4,040
24.

Analytic Solutions for Optimal Statistical Arbitrage Trading

Number of pages: 16 Posted: 14 Nov 2009
Working Paper Series
ITG Australia Limited
Downloads 4,006
25.

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 3,925
26.

Deep Learning and Financial Stability

Number of pages: 45 Posted: 13 Nov 2020
Working Paper Series
Masachusetts Institute of Technology (MIT) Sloan School of Management and Massachusetts Institute of Technology (MIT) - Electrical Engineering and Computer Science
Downloads 3,814
27.

Volatility Modelling and Trading

Global Derivatives Workshop Global Derivatives Trading & Risk Management, Budapest, 2016
Number of pages: 164 Posted: 19 Jul 2016
Accepted Paper Series
Sygnum Bank's Asset Management
Downloads 3,439
28.

When You Hedge Discretely: Optimization of Sharpe Ratio for Delta-Hedging Strategy under Discrete Hedging and Transaction Costs

Journal of Investment Strategies, 2013, Vol. 3, No. 1, pp. 19-59
Number of pages: 37 Posted: 19 Jun 2011 Last Revised: 08 Dec 2015
Accepted Paper Series
Sygnum Bank's Asset Management
Downloads 3,351
29.

Seeing Double Voting: An Extension of the Birthday Problem

7 Election L. J. 111 (2008), 2nd Annual Conference on Empirical Legal Studies Paper
Number of pages: 12 Posted: 03 Jul 2007 Last Revised: 21 May 2014
Accepted Paper Series
George Mason University - Government and PoliticsUniversity of Florida and Loyola Law School Los Angeles
Downloads 3,263
30.

A Resolution to the NPV - IRR Debate?

Number of pages: 22 Posted: 05 Apr 2004 Last Revised: 04 Jan 2010
Working Paper Series
University of Sussex Business School
Downloads 3,043
31.

Optimal Portfolios from Ordering Information

Number of pages: 62 Posted: 25 Dec 2004
Working Paper Series
University of Toronto - Department of Mathematics and Hutchin Hill Capital
Downloads 2,831
32.

ANANTA: A Systematic Quantitative FX Trading Strategy

Number of pages: 20 Posted: 02 Apr 2014 Last Revised: 29 May 2014
Working Paper Series
Independent
Downloads 2,765
33.

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
StatisTrade
Downloads 2,692
34.

VIX Option Pricing in a Jump-Diffusion Model

Risk Magazine, pp. 84-89, April 2008
Number of pages: 10 Posted: 01 Jun 2009
Accepted Paper Series
Sygnum Bank's Asset Management
Downloads 2,685
35.

Machine Learning for Volatility Trading (Presentation Slides)

Number of pages: 34 Posted: 14 Jun 2018
Working Paper Series
Sygnum Bank's Asset Management
Downloads 2,599
36.

Credit-Informed Tactical Asset Allocation

Number of pages: 13 Posted: 26 Jun 2011 Last Revised: 13 Jul 2021
Working Paper Series
University of California
Downloads 2,583
37.

Asymptotic Approximations to CEV and SABR Models

Number of pages: 38 Posted: 25 May 2011
Working Paper Series
Intercontinental Exchange Inc., Quantitative Analytics Group and Illinois Institute of Technology
Downloads 2,518
38.

How to Price Swaps in Your Head - An Interest Rate Swap & Asset Swap Primer

Number of pages: 96 Posted: 31 Jul 2016 Last Revised: 10 Apr 2017
Working Paper Series
University of Oxford, Said Business School
Downloads 2,482
39.

Happiness, Economics and Public Policy

Institute of Economic Affairs, Research Monograph 62, 2007
Number of pages: 60 Posted: 09 Oct 2007
Accepted Paper Series
affiliation not provided to SSRN and Volterra Consulting
Downloads 2,216
40.

Liquidity Risk Theory and Coherent Measures of Risk

Number of pages: 22 Posted: 03 Dec 2007
Working Paper Series
Abaxbank and University of Verona - Department of Economics
Downloads 2,192
41.

Pricing Options on Realized Variance in the Heston Model with Jumps in Returns and Volatility

Journal of Computational Finance, Vol. 11, No. 4, pp. 33-70, 2008
Number of pages: 37 Posted: 21 May 2009 Last Revised: 05 Oct 2010
Accepted Paper Series
Sygnum Bank's Asset Management
Downloads 2,138
42.

Optimal Trade Sizing in a Game with Favourable Odds: The Stock Market

Number of pages: 4 Posted: 02 Dec 2016 Last Revised: 05 Dec 2016
Working Paper Series
Elm Partners and Citigroup, Inc. - Citigroup Global Markets
Downloads 2,011
43.

Momentum, Markowitz, and Smart Beta: A Tactical, Analytical and Practical Look at Modern Portfolio Theory

Number of pages: 21 Posted: 14 Jun 2014 Last Revised: 02 Jan 2015
Working Paper Series
VU University Amsterdam
Downloads 1,981
44.

Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities

Number of pages: 31 Posted: 01 Jun 2013 Last Revised: 03 Jun 2013
Working Paper Series
Harvest Alpha Capital, John Moores University - Business School, University of Liverpool - Management School (ULMS) and University of Liverpool - Accounting and Finance Division
Downloads 1,971
45.

CreditRisk+ by Fast Fourier Transform

YieldCurve, August 2004
Number of pages: 30 Posted: 23 Apr 2008 Last Revised: 19 Dec 2008
Working Paper Series
Universidad Nacional del Litoral
Downloads 1,955
46.

Deviation Measures in Risk Analysis and Optimization

University of Florida, Department of Industrial & Systems Engineering Working Paper No. 2002-7
Number of pages: 27 Posted: 22 Jan 2003
Working Paper Series
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads 1,894
47.

Solving SABR in Exact Form and Unifying it with LIBOR Market Model

Number of pages: 41 Posted: 19 Oct 2009
Working Paper Series
Lloyds Banking Group
Downloads 1,892
48.

The Structure of the Toyota Supply Network: An Empirical Analysis

Saïd Business School WP 2014-3
Number of pages: 24 Posted: 23 Mar 2014 Last Revised: 18 Apr 2020
Working Paper Series
Waseda UniversityUniversity of Oxford - Said Business School, Cranfield University, Said Business School and University of Oxford - Said Business School
Downloads 1,881
49.

Tail Hedging Strategies

Number of pages: 26 Posted: 08 May 2013 Last Revised: 16 Aug 2018
Working Paper Series
The Cambridge Strategy
Downloads 1,865
50.

Deep Learning for Global Tactical Asset Allocation

Number of pages: 17 Posted: 11 Nov 2018 Last Revised: 03 Mar 2019
Working Paper Series
Qplum, affiliation not provided to SSRN and OPTrust
Downloads 1,864