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JEL Code: E4

3,586,411 Total downloads

Viewing: 1 - 50 of 16,066 papers

1.

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 21,184
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 19,727
3.

The Best Strategies for Inflationary Times

Number of pages: 32 Posted: 29 Mar 2021 Last Revised: 25 May 2021
Working Paper Series
Man Group, Man Group, Man Group, Duke University - Fuqua School of Business and Man AHL
Downloads 17,733
4.

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

Multiple version iconThere are 2 versions of this paper

Downloads 15,623
5.

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 - Financial and Market Risk Management
Downloads 15,453
6.

Initial Coin Offerings and the Value of Crypto Tokens

MIT Sloan Research Paper No. 5347-18, Rotman School of Management Working Paper No. 3137213
Number of pages: 37 Posted: 13 Mar 2018 Last Revised: 07 Mar 2019
Working Paper Series
Diem Association and Diem Networks US and University of Toronto - Rotman School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 14,219
7.

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 13,526
8.

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

Multiple version iconThere are 2 versions of this paper

Downloads 12,465
9.

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 12,195
10.

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 11,959
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 11,841
12.

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

Multiple version iconThere are 2 versions of this paper

Downloads 11,450
13.

2017 Global Blockchain Benchmarking Study

Number of pages: 122 Posted: 21 Sep 2017 Last Revised: 20 Oct 2019
Working Paper Series
London School of Economics and University of Cambridge - Cambridge Centre for Alternative Finance
Downloads 11,371
14.

DeFi and the Future of Finance

Number of pages: 39 Posted: 15 Dec 2020 Last Revised: 15 Sep 2021
Working Paper Series
Duke University - Fuqua School of Business, Independent and Fei Protocol
Downloads 11,202
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

Multiple version iconThere are 2 versions of this paper

Downloads 10,239
16.

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 10,210
17.

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 9,566
18.

Hayek Money: The Cryptocurrency Price Stability Solution

Number of pages: 51 Posted: 17 Apr 2014 Last Revised: 23 Aug 2016
Working Paper Series
Digital Gold Institute
Downloads 9,383
19.

Black Money and Demonetisation

Number of pages: 24 Posted: 14 Nov 2016
Working Paper Series
University of Mumbai
Downloads 8,859
20.

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 8,760
21.

Bitcoin Spreads Like a Virus

Number of pages: 19 Posted: 23 Apr 2019 Last Revised: 19 Jan 2021
Working Paper Series
Cane Island Alternative Advisors
Downloads 8,452
22.

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 8,327
23.

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 8,268
24.

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 - Financial and Market Risk Management

Multiple version iconThere are 2 versions of this paper

Downloads 8,255
25.

Is Disruptive Blockchain Technology the Future of Financial Services?

69 The Consumer Finance Law Quarterly Report 232 (2016)
Number of pages: 11 Posted: 31 May 2016 Last Revised: 24 Dec 2017
Accepted Paper Series
Prairie View A&M University - College of Business
Downloads 7,757
26.

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 7,605
27.

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 7,402
28.

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 7,145
29.

Secret Liens and the Financial Crisis of 2008

American Bankruptcy Law Journal, Vol. 83, p. 253, 2009
Number of pages: 44 Posted: 05 Jan 2009 Last Revised: 16 Oct 2009
Accepted Paper Series
University of Southern California Gould School of Law
Downloads 7,110
30.

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 7,092
31.

Equity Premia Around the World

Number of pages: 19 Posted: 08 Oct 2011 Last Revised: 19 Mar 2016
Working Paper Series
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads 7,082
32.

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 6,969
33.

Synthetic Commodity Money

Number of pages: 29 Posted: 06 Feb 2012 Last Revised: 21 Apr 2013
Working Paper Series
The Cato Institute
Downloads 6,865
34.

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 6,741
35.

High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds

Number of pages: 27 Posted: 19 Jul 2004
Working Paper Series
London Business School
Downloads 6,673
36.

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 6,637
37.

Systemic Risk: A Survey

Number of pages: 79 Posted: 13 Mar 2001
Working Paper Series
Banque de France - Economic Study and Research Division and European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

Downloads 6,637
38.

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 Investment Research and BlueCove Limited
Downloads 6,622
39.

Special Purpose Vehicles and Securitization

FRB Philadelphia Working Paper No. 05-21
Number of pages: 63 Posted: 04 May 2005 Last Revised: 22 Nov 2019
Working Paper Series
Yale School of Management and University of Pennsylvania - Finance Department

Multiple version iconThere are 3 versions of this paper

Downloads 6,610
40.

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 6,608
41.

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 6,154
42.

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 6,031
43.

E-Banking Practices and Customer Satisfaction - A Case Study in Botswana

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 15 Posted: 04 Sep 2007
Working Paper Series
University of Leeds
Downloads 6,030
44.

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)Peter G. Peterson Institute for International Economics

Multiple version iconThere are 2 versions of this paper

Downloads 6,016
45.

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 5,971
46.

Can Bitcoin Become a Major Currency?

GMU Working Paper in Economics No. 14-17
Number of pages: 9 Posted: 06 Jun 2014 Last Revised: 22 May 2018
Working Paper Series
Florida Atlantic University and George Mason University - Department of Economics
Downloads 5,841
47.

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 5,836
48.

Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals

Number of pages: 75 Posted: 27 Dec 2007
Working Paper Series
Bloomberg L.P.
Downloads 5,814
49.

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 5,795
50.

A Step by Step Guide to Construct a Financial Model Without Plugs and Without Circularity for Valuation Purposes

Number of pages: 21 Posted: 28 May 2008 Last Revised: 02 Nov 2008
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 5,721