John O'Brien

University College Cork - Department of Accounting, Finance and Information Systems

O'Rahilly Building

College Road

Cork

Ireland

University College Cork - Cork University Business School

West Wing, Main Quadrangle, College Road

Cork

Ireland

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 10,860

SSRN RANKINGS

Top 10,860

in Total Papers Downloads

5,707

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (8)

1.

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
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 4,144 (2,988)
Citation 1

Abstract:

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Machine Learning, Quantitative Finance, Portfolio Construction, Return Forecasting

2.

When It Pays to Follow the Crowd: Strategy Conformity and CTA Performance

Journal of Futures Markets
Number of pages: 47 Posted: 14 Nov 2019 Last Revised: 09 Feb 2021
Vanderbilt University - Finance, University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 714 (46,010)

Abstract:

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CTA, Strategy Distinctiveness

3.

Time Series Momentum and Macroeconomic Risk

Number of pages: 48 Posted: 18 Jan 2015 Last Revised: 22 Dec 2019
Mark C. Hutchinson and John O'Brien
University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 591 (58,871)
Citation 2

Abstract:

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Trend Following, Time Series Momentum, Macroeconomic Risk, CTA

4.

Momentum, the Disposition Effect and Beta

Number of pages: 21 Posted: 23 Feb 2018
John O'Brien and Peter Best
University College Cork - Department of Accounting, Finance and Information Systems and Independent
Downloads 180 (212,581)

Abstract:

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Momentum, Disposition, Behavioural, Equities

5.

Does Convertible Arbitrage Risk Exposure Vary Through Time?

Number of pages: 34 Posted: 18 Apr 2015 Last Revised: 16 Jun 2018
Dublin City University Business School, University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 78 (388,658)

Abstract:

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Regime switching, hedge fund, convertible arbitrage, Risk Model

6.

Is This Time Different? Trend Following and Financial Crises

Posted: 21 May 2019
Mark C. Hutchinson and John O'Brien
University College Cork and University College Cork - Department of Accounting, Finance and Information Systems

Abstract:

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Trend Following, Time Series Momentum, Financial Crisis, CTA

7.

Testing Futures Trading Strategy Assumptions

Posted: 03 Apr 2018 Last Revised: 02 Dec 2019
Mark C. Hutchinson and John O'Brien
University College Cork and University College Cork - Department of Accounting, Finance and Information Systems

Abstract:

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Time Series Momentum, Commodity Trading Advisors, CTAs, Fees, Transaction Costs, Synthetic Futures

8.

Just a One Trick Pony? An Analysis of CTA Risk and Return

Posted: 10 Jun 2016 Last Revised: 22 May 2019
University College Cork, University College Cork, University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 0 (818,422)

Abstract:

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Performance measurement, Commodity Trading Advisors, CTAs, Alternative risk premia