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
245,259
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 University of California, Irvine - Paul Merage School of Business
Downloads
26,713
3.
Pitching Research®
Number of pages: 37
Posted: 04 Jul 2014
Last Revised: 08 Mar 2021
Working Paper Series
Bond University
Downloads
18,569
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
17,910
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
13,989
6.
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
10,451
7.
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
9,790
8.
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
7,868
9.
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
7,847
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
7,539
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
7,296
12.
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
7,038
13.
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
6,761
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
6,457
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
5,878
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
5,111
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
There are 2 versions of this paper
Warning: Physics Envy May be Hazardous to Your Wealth!
Number of pages: 73
Posted: 05 Mar 2010
Last Revised: 15 Mar 2010
Downloads
4,905
Warning: Physics Envy May Be Hazardous to Your Wealth!
Journal of Investment Management (JOIM), Second Quarter 2010
Posted: 13 Jul 2010
Downloads
4,905
18.
Applied Multidimensional Girsanov Theorem
Number of pages: 18
Posted: 11 Apr 2011
Last Revised: 03 Mar 2015
Working Paper Series
Tenokonda Ltd
Downloads
4,637
19.
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
4,402
20.
Markov Representation of the Heath-Jarrow-Morton Model
Number of pages: 13
Posted: 26 Mar 2001
Working Paper Series
Loomis Sayles
Downloads
4,394
21.
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
4,361
22.
Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)
Number of pages: 29
Posted: 01 Aug 2018
Last Revised: 02 Jan 2019
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads
4,045
23.
A Simple Macroeconomic Model of Bitcoin
Number of pages: 3
Posted: 12 Feb 2014
Working Paper Series
Bitquant Research Laboratories
Downloads
3,996
24.
Analytic Solutions for Optimal Statistical Arbitrage Trading
Number of pages: 16
Posted: 14 Nov 2009
Working Paper Series
ITG Australia Limited
Downloads
3,923
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
3,370
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
3,349
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
Quantica Capital AG
Downloads
3,241
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
Quantica Capital AG
Downloads
3,240
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
University of Florida and Loyola Law School Los Angeles
Downloads
3,179
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
3,013
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
2,787
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
2,733
33.
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
Quantica Capital AG
Downloads
2,648
34.
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
2,572
35.
Credit-Informed Tactical Asset Allocation
Number of pages: 13
Posted: 26 Jun 2011
Working Paper Series
Capital Context
Downloads
2,554
36.
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
2,472
37.
Machine Learning for Volatility Trading (Presentation Slides)
Number of pages: 34
Posted: 14 Jun 2018
Working Paper Series
Quantica Capital AG
Downloads
2,405
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
2,263
39.
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
2,183
40.
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
2,166
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
Quantica Capital AG
Downloads
2,114
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
1,957
43.
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
1,943
44.
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
1,932
45.
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
1,897
46.
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
1,880
47.
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
1,843
48.
What's Past is Not Prologue
Number of pages: 5
Posted: 08 Aug 2018
Working Paper Series
Elm Partners, Elm Partners and Elm Partners
Downloads
1,833
49.
Return Chasing and Trend Following: Superficial Similarities Mask Fundamental Differences
Number of pages: 12
Posted: 21 Jan 2016
Last Revised: 30 Jan 2016
Working Paper Series
Elm Partners and Elm Partners
Downloads
1,811
50.
Tail Hedging Strategies
Number of pages: 26
Posted: 08 May 2013
Last Revised: 16 Aug 2018
Working Paper Series
The Cambridge Strategy
Downloads
1,804
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