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
245,352
2.
Relative Strength Strategies for Investing
Number of pages: 22
Posted: 06 Apr 2010
Last Revised: 20 Apr 2010
Working Paper Series
Cambria Investment Management
Downloads
72,300
3.
Risk Premia Harvesting Through Dual Momentum
Journal of Management & Entrepreneurship, vol.2, no.1 (Mar 2017), 27-55
Number of pages: 37
Posted: 19 Apr 2012
Last Revised: 23 May 2017
Accepted Paper Series
Portfolio Management Consultants
Downloads
34,804
4.
Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay
Number of pages: 33
Posted: 04 Apr 2013
Last Revised: 13 Jun 2015
Working Paper Series
Portfolio Management Consultants
Downloads
30,026
5.
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
18,061
6.
The Econometrics of Event Studies
Number of pages: 51
Posted: 25 Oct 2004
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Rochester – Simon Business School
Downloads
15,862
7.
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
14,068
8.
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
11,257
9.
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
10,468
10.
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
7,882
11.
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
7,870
12.
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
7,577
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
7,044
14.
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
6,787
15.
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
6,459
16.
Autoencoder Asset Pricing Models
Yale ICF Working Paper No. 2019-04, Chicago Booth Research Paper No. 19-24
Number of pages: 35
Posted: 07 Mar 2019
Last Revised: 01 Oct 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads
5,634
17.
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
5,121
18.
Qualitative and Quantitative Research: How to Choose the Best Design
Presented at Academic Business World International Conference. Nashville, Tennessee. May, 2007
Number of pages: 5
Posted: 20 Mar 2013
Accepted Paper Series
Pensacola Christian College
Downloads
4,862
19.
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
4,367
20.
Forecasting Volatility in Financial Markets: A Review (Revised Edition)
Number of pages: 80
Posted: 04 Dec 2002
Working Paper Series
University of California, San Diego (UCSD) - Department of Economics and Alliance Manchester Business School, University of Manchester
There are 2 versions of this paper
Forecasting Volatility in Financial Markets: A Review (Revised Edition)
Number of pages: 80
Posted: 04 Dec 2002
Downloads
4,260
Downloads
4,260
21.
Nonparametric Rank Tests for Event Studies
21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 59
Posted: 25 Aug 2008
Last Revised: 19 Aug 2014
Working Paper Series
Texas A&M University - Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads
4,140
22.
Event Studies: A Methodology Review
Number of pages: 36
Posted: 02 Aug 2009
Last Revised: 20 Aug 2010
Working Paper Series
Deakin University - School of Accounting, Economics & Finance
There are 2 versions of this paper
Event Studies: A Methodology Review
Number of pages: 36
Posted: 02 Aug 2009
Last Revised: 20 Aug 2010
Downloads
4,103
Event Studies: A Methodology Review
Accounting & Finance, Vol. 51, No. 1, pp. 207-234, 2011
Number of pages: 28
Posted: 02 Mar 2011
Downloads
4
Downloads
4,103
23.
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
4,058
24.
Using Real-World Examples to Enhance the Relevance of the Introductory Statistics Course
Number of pages: 27
Posted: 16 Aug 2012
Working Paper Series
Brooklyn College of the City University of New York, Baruch College, CUNY - Zicklin School of Business and City University of New York (CUNY) - Department of Finance
Downloads
3,905
25.
Forecasting Financial Market Volatility: A Review
Number of pages: 43
Posted: 15 Jun 2001
Working Paper Series
University of California, San Diego (UCSD) - Department of Economics and Alliance Manchester Business School, University of Manchester
Downloads
3,838
26.
LIBOR Manipulation?
Number of pages: 49
Posted: 05 Aug 2008
Last Revised: 11 Aug 2008
Working Paper Series
The Brattle Group, affiliation not provided to SSRN, The Brattle Group and Milgard School of Business, UWT
Downloads
3,394
27.
Empirically Evaluating Claims About Investment Treaty Arbitration
North Carolina Law Review, Vol. 86, p. 1, 2007
Number of pages: 88
Posted: 15 Mar 2007
Last Revised: 20 May 2009
Accepted Paper Series
American University - Washington College of Law
Downloads
3,354
28.
How Much Should We Trust Estimates from Multiplicative Interaction Models? Simple Tools to Improve Empirical Practice
Political Analysis, forthcoming
Number of pages: 150
Posted: 29 Feb 2016
Last Revised: 29 Apr 2018
Accepted Paper Series
Stanford University - Department of Political Science, Princeton University and Stanford University
Downloads
3,343
29.
Augmented Dickey Fuller Test
Number of pages: 19
Posted: 17 Aug 2011
Working Paper Series
Université Paris I Panthéon-Sorbonne
Downloads
3,323
30.
The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation
Number of pages: 45
Posted: 08 Nov 2005
Working Paper Series
Bates College
Downloads
3,297
31.
Paired-Switching for Tactical Portfolio Allocation
Number of pages: 4
Posted: 26 Aug 2011
Last Revised: 21 Sep 2011
Working Paper Series
Independent and Independent
Downloads
3,244
32.
The Effects of Traditional and Social Earned Media on Sales: A Study of a Microlending Marketplace
Journal of Marketing Research, 49 (October).
Number of pages: 68
Posted: 29 Sep 2009
Last Revised: 05 Aug 2014
Accepted Paper Series
University of Oxford - Said Business School and Carnegie Mellon University
Downloads
3,191
33.
ARCH, GARCH and EGARCH Models: Applications to Financial Series
Cuadernos de Economía, Vol. 27, No. 48, 2008
Number of pages: 33
Posted: 27 Aug 2008
Accepted Paper Series
Universidad de los Andes, Colombia - Department of Economics and National University of Colombia
Downloads
3,163
34.
Shock-Based Causal Inference in Corporate Finance and Accounting Research
Critical Finance Review, 2016, vol. 5, pp. 207-304, ECGI - Finance Working Paper 448/2015, Northwestern Law & Econ Research Paper 11-08
Number of pages: 98
Posted: 08 May 2013
Last Revised: 14 Jan 2017
Accepted Paper Series
William and Mary - Raymond A. Mason School of Business and Northwestern University - Pritzker School of Law
Downloads
3,155
35.
Controlling Organized Crime and Corruption in the Public Sector
Forum on Crime and Society, Vol. 3, Nos. 1/2, December 2003
Number of pages: 32
Posted: 19 Sep 2006
Accepted Paper Series
International Law and Economic Development Center
Downloads
3,108
36.
Relative Strength and Portfolio Management
Dorsey Wright Money Management, January 2012
Number of pages: 17
Posted: 04 Feb 2012
Accepted Paper Series
Dorsey Wright Money Management
Downloads
3,062
37.
Presidential Address: The Scientific Outlook in Financial Economics
Duke I&E Research Paper No. 2017-05
Number of pages: 38
Posted: 10 Jan 2017
Last Revised: 22 Dec 2017
Working Paper Series
Duke University - Fuqua School of Business
Downloads
2,968
38.
A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices
Journal of Finance, Forthcoming
Number of pages: 54
Posted: 17 Mar 2008
Last Revised: 14 Jul 2011
Accepted Paper Series
University of Notre Dame - Mendoza College of Business and University of Notre Dame - Department of Finance
Downloads
2,930
39.
Principal Components as a Measure of Systemic Risk
Number of pages: 30
Posted: 05 Apr 2010
Working Paper Series
Windham Capital Management, Windham Capital Management, State Street Associates and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads
2,929
40.
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
2,734
41.
The Case of Gold and Silver: A New Algorithm for Pairs Trading
Number of pages: 7
Posted: 10 Apr 2013
Last Revised: 10 Apr 2013
Working Paper Series
B.K.School of Business Management, Gujarat University, Shri Chimanbhai Patel Institute of Management & Research and Shri Chimanbhai Patel Institute of Management & Research
Downloads
2,721
42.
Modelling Venture Capital Funds
Number of pages: 11
Posted: 19 Dec 2003
Working Paper Series
QuantExperts and European Union - Risk Management and Monitoring Division
There are 2 versions of this paper
Downloads
2,660
43.
Stock Market Sensitivity to Interest Rates and Inflation
Number of pages: 39
Posted: 26 May 2003
Working Paper Series
EDHEC BUSINESS SCHOOL
Downloads
2,659
44.
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
2,573
45.
Credit-Informed Tactical Asset Allocation
Number of pages: 13
Posted: 26 Jun 2011
Working Paper Series
Capital Context
Downloads
2,557
46.
Volatility Forecasting
Number of pages: 114
Posted: 28 Feb 2005
Working Paper Series
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
There are 2 versions of this paper
Volatility Forecasting
NBER Working Paper No. w11188
Number of pages: 113
Posted: 20 May 2005
Last Revised: 29 Jul 2010
Downloads
285
Downloads
2,424
47.
Forecasting Volatility in European Stock Markets with Non-Linear GARCH Models
Number of pages: 40
Posted: 22 Nov 2002
Working Paper Series
University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS) and Università degli Studi di Milano-Bicocca - Department of Business Administration, Finance, Management and Law
Downloads
2,398
48.
The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes
Number of pages: 12
Posted: 10 Dec 2011
Working Paper Series
Independent and affiliation not provided to SSRN
Downloads
2,382
49.
Value Creation in High-Tech: The Case of the Telecommunication Sector
Number of pages: 16
Posted: 27 Oct 2003
Accepted Paper Series
IDRAC Business School and Ecole Nationale Superieure des Telecommunications
Downloads
2,327
50.
Multivariate GARCH Models: A Survey
CORE Discussion Paper No. 2003/31
Number of pages: 39
Posted: 06 Aug 2003
Working Paper Series
Université catholique de Louvain, AMSE and HEC Montreal
Downloads
2,278
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