1.
Empirical Asset Pricing via Machine Learning
Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79
Posted: 09 Apr 2018
Last Revised: 15 Sep 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
There are 2 versions of this paper
Empirical Asset Pricing via Machine Learning
Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79
Posted: 09 Apr 2018
Last Revised: 15 Sep 2019
Downloads
12,795
Empirical Asset Pricing Via Machine Learning
NBER Working Paper No. w25398
Number of pages: 80
Posted: 26 Dec 2018
Downloads
32
Downloads
12,795
2.
Deep Learning for Finance: Deep Portfolios
Applied Stochastic Models in Business and Industry 33 (1), 3-12.
Number of pages: 15
Posted: 14 Sep 2016
Last Revised: 29 Apr 2019
Accepted Paper Series
One Hat Research LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads
8,959
3.
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
7,739
4.
A Backtesting Protocol in the Era of Machine Learning
Number of pages: 18
Posted: 13 Nov 2018
Last Revised: 24 Nov 2018
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business and University of California at San Diego
Downloads
6,741
5.
The Price Impact of Order Book Events
JOURNAL OF FINANCIAL ECONOMETRICS (Winter 2014) 12 (1): 47-88.
Number of pages: 32
Posted: 28 Nov 2010
Last Revised: 17 Sep 2015
Accepted Paper Series
University of Oxford, Tower Research Capital, LLC and Cornell Financial Engineering Manhattan
Downloads
5,324
6.
CDS Rate Construction Methods by Machine Learning Techniques
Number of pages: 51
Posted: 15 May 2017
Last Revised: 31 Oct 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads
5,133
7.
Markov-Switching GARCH Models in R: The MSGARCH Package
Journal of Statistical Software, Vol. 91, Issue 4, 2019
Number of pages: 38
Posted: 02 Oct 2016
Last Revised: 20 Nov 2019
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads
4,759
8.
Short Interest and Aggregate Stock Returns
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 51
Posted: 02 Aug 2014
Last Revised: 20 Feb 2016
Working Paper Series
Saint Louis University, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads
4,739
9.
Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning
Swiss Finance Institute Research Paper No. 19-80
Number of pages: 14
Posted: 30 May 2019
Last Revised: 02 Jan 2020
Working Paper Series
JP Morgan, Ludwig-Maximilians-Universität München, ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads
4,431
10.
Machine Learning for Stock Selection
Financial Analysts Journal, vol. 75, no. 3 (Third Quarter 2019)
Number of pages: 35
Posted: 04 Mar 2019
Last Revised: 09 Aug 2019
Accepted Paper Series
Gresham Investment Management, LLC and Arwen Advisors
Downloads
4,108
11.
Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning
Number of pages: 20
Posted: 16 Mar 2018
Last Revised: 29 Mar 2018
Working Paper Series
Imperial College London - Department of Mathematics and University of Oxford
Downloads
4,077
12.
Managing Risk Exposures Using the Risk Budgeting Approach
Number of pages: 33
Posted: 23 Feb 2012
Last Revised: 10 Apr 2012
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads
3,970
13.
Risk Parity Portfolios with Risk Factors
Number of pages: 32
Posted: 03 Oct 2012
Last Revised: 06 Oct 2012
Working Paper Series
Amundi Asset Management and affiliation not provided to SSRN
Downloads
3,500
14.
Risk Everywhere: Modeling and Managing Volatility
Number of pages: 54
Posted: 28 Jan 2016
Last Revised: 22 Mar 2017
Working Paper Series
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
There are 2 versions of this paper
Risk Everywhere: Modeling and Managing Volatility
Number of pages: 54
Posted: 28 Jan 2016
Last Revised: 22 Mar 2017
Downloads
3,091
Risk Everywhere: Modeling and Managing Volatility
CEPR Discussion Paper No. DP12687
Number of pages: 57
Posted: 14 Feb 2018
Downloads
3
Downloads
3,091
15.
Forecasting Stock Returns in Good and Bad Times: The Role of Market States
27th Australasian Finance and Banking Conference 2014 Paper, Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 41
Posted: 14 Dec 2012
Last Revised: 01 Aug 2017
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads
2,974
16.
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
2,929
17.
A Proof of the Optimality of Volatility Weighting Over Time
Number of pages: 23
Posted: 20 Feb 2012
Last Revised: 15 Aug 2014
Working Paper Series
Robeco Asset Management, Quantitative Investment Research
Downloads
2,304
18.
VPIN and the Flash Crash
Journal of Financial Markets, Vol. 17, pp. 1-46, 2014
Number of pages: 44
Posted: 09 Jul 2011
Last Revised: 18 Feb 2014
Accepted Paper Series
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads
2,234
19.
Enhancing Risk Parity by Including Views
Journal of Investing, 2017
Number of pages: 34
Posted: 12 Aug 2014
Last Revised: 20 Sep 2016
Accepted Paper Series
Robeco Investment Research, Robeco Asset Management, Quantitative Investment Research, Robeco Asset Management and Robeco Asset Management
Downloads
2,001
20.
Enhanced Portfolio Optimization
Number of pages: 49
Posted: 02 Mar 2020
Last Revised: 19 Nov 2020
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management
Downloads
1,878
21.
Investment Strategies with VIX and VSTOXX Futures
Number of pages: 44
Posted: 08 Nov 2013
Last Revised: 02 Dec 2013
Working Paper Series
University of Kent - Kent Business School and University of Sussex
Downloads
1,853
22.
Volatility Weighting Applied to Momentum Strategies
Journal of Alternative Investments, Forthcoming, https://doi.org/10.3905/jai.2017.19.3.040
Number of pages: 37
Posted: 29 Apr 2015
Last Revised: 22 May 2019
Accepted Paper Series
Independent and Robeco Asset Management, Quantitative Investment Research
Downloads
1,806
23.
Statistical Modeling of Credit Default Swap Portfolios
Number of pages: 43
Posted: 14 Apr 2011
Last Revised: 25 Apr 2011
Working Paper Series
University of Oxford and Bloomberg Tradebook
Downloads
1,742
24.
Forecasting the Equity Risk Premium: The Role of Technical Indicators
Federal Reserve Bank of St. Louis Working Paper No. 2010-008H
Number of pages: 48
Posted: 11 Mar 2010
Last Revised: 03 Feb 2014
Working Paper Series
Federal Reserve Bank of St. Louis - Research Division, Saint Louis University, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads
1,683
25.
Principal Portfolios
Swiss Finance Institute Research Paper No. 20-67, NYU Stern School of Business
Number of pages: 71
Posted: 06 Aug 2020
Last Revised: 29 Oct 2020
Working Paper Series
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
There are 2 versions of this paper
Principal Portfolios
Swiss Finance Institute Research Paper No. 20-67, NYU Stern School of Business
Number of pages: 71
Posted: 06 Aug 2020
Last Revised: 29 Oct 2020
Downloads
1,634
Downloads
19
Downloads
1,634
26.
Does it Pay to Be Green?
Number of pages: 16
Posted: 27 Feb 2017
Working Paper Series
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne
Downloads
1,552
27.
The Misuse of Tobin's Q
UC Berkeley Public Law Research Paper
Number of pages: 50
Posted: 15 Feb 2018
Last Revised: 28 Jun 2018
Working Paper Series
University of California, Berkeley - School of Law and University of California, Berkeley - School of Law
Downloads
1,536
28.
Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study
International Journal of Forecasting, Vol 34, Issue 4, pp. 733-747, 2018
Number of pages: 36
Posted: 16 Feb 2017
Last Revised: 28 Mar 2019
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads
1,531
29.
Stocks for the Long Run? Evidence from a Broad Sample of Developed Markets
Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 81
Posted: 03 Jun 2020
Last Revised: 19 Jan 2021
Accepted Paper Series
University of Arizona, Eller College of Management, Department of Finance, Students, University of Arizona - Department of Finance and University of Missouri at Columbia - Department of Finance
Downloads
1,527
30.
Firm Characteristics and Expected Stock Returns
Number of pages: 59
Posted: 13 Jun 2018
Last Revised: 11 Sep 2020
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, University of South Carolina - Darla Moore School of Business, Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads
1,525
31.
Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses
A version of this paper was published in Risk, 26 January 2018
Number of pages: 14
Posted: 27 Dec 2017
Last Revised: 10 Sep 2018
Accepted Paper Series
Intesa Sanpaolo - Financial and Market Risk Management, Intesa Sanpaolo-Financial and Market Risk Management and Intesa Sanpaolo - Financial and Market Risk Management
Downloads
1,495
32.
Drawdowns
Number of pages: 19
Posted: 24 Apr 2020
Last Revised: 05 May 2020
Working Paper Series
Man AHL, University of Cambridge - Downing College, Duke University - Fuqua School of Business, Man Group plc, Man AHL and Man Group plc
Downloads
1,492
33.
The Scientific Outlook in Financial Economics: Transcript of the Presidential Address and Presentation Slides
Duke I&E Research Paper No. 2017-06
Number of pages: 16
Posted: 10 Jan 2017
Working Paper Series
Duke University - Fuqua School of Business
Downloads
1,347
34.
The Economics of Bitcoins -- Market Characteristics and Price Jumps
CESifo Working Paper Series No. 5121
Number of pages: 12
Posted: 14 Jan 2015
Working Paper Series
University of Aberdeen
Downloads
1,316
35.
Measuring Investor Sentiment
Annual Review of Financial Economics, Forthcoming
Number of pages: 37
Posted: 11 Oct 2017
Last Revised: 17 Dec 2017
Accepted Paper Series
Washington University in St. Louis - John M. Olin Business School
There are 2 versions of this paper
Measuring Investor Sentiment
Annual Review of Financial Economics, Forthcoming
Number of pages: 37
Posted: 11 Oct 2017
Last Revised: 17 Dec 2017
Downloads
1,285
Measuring Investor Sentiment
Annual Review of Financial Economics, Vol. 10, pp. 239-259, 2018
Posted: 08 Nov 2018
Downloads
1,285
36.
Machine Learning and the Stock Market
Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 66
Posted: 27 Aug 2018
Last Revised: 26 Jan 2021
Working Paper Series
University of Utah - David Eccles School of Business and Stockholm University
Downloads
1,252
37.
Understanding Cryptocurrencies
Number of pages: 39
Posted: 29 Apr 2019
Last Revised: 22 Sep 2020
Working Paper Series
Blockchain Research Center, Duke University - Fuqua School of Business and International Research Training Group 1792
Downloads
1,252
38.
High-Frequency Jump Analysis of the Bitcoin Market
Swiss Finance Institute Research Paper No. 17-19
Number of pages: 30
Posted: 10 Jun 2017
Last Revised: 26 Jun 2017
Working Paper Series
University of Geneva GSEM and GFRI, University of Zurich and Ecole Polytechnique Fédérale de Lausanne
Downloads
1,232
39.
Forest Through the Trees: Building Cross-Sections of Stock Returns
Number of pages: 79
Posted: 19 Dec 2019
Last Revised: 28 Sep 2020
Working Paper Series
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads
1,230
40.
The Rate of Market Efficiency
Number of pages: 62
Posted: 20 Mar 2012
Last Revised: 13 Oct 2014
Working Paper Series
EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting and Universidad Carlos III de Madrid
Downloads
1,225
41.
Factor High-Frequency Based Volatility (HEAVY) Models
Number of pages: 47
Posted: 28 May 2014
Working Paper Series
University of Oxford - Department of Economics and Capital University of Economics and Business-International School of Economics and Management
Downloads
1,222
42.
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Number of pages: 61
Posted: 04 Dec 2019
Last Revised: 08 Jul 2020
Working Paper Series
London Business School - Department of Finance, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads
1,187
43.
Factor Investing: Risk Premia vs. Diversification Benefits
Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 43
Posted: 08 Jun 2015
Last Revised: 10 Sep 2017
Working Paper Series
Amundi Asset Management and Université Libre de Bruxelles (ULB), Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Downloads
1,185
44.
Datestamping the Bitcoin and Ethereum Bubbles
Number of pages: 17
Posted: 05 Dec 2017
Working Paper Series
Dublin City University, Trinity Business School, Trinity College Dublin and University of Southampton - Southampton Business School
Downloads
1,142
45.
Trading Volume in Cryptocurrency Markets
Number of pages: 50
Posted: 13 Sep 2018
Last Revised: 15 Dec 2020
Working Paper Series
School of Economics and Finance, Queen Mary University of London and University of Warwick - Warwick Business SchoolWarwick Business School
Downloads
1,129
46.
Measuring Firm Size in Empirical Corporate Finance
Journal of Banking and Finance, Forthcoming
Number of pages: 59
Posted: 27 Oct 2013
Last Revised: 28 Aug 2018
Accepted Paper Series
Founder Securities, University of Western Ontario - Ivey School of Business and Wuhan University
Downloads
1,114
47.
Principal Component Analysis of High Frequency Data
Chicago Booth Research Paper No. 15-39
Number of pages: 64
Posted: 19 Aug 2015
Last Revised: 22 Aug 2017
Working Paper Series
Princeton University - Department of Economics and University of Chicago - Booth School of Business
There are 2 versions of this paper
Principal Component Analysis of High Frequency Data
Chicago Booth Research Paper No. 15-39
Number of pages: 64
Posted: 19 Aug 2015
Last Revised: 22 Aug 2017
Downloads
1,112
Principal Component Analysis of High Frequency Data
NBER Working Paper No. w21584
Number of pages: 53
Posted: 28 Sep 2015
Last Revised: 05 Feb 2021
Downloads
23
Downloads
1,112
48.
Bitcoin Market Microstructure
Number of pages: 25
Posted: 11 Apr 2017
Working Paper Series
University of Tübingen - Department of Statistics and Econometrics
Downloads
1,104
49.
Dissecting Characteristics Nonparametrically
Number of pages: 105
Posted: 11 Aug 2016
Last Revised: 05 Aug 2018
Working Paper Series
University of Wisconsin - Madison, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
There are 6 versions of this paper
Dissecting Characteristics Nonparametrically
Number of pages: 105
Posted: 11 Aug 2016
Last Revised: 05 Aug 2018
Downloads
1,091
Dissecting Characteristics Nonparametrically
Fama-Miller Working Paper, Chicago Booth Research Paper No. 17-32
Number of pages: 105
Posted: 20 Nov 2017
Last Revised: 27 Jul 2018
Downloads
178
Dissecting Characteristics Nonparametrically
CESifo Working Paper Series No. 6391
Number of pages: 68
Posted: 12 Apr 2017
Downloads
155
Dissecting Characteristics Nonparametrically
CESifo Working Paper Series No. 7187
Number of pages: 107
Posted: 16 Oct 2018
Downloads
112
Dissecting Characteristics Nonparametrically
University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-50
Number of pages: 106
Posted: 01 Aug 2018
Downloads
78
Dissecting Characteristics Nonparametrically
NBER Working Paper No. w23227
Number of pages: 68
Posted: 19 Mar 2017
Downloads
28
Downloads
1,091
50.
The Contributions of Betas versus Characteristics to the ESG Premium
CEIS Working Paper No. 413
Number of pages: 34
Posted: 20 Dec 2019
Last Revised: 03 Aug 2020
Working Paper Series
Tor Vergata University of Rome - Department of Economics and Finance, University of Gronigen - Faculty of Economics and Business and University of Groningen - Faculty of Economics and Business
Downloads
1,077
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