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 Engineering
Downloads
20,099
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 Engineering
Downloads
16,333
3.
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) - Sloan School of Management
There are 2 versions of this paper
What Happened to the Quants in August 2007?
Number of pages: 67
Posted: 21 Sep 2007
Last Revised: 17 Jan 2008
Downloads
15,499
What Happened to the Quants in August 2007?
Journal of Investment Management, Vol. 5, No. 4, Fourth Quarter 2007
Posted: 17 Jan 2008
Downloads
15,499
4.
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), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads
12,895
5.
An Alternative Three-Factor Model
Number of pages: 32
Posted: 19 May 2010
Last Revised: 21 Jan 2014
Working Paper Series
Luohan Academy, Simon Business School, University of Rochester and Ohio State University - Fisher College of Business
Downloads
11,858
6.
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), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
There are 2 versions of this paper
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
Downloads
11,539
The Probability of Backtest Overfitting
Journal of Computational Finance, Forthcoming
Number of pages: 31
Posted: 21 Sep 2016
Downloads
1
Downloads
11,539
7.
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
There are 2 versions of this paper
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
Downloads
11,143
Institutional Investors and Stock Market Volatility
NBER Working Paper No. w11722
Number of pages: 52
Posted: 18 Jan 2006
Last Revised: 14 Jul 2010
Downloads
148
Downloads
11,143
8.
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 Engineering
Downloads
11,114
9.
Three Quant Lessons from COVID-19 (Presentation Slides)
Number of pages: 19
Posted: 31 Mar 2020
Last Revised: 08 May 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering and Hebrew University of Jerusalem
Downloads
11,029
10.
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
There are 2 versions of this paper
The Tactical and Strategic Value of Commodity Futures
Number of pages: 61
Posted: 03 Feb 2005
Downloads
9,985
The Tactical and Strategic Value of Commodity Futures
NBER Working Paper No. w11222
Number of pages: 46
Posted: 29 Apr 2005
Last Revised: 01 Mar 2021
Downloads
417
Downloads
9,985
11.
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 Engineering
Downloads
9,391
12.
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
8,282
13.
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
8,077
14.
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
7,227
15.
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
6,857
16.
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 Engineering
Downloads
6,782
17.
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 Engineering
Downloads
6,727
18.
Measuring Loss Potential of Hedge Fund Strategies
Number of pages: 25
Posted: 04 Jan 2005
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering and UBS Wealth Managment Research
Downloads
6,563
19.
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
6,363
20.
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
6,213
21.
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 Engineering
Downloads
6,133
22.
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)
There are 2 versions of this paper
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
Downloads
5,988
The Crisis: Basic Mechanisms and Appropriate Policies
IMF Working Paper No. 09/80
Number of pages: 24
Posted: 28 Apr 2009
Downloads
1,074
Downloads
5,988
23.
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 Suisse, Credit Suisse and Bard College at Simon's Rock
Downloads
5,741
24.
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 Engineering
Downloads
5,671
25.
Demography and the Long-Run Predictability of the Stock Market
Number of pages: 33
Posted: 24 Sep 2002
Working Paper Series
Yale University, University of Southern California - Department of Economics and University of California, Davis - Department of Economics
Downloads
5,573
26.
The Dark Side of Universal Banking: Financial Conglomerates and the Origins of the Subprime Financial Crisis
Connecticut Law Review, Vol. 41, No. 4, 2009, GWU Law School Public Law Research Paper No. 468, GWU Legal Studies Research Paper No. 468
Number of pages: 89
Posted: 13 May 2009
Accepted Paper Series
George Washington University Law School
Downloads
5,494
27.
What Every Investor Should Know About Commodities, Part I: Univariate Return Analysis
Alternative Investment Research Centre Working Paper No. 29, Cass Business School Research Paper
Number of pages: 35
Posted: 27 Jan 2006
Working Paper Series
Independent and Deutsche Bank AG (London)
Downloads
5,433
28.
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 Engineering and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads
5,379
29.
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
5,318
30.
Tactical Investment Algorithms
Number of pages: 11
Posted: 30 Sep 2019
Last Revised: 01 Oct 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
4,969
31.
Understanding the Fed Model, Capital Structure, and Then Some
Number of pages: 25
Posted: 24 Apr 2011
Last Revised: 15 Aug 2012
Working Paper Series
affiliation not provided to SSRN
Downloads
4,915
32.
Financial Inclusion and Financial Stability: Current Policy Issues
ADBI Working Paper No. 259
Number of pages: 33
Posted: 22 Dec 2010
Last Revised: 15 Jan 2011
Working Paper Series
Alliance for Financial Inclusion (AFI) and Infusive Intelligence
Downloads
4,887
33.
What to Look for in a Backtest
Number of pages: 58
Posted: 12 Aug 2013
Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
4,793
34.
Quantitative Meta-Strategies
Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming
Number of pages: 6
Posted: 10 Jan 2015
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
4,792
35.
Does the Fed Control Interest Rates?
The Review of Asset Pricing Studies, Forthcoming, Chicago Booth Research Paper No. 12-23, Fama-Miller Working Paper
Number of pages: 6
Posted: 05 Aug 2012
Last Revised: 09 Nov 2020
Accepted Paper Series
University of Chicago - Finance
Downloads
4,759
36.
Kinetic Component Analysis
Journal of Investing, Vol. 25, No. 3, 2016
Number of pages: 24
Posted: 21 May 2019
Last Revised: 30 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering and University of Oxford - Mathematical Institute
Downloads
4,753
37.
Building Diversified Portfolios That Outperform Out-of-Sample (Presentation Slides)
Number of pages: 33
Posted: 11 Jan 2016
Last Revised: 14 Aug 2016
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
4,732
38.
Interest Rate Targeting and the Dynamics of Short-Term Rates
Number of pages: 30
Posted: 01 Feb 1997
Working Paper Series
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR), Goldman Sachs Group, Inc. - Quantitative Strategy Group and World Bank
There are 4 versions of this paper
Interest Rate Targeting and the Dynamics of Short-Term Rates
Number of pages: 30
Posted: 01 Feb 1997
Downloads
4,457
Interest Rate Targeting and the Dynamics of Short-Term Rates
NYU Working Paper No. FIN-94-011
Number of pages: 18
Posted: 11 Nov 2008
Downloads
55
Interest Rate Targeting and the Dynamics of Short-Term Rates
NBER Working Paper No. w5944
Number of pages: 36
Posted: 25 May 2006
Last Revised: 09 Apr 2010
Downloads
34
Downloads
4,457
39.
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 Engineering
Downloads
4,326
40.
What Every Investor Should Know About Commodities, Part Ii: Multivariate Return Analysis
Alternative Investment Research Centre Working Paper No. 33
Number of pages: 35
Posted: 14 Jun 2006
Last Revised: 20 Oct 2016
Working Paper Series
Independent and Deutsche Bank AG (London)
There are 2 versions of this paper
What Every Investor Should Know About Commodities, Part Ii: Multivariate Return Analysis
Alternative Investment Research Centre Working Paper No. 33
Number of pages: 35
Posted: 14 Jun 2006
Last Revised: 20 Oct 2016
Downloads
4,218
What Every Investor Should Know About Commodities Part II: Multivariate Return Analysis
Journal of Investment Management, Vol. 5, No. 3, Third Quarter 2007
Posted: 22 Oct 2007
Downloads
4,218
41.
The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?
Number of pages: 26
Posted: 31 May 2019
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Man Group plc, Man AHL, Man Numeric and Man AHL
Downloads
4,069
42.
Advances in Financial Machine Learning: Lecture 2/10 (seminar slides)
Number of pages: 51
Posted: 30 Sep 2018
Last Revised: 29 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
4,060
43.
Economic Aspects of Bitcoin and Other Decentralized Public-Ledger Currency Platforms
University of Chicago Coase-Sandor Institute for Law & Economics Research Paper No. 685
Number of pages: 27
Posted: 14 Apr 2014
Last Revised: 17 May 2014
Working Paper Series
Global Economics Group
Downloads
3,987
44.
Facts and Fantasies About Commodity Futures Ten Years Later
Number of pages: 31
Posted: 27 May 2015
Working Paper Series
SummerHaven Investment Management, Yale School of Management and Yale School of Management - International Center for Finance
There are 2 versions of this paper
Facts and Fantasies About Commodity Futures Ten Years Later
Number of pages: 31
Posted: 27 May 2015
Downloads
3,974
Facts and Fantasies About Commodity Futures Ten Years Later
NBER Working Paper No. w21243
Number of pages: 31
Posted: 08 Jun 2015
Downloads
42
Downloads
3,974
45.
Beyond Econometrics: A Roadmap Towards Financial Machine Learning
Number of pages: 31
Posted: 22 Apr 2019
Last Revised: 23 Sep 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
3,917
46.
The Role of the Capital Market in the Economic Development
Number of pages: 9
Posted: 13 Dec 2006
Working Paper Series
Alexandru Ioan Cuza University - Faculty of Economics and Business Administration
Downloads
3,693
47.
Determinants of Commercial Bank Interest Margins and Profitability: Some International Evidence
Number of pages: 38
Posted: 20 Apr 2016
Working Paper Series
World Bank and Tilburg University - Center for Economic Research (CentER)
Downloads
3,643
48.
The Regulatory Response to the Financial Crisis
CESifo Working Paper Series No. 2257
Number of pages: 25
Posted: 25 Mar 2008
Working Paper Series
London School of Economics & Political Science (LSE) - Financial Markets Group
Downloads
3,633
49.
Energy Shocks and Financial Markets
Journal of Futures Markets, Vol. 16, No. 1, pp. 1-27, 1996
Number of pages: 38
Posted: 16 May 2006
Accepted Paper Series
University of Notre Dame, University of New South Wales, Sydney and Vanderbilt University - Finance
Downloads
3,612
50.
How to Time the Commodity Market
Journal of Derivatives & Hedge Funds, Vol. 16, No. 1, pp. 1-8, 2010, WBS Finance Group Research Paper No. 66
Number of pages: 16
Posted: 22 Jun 2006
Last Revised: 23 Dec 2019
Working Paper Series
SKEMA Business School - Lille Campus, Deutsche Bank AG (London) and University of Warwick - Finance Group
Downloads
3,554
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