151.
Statistical Arbitrage: Medium Frequency Portfolio Trading
Number of pages: 27
Posted: 25 Jun 2013
Last Revised: 09 Jul 2013
Working Paper Series
Independent
Downloads
2,158
152.
An Improved Measure of Deaths Due to COVID-19 in England and Wales
Number of pages: 48
Posted: 02 Jul 2020
Working Paper Series
Economic Insight, Economic Insight, Loughborough University - School of Business and Economics and Sheffield University Management School
Downloads
2,148
153.
An Empirical Study of Exposure at Default
Number of pages: 36
Posted: 23 Jun 2008
Last Revised: 15 Feb 2010
Working Paper Series
Accenture Consulting
Downloads
2,143
154.
Quantifying Trading Behavior in Financial Markets Using Google Trends
Scientific Reports, Vol. 3, pp. 1684; DOI:10.1038/srep01684 (2013)
Number of pages: 6
Posted: 04 May 2013
Accepted Paper Series
Data Science Lab, Behavioural Science, Warwick Business School, Data Science Lab, Behavioural Science, Warwick Business School and Boston University - Center for Polymer Studies
Downloads
2,136
155.
The Flash Crash: A New Deconstruction
Number of pages: 53
Posted: 26 Jan 2016
Last Revised: 10 May 2017
Working Paper Series
University of California, Santa Cruz, Stanford University Law School and Yale University
Downloads
2,126
156.
A Primer on Alternative Risk Premia
Number of pages: 123
Posted: 04 May 2016
Last Revised: 26 Jun 2016
Working Paper Series
Lyxor Asset Management, Lyxor Asset Management, Amundi Asset Management and Ecole Polytechnique
Downloads
2,123
157.
Learning and Trusting Cointegration in Statistical Arbitrage
Number of pages: 27
Posted: 22 Feb 2013
Last Revised: 30 Sep 2014
Working Paper Series
Fitch Group
Downloads
2,106
158.
Simple and Effective Market Timing with Tactical Asset Allocation
Number of pages: 13
Posted: 17 May 2014
Working Paper Series
Independent
Downloads
2,044
159.
Option Profit and Loss Attribution and Pricing: A New Framework
Journal of Finance, Forthcoming, Baruch College Zicklin School of Business Research Paper No. 2018-04-01
Number of pages: 63
Posted: 25 Mar 2018
Last Revised: 02 Nov 2019
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads
2,042
160.
Realized Volatility
FRB of Chicago Working Paper No. 2008-14
Number of pages: 29
Posted: 12 Feb 2008
Last Revised: 05 Dec 2008
Working Paper Series
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads
2,040
161.
Why Markets Are Inefficient: A Gambling ‘Theory’ of Financial Markets for Practitioners and Theorists
Number of pages: 30
Posted: 03 Mar 2017
Last Revised: 31 Aug 2017
Working Paper Series
Stuart School of Business, Illinois Institute of Technology
Downloads
2,037
162.
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
2,034
163.
Forecasting Stock Indices: A Comparison of Classification and Level Estimation Models
Number of pages: 18
Posted: 24 Jan 2000
Working Paper Series
University of Texas at San Antonio - Department of Management Science and Statistics, Cornell University - School of Applied Economics and Management and National Chung Cheng University - Department of Finance
There are 2 versions of this paper
Forecasting Stock Indices: A Comparison of Classification and Level Estimation Models
Number of pages: 18
Posted: 24 Jan 2000
Downloads
2,033
Forecasting Stock Indices: A Comparison of Classification and Level Estimation Models
International Journal of Forecasting, Vol. 16, pp. 173-190
Posted: 28 Aug 2000
Downloads
2,033
164.
Better Investing Through Factors, Regimes and Sensitivity Analysis
Number of pages: 100
Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads
2,027
165.
Algorithmic Exposure and CVA for Exotic Derivatives
Number of pages: 31
Posted: 18 Nov 2011
Last Revised: 14 Apr 2012
Working Paper Series
Danske Bank - Danske Markets, Numerix and Numerix
Downloads
2,024
166.
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
2,017
167.
Predicting Local Violence
Number of pages: 81
Posted: 29 Sep 2014
Last Revised: 22 Jun 2017
Working Paper Series
Brown University, University of Chicago, Harris School of Public Policy and University College of London
Downloads
2,009
168.
Optimal Trading Stops and Algorithmic Trading
Number of pages: 20
Posted: 21 Jan 2014
Working Paper Series
Deutsche Bank AG
Downloads
1,997
169.
Towards a Risk Model for Venture Capital Funds: Liquidity and Performance Forecasting
Number of pages: 13
Posted: 19 Dec 2002
Working Paper Series
QuantExperts
Downloads
1,996
170.
Applying Relative Solvency to Working Capital Management - the Break-Even Approach
Number of pages: 21
Posted: 01 Aug 2005
Working Paper Series
Babcock University - School of Management Sciences
Downloads
1,988
171.
Operators on Inhomogeneous Time Series
Olsen & Associates Working Paper No. 324
Number of pages: 33
Posted: 21 Mar 2000
Working Paper Series
Edgelab and Olsen & Associates
There are 2 versions of this paper
Operators on Inhomogeneous Time Series
Olsen & Associates Working Paper No. 324
Number of pages: 33
Posted: 21 Mar 2000
Downloads
1,983
Downloads
1,983
172.
Volatility Is Rough
Quantitative Finance, Vol. 18, No. 6, 933-949, 2018.
Number of pages: 50
Posted: 15 Oct 2014
Last Revised: 25 May 2018
Accepted Paper Series
CUNY Baruch College, Ecole Polytechnique, Paris and Ecole Polytechnique, Palaiseau
Downloads
1,971
173.
Foreign Direct Investment and Stock Market Development: Ghana's Evidence
International Research Journal of Finance and Economics, Vol. 26, pp. 178-185, 2009
Number of pages: 12
Posted: 26 Oct 2008
Last Revised: 07 Apr 2009
Accepted Paper Series
University of Cape Coast - School of Business and University of Leicester - School of Management
Downloads
1,963
174.
The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity
Number of pages: 52
Posted: 25 Jan 2011
Last Revised: 29 Feb 2012
Working Paper Series
Temple University - Fox School of Business and Management, Hong Kong University of Science & Technology (HKUST) and University of British Columbia (UBC) - Division of Finance
There are 2 versions of this paper
The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity
Number of pages: 52
Posted: 25 Jan 2011
Last Revised: 29 Feb 2012
Downloads
1,945
The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity
AFA 2012 Chicago Meetings Paper
Number of pages: 52
Posted: 22 Mar 2011
Downloads
1,041
Downloads
1,945
175.
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
1,926
176.
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates
Olsen and Associates Working Paper No. 319
Number of pages: 62
Posted: 30 Mar 1999
Working Paper Series
Simon Fraser University, DEAR-Consulting, Pictet & Cie, Banquiers, Lykke Corp and Pictet Asset Management
There are 2 versions of this paper
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates
Olsen and Associates Working Paper No. 319
Number of pages: 62
Posted: 30 Mar 1999
Downloads
1,881
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates
International Economic Review, Vol. 43, No. 2, pp. 463-492, 2002
Number of pages: 30
Posted: 07 Feb 2003
Downloads
39
Downloads
1,881
177.
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
1,875
178.
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
1,865
179.
Systemic Risk and Central Clearing Counterparty Design
Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46
Posted: 09 Jun 2013
Last Revised: 01 Mar 2017
Working Paper Series
Georgia State University, Ecole Polytechnique Fédérale de Lausanne and Cornell University
There are 2 versions of this paper
Systemic Risk and Central Clearing Counterparty Design
Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46
Posted: 09 Jun 2013
Last Revised: 01 Mar 2017
Downloads
1,860
Systemic Risk in Networks with a Central Node
Forthcoming, SIAM Journal on Financial Mathematics, Swiss Finance Institute Research Paper No. 20-04
Number of pages: 43
Posted: 24 Jan 2020
Downloads
95
Downloads
1,860
180.
Aggregate Idiosyncratic Volatility
AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 63
Posted: 25 Mar 2008
Last Revised: 28 Jun 2011
Working Paper Series
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
There are 3 versions of this paper
Aggregate Idiosyncratic Volatility
AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 63
Posted: 25 Mar 2008
Last Revised: 28 Jun 2011
Downloads
1,851
Aggregate Idiosyncratic Volatility
NBER Working Paper No. w16058
Number of pages: 75
Posted: 07 Jun 2010
Last Revised: 01 Mar 2021
Downloads
36
Aggregate Idiosyncratic Volatility
CEPR Discussion Paper No. DP8149
Number of pages: 65
Posted: 27 Dec 2010
Downloads
3
Downloads
1,851
181.
A Test for Superior Predictive Ability
Brown Univ. Dept. of Economics Working Paper No. 01-06
Number of pages: 43
Posted: 01 Mar 2004
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads
1,849
182.
Performance Analysis of Pairs Trading Strategy Utilizing High Frequency Data with an Application to KOSPI 100 Equities
Number of pages: 24
Posted: 21 Aug 2011
Working Paper Series
affiliation not provided to SSRN
Downloads
1,847
183.
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
1,824
184.
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
1,824
185.
The Volatility of a Firm's Assets and the Leverage Effect
AFA 2010 Atlanta Meetings Paper
Number of pages: 64
Posted: 14 Mar 2009
Last Revised: 03 Sep 2015
Working Paper Series
University of Illinois at Urbana-Champaign - Department of Finance and New York University (NYU) - Department of Finance
Downloads
1,805
186.
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
1,796
187.
A Two-Sided, Empirical Model of Television Advertising and Viewing Markets
Number of pages: 46
Posted: 24 Feb 2020
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management
Downloads
1,793
188.
Home Away from Home? Foreign Demand and London House Prices
Number of pages: 75
Posted: 12 Nov 2013
Last Revised: 29 Nov 2016
Working Paper Series
National University of Singapore (NUS) and Imperial College London
Downloads
1,793
189.
Dynamic Interactions between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads
Number of pages: 50
Posted: 16 Aug 2005
Working Paper Series
Fordham University - Gabelli School of Business, Rutgers Business School - New Brunswick and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads
1,780
190.
Predicting Default Rates: A Forecasting Model for Moody's Issuer-Based Default Rates
Number of pages: 20
Posted: 10 Oct 2007
Working Paper Series
GE Commercial Finance, affiliation not provided to SSRN and Moody's Analytics
Downloads
1,772
191.
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
1,770
Downloads
19
Downloads
1,770
192.
Good Carry, Bad Carry
Columbia Business School Research Paper No. 15-53
Number of pages: 88
Posted: 30 Apr 2015
Last Revised: 06 Mar 2018
Working Paper Series
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
There are 4 versions of this paper
Good Carry, Bad Carry
Columbia Business School Research Paper No. 15-53
Number of pages: 88
Posted: 30 Apr 2015
Last Revised: 06 Mar 2018
Downloads
1,765
Good Carry, Bad Carry
NBER Working Paper No. w25420
Number of pages: 78
Posted: 07 Jan 2019
Last Revised: 12 Jan 2019
Downloads
5
Downloads
1
Downloads
1,765
193.
Ex Ante Construction Costs in the European Road Sector: A Comparison of Public-Private Partnerships and Traditional Public Procurement
EIB Economic and Finance Report No. 2006/1
Number of pages: 49
Posted: 19 Mar 2008
Working Paper Series
EDHEC Infrastructure Institute, EIB and International Monetary Fund (IMF) - Policy Development and Review Department
Downloads
1,764
194.
Modeling Asymmetry and Excess Kurtosis in Stock Return Data
Illinois Research & Reference Working Paper No. 00-123
Number of pages: 25
Posted: 12 Feb 2001
Working Paper Series
University of Brunei Darussalam and University of Illinois at Urbana-Champaign - Department of Economics
Downloads
1,750
195.
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
1,747
196.
How Well Do Financial and Macroeconomic Variables Predict Stock Returns: Time-Series and Cross-Sectional Evidence
Number of pages: 78
Posted: 02 Nov 2006
Working Paper Series
Finance Research Group - Aarhus School of Business
Downloads
1,744
197.
Forecasting Exchange Rates Using General Regression Neural Networks
Number of pages: 35
Posted: 17 Jan 2000
Working Paper Series
University of Texas at San Antonio - Department of Management Science and Statistics, National Chung Cheng University - Department of Finance and Cornell University - School of Applied Economics and Management
Downloads
1,743
198.
Deep Learning for Global Tactical Asset Allocation
Number of pages: 17
Posted: 11 Nov 2018
Last Revised: 03 Mar 2019
Working Paper Series
Qplum, affiliation not provided to SSRN and OPTrust
Downloads
1,739
199.
Modeling the Price Dynamics of Co2 Emission Allowances
Number of pages: 33
Posted: 19 May 2006
Last Revised: 17 Feb 2014
Working Paper Series
University of Bonn - Bonn Graduate School of Economics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads
1,735
200.
Markovian Projection Onto a Displaced Diffusion: Generic Formulas with Applications
Number of pages: 18
Posted: 17 Oct 2006
Working Paper Series
Danske Bank - Danske Markets and Bloomberg LP
There are 2 versions of this paper
Markovian Projection Onto a Displaced Diffusion: Generic Formulas with Applications
Number of pages: 18
Posted: 17 Oct 2006
Downloads
1,722
Markovian Projection Onto a Displaced Diffusion: Generic Formulas with Applications
International Journal of Theoretical and Applied Finance, Vol. 12, No. 4, pp. 507-522, 2009
Posted: 02 Dec 2009
Downloads
1,722
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