151.
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
2,206
152.
Predicting Customer Lifetime Value in Multi-Service Industries
Number of pages: 48
Posted: 26 Aug 2006
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Groningen - Department of Marketing & Marketing Research and Tilburg University - Department of Marketing
Downloads
2,193
153.
A Regime-Switching Relative Value Arbitrage Rule
Number of pages: 6
Posted: 10 Aug 2008
Working Paper Series
University of Graz and University of Graz
Downloads
2,174
154.
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
2,173
155.
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
2,172
156.
The Outsourcing of Financial Regulation to Risk Models and the Global Financial Crisis: Code, Crash, and Open Source
Washington Law Review, Forthcoming
Number of pages: 83
Posted: 25 Sep 2008
Last Revised: 06 Jul 2010
Accepted Paper Series
University of Colorado Law School
Downloads
2,168
157.
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
2,167
158.
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
2,151
159.
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
2,129
160.
Simple and Effective Market Timing with Tactical Asset Allocation
Number of pages: 13
Posted: 17 May 2014
Working Paper Series
Independent
Downloads
2,071
161.
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
2,070
162.
Why Markets Are Inefficient: A Gambling ‘Theory’ of Financial Markets for Practitioners and Theorists
Number of pages: 29
Posted: 03 Mar 2017
Last Revised: 06 Jul 2021
Working Paper Series
Stuart School of Business, Illinois Institute of Technology
Downloads
2,070
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
2,069
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
2,069
164.
Better Investing Through Factors, Regimes and Sensitivity Analysis
Number of pages: 100
Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads
2,061
165.
Principal Portfolios
Swiss Finance Institute Research Paper No. 20-67, NYU Stern School of Business
Number of pages: 98
Posted: 06 Aug 2020
Last Revised: 26 May 2021
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: 98
Posted: 06 Aug 2020
Last Revised: 26 May 2021
Downloads
2,054
Downloads
20
Downloads
2,054
166.
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
2,053
Downloads
2,053
167.
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
2,041
168.
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
2,040
169.
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
2,027
170.
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
2,018
171.
Optimal Trading Stops and Algorithmic Trading
Number of pages: 20
Posted: 21 Jan 2014
Working Paper Series
Deutsche Bank AG
Downloads
2,015
172.
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
2,009
173.
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
2,005
174.
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
1,995
175.
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
1,979
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
1,047
Downloads
1,979
176.
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
1,975
177.
Interest Rates Benchmark Reform and Options Markets
Number of pages: 22
Posted: 09 Mar 2020
Last Revised: 15 Jul 2020
Working Paper Series
NatWest Markets
Downloads
1,948
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
1,925
179.
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
1,902
180.
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
1,895
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
101
Downloads
1,895
181.
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
1,890
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
1,890
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
1,882
183.
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
1,880
184.
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
1,869
185.
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
1,858
Aggregate Idiosyncratic Volatility
NBER Working Paper No. w16058
Number of pages: 75
Posted: 07 Jun 2010
Last Revised: 19 May 2021
Downloads
36
Aggregate Idiosyncratic Volatility
CEPR Discussion Paper No. DP8149
Number of pages: 65
Posted: 27 Dec 2010
Downloads
3
Downloads
1,858
186.
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
1,835
187.
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
1,833
188.
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
1,822
189.
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
1,820
190.
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
1,820
191.
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
1,813
192.
Dragon-Kings, Black Swans and the Prediction of Crises
Swiss Finance Institute Research Paper No. 09-36
Number of pages: 21
Posted: 08 Sep 2009
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
There are 2 versions of this paper
Dragon-Kings, Black Swans and the Prediction of Crises
Swiss Finance Institute Research Paper No. 09-36
Number of pages: 21
Posted: 08 Sep 2009
Downloads
1,807
Dragon-Kings, Black Swans and the Prediction of Crises
CCSS Working Paper No. CCSS-09-005
Number of pages: 20
Posted: 01 May 2010
Downloads
330
Downloads
1,807
193.
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
1,805
194.
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
1,797
195.
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
1,795
Good Carry, Bad Carry
NBER Working Paper No. w25420
Number of pages: 78
Posted: 07 Jan 2019
Last Revised: 17 Jun 2021
Downloads
5
Downloads
1
Downloads
1,795
196.
LexNLP: Natural Language Processing and Information Extraction For Legal and Regulatory Texts
Number of pages: 7
Posted: 21 Jun 2018
Working Paper Series
Bommarito Consulting, LLC, Illinois Tech - Chicago Kent College of Law and LexPredict, LLC
Downloads
1,793
197.
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
1,788
198.
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
1,784
199.
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
1,781
200.
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
1,763
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