Big data/machine learning
- Avoiding Backtesting Overfitting by Covariance-Penalties: An Empirical Investigation of the Ordinary and Total Least Squares CasesAdriano Koshiyama and Nick FiroozyeThe Journal of Financial Data Science October 2019, 1 (4) 63-83; DOI: https://doi.org/10.3905/jfds.2019.1.013
- Time-Series Momentum: A Monte Carlo ApproachClemens Struck and Enoch ChengThe Journal of Financial Data Science October 2019, 1 (4) 103-123; DOI: https://doi.org/10.3905/jfds.2019.1.012
- Automated Theme Search in ICO WhitepapersFu Chuanjie, Andrew Koh and Paul GriffinThe Journal of Financial Data Science October 2019, 1 (4) 140-158; DOI: https://doi.org/10.3905/jfds.2019.1.011
- Proofs and Cross-Validations: Three Lessons for Financial Data ScienceJoseph SimonianThe Journal of Financial Data Science October 2019, 1 (4) 12-18; DOI: https://doi.org/10.3905/jfds.2019.1.009
- Alpha Cloning: Using Quantitative Techniques and SEC 13f Data for Equity Portfolio Optimization and GenerationDaniel M. DiPietroThe Journal of Financial Data Science October 2019, 1 (4) 159-171; DOI: https://doi.org/10.3905/jfds.2019.1.008
- Neural Networks in Finance: Design and PerformanceIrene Aldridge and Marco AvellanedaThe Journal of Financial Data Science October 2019, 1 (4) 39-62; DOI: https://doi.org/10.3905/jfds.2019.1.4.039
- Extracting Signals from High-Frequency Trading with Digital Signal Processing ToolsJung Heon Song, Marcos López de Prado, Horst D. Simon and Kesheng WuThe Journal of Financial Data Science October 2019, 1 (4) 124-138; DOI: https://doi.org/10.3905/jfds.2019.1.4.124
- The Golden Age of QuantEric H. SorensenThe Journal of Portfolio Management October 2019, 46 (1) 12-24; DOI: https://doi.org/10.3905/jpm.2019.1.109
- Consistent and Efficient Dynamic Portfolio Replication with Many FactorsLars Stentoft and Sha WangThe Journal of Portfolio Management November 2019, jpm.2019.1.118; DOI: https://doi.org/10.3905/jpm.2019.1.118
- Pest Control: Eliminating Nuisance Allocations through Empirical Asset Class IdentificationChao Ma, Brian Jacobsen and Wai LeeThe Journal of Financial Data Science July 2019, 1 (3) 29-40; DOI: https://doi.org/10.3905/jfds.2019.1.006
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