Simulations
- Machine Trading: Theory, Advances, and ApplicationsDilip B. Madan and Yazid M. SharaihaThe Journal of Financial Data Science July 2020, 2 (3) 8-24; DOI: https://doi.org/10.3905/jfds.2020.1.039
- A Modified Hierarchical Risk Parity Framework for Portfolio ManagementMarat MolybogaThe Journal of Financial Data Science July 2020, 2 (3) 128-139; DOI: https://doi.org/10.3905/jfds.2020.1.038
- Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility FeaturesPeter Nystrup, Petter N. Kolm and Erik LindströmThe Journal of Financial Data Science July 2020, 2 (3) 25-39; DOI: https://doi.org/10.3905/jfds.2020.2.3.025
- Market Timing with the Backward SADF TestWeilong Guo and Jacqueline GlymanThe Journal of Investing May 2020, 29 (4) 32-42; DOI: https://doi.org/10.3905/joi.2020.1.129
- PCA for Implied Volatility SurfacesMarco Avellaneda, Brian Healy, Andrew Papanicolaou and George PapanicolaouThe Journal of Financial Data Science April 2020, 2 (2) 85-109; DOI: https://doi.org/10.3905/jfds.2020.1.032
- A Holistic Approach to Financial Data Science: Data, Technology, and AnalyticsTamer KhraishaThe Journal of Financial Data Science April 2020, 2 (2) 64-84; DOI: https://doi.org/10.3905/jfds.2020.1.031
- Deep Reinforcement Learning for TradingZihao Zhang, Stefan Zohren and Stephen RobertsThe Journal of Financial Data Science April 2020, 2 (2) 25-40; DOI: https://doi.org/10.3905/jfds.2020.1.030
- Modular Machine Learning for Model Validation: An Application to the Fundamental Law of Active ManagementJoseph SimonianThe Journal of Financial Data Science April 2020, 2 (2) 41-50; DOI: https://doi.org/10.3905/jfds.2020.1.027
- It’s All About Data: How to Make Good Decisions in a World Awash with InformationMehrzad Mahdavi and Hossein KazemiThe Journal of Financial Data Science April 2020, 2 (2) 8-16; DOI: https://doi.org/10.3905/jfds.2020.1.025
- Escaping the Backtesting IllusionThorsten Hens, Klaus Reiner Schenk-Hoppé and Mathis-Hendrik WoesthoffThe Journal of Portfolio Management February 2020, 46 (4) 81-93; DOI: https://doi.org/10.3905/jpm.2019.1.123
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