Simulations
- How to Increase the Odds of Owning the Few Stocks that Drive ReturnsChris Tidmore, Francis M. Kinniry, Giulio Renzi-Ricci and Edoardo CillaThe Journal of Investing September 2019, joi.2019.1.103; DOI: https://doi.org/10.3905/joi.2019.1.103
- The Golden Age of QuantEric H. SorensenThe Journal of Portfolio Management September 2019, jpm.2019.1.109; DOI: https://doi.org/10.3905/jpm.2019.1.109
- Enhancing Time-Series Momentum Strategies Using Deep Neural NetworksBryan Lim, Stefan Zohren and Stephen RobertsThe Journal of Financial Data Science September 2019, jfds.2019.1.015; DOI: https://doi.org/10.3905/jfds.2019.1.015
- Reconstructing Emerging and Developed Markets Using Hierarchical ClusteringGerald Garvey and Ananth MadhavanThe Journal of Financial Data Science September 2019, jfds.2019.1.014; DOI: https://doi.org/10.3905/jfds.2019.1.014
- Proofs and Cross-Validations: Three Lessons for Financial Data ScienceJoseph SimonianThe Journal of Financial Data Science September 2019, jfds.2019.1.009; DOI: https://doi.org/10.3905/jfds.2019.1.009
- Time-Series Momentum: A Monte Carlo ApproachClemens Struck and Enoch ChengThe Journal of Financial Data Science September 2019, jfds.2019.1.012; DOI: https://doi.org/10.3905/jfds.2019.1.012
- 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 September 2019, jfds.2019.1.013; DOI: https://doi.org/10.3905/jfds.2019.1.013
- Automated Theme Search in ICO WhitepapersFu Chuanjie, Andrew Koh and Paul GriffinThe Journal of Financial Data Science September 2019, jfds.2019.1.011; DOI: https://doi.org/10.3905/jfds.2019.1.011
- Alpha Cloning: Using Quantitative Techniques and SEC 13f Data for Equity Portfolio Optimization and GenerationDaniel M. DiPietroThe Journal of Financial Data Science August 2019, jfds.2019.1.008; DOI: https://doi.org/10.3905/jfds.2019.1.008
- Simple Correlated Binomial Portfolio Loss DistributionJoseph M. PimbleyThe Journal of Structured Finance July 2019, 25 (2) 75-86; DOI: https://doi.org/10.3905/jsf.2019.1.078
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