Statistical methods
- PCA for Implied Volatility SurfacesMarco Avellaneda, Brian Healy, Andrew Papanicolaou and George PapanicolaouThe Journal of Financial Data Science March 2020, jfds.2020.1.032; DOI: https://doi.org/10.3905/jfds.2020.1.032
- Opposites Attract: Combining Alpha Momentum and Alpha Reversal in International Equity MarketsAdam Zaremba, Mehmet Umutlu and Andreas KarathanasopoulosThe Journal of Investing February 2020, joi.2020.1.120; DOI: https://doi.org/10.3905/joi.2020.1.120
- The Risk in ValueHaim A. MozesThe Journal of Investing February 2020, joi.2020.1.119; DOI: https://doi.org/10.3905/joi.2020.1.119
- Risk Parity Optimality Even with Negative Sharpe Ratio AssetsBrian Jacobsen and Wai LeeThe Journal of Portfolio Management March 2020, jpm.2020.1.151; DOI: https://doi.org/10.3905/jpm.2020.1.151
- A Holistic Approach to Financial Data Science: Data, Technology, and AnalyticsTamer KhraishaThe Journal of Financial Data Science March 2020, jfds.2020.1.031; DOI: https://doi.org/10.3905/jfds.2020.1.031
- Deep Reinforcement Learning for TradingZihao Zhang, Stefan Zohren and Roberts StephenThe Journal of Financial Data Science March 2020, jfds.2020.1.030; DOI: https://doi.org/10.3905/jfds.2020.1.030
- Parameterized Calendar Correlations: Decoding Oil and BeyondRoza Galeeva and Thomas HaversangThe Journal of Derivatives February 2020, 27 (3) 7-25; DOI: https://doi.org/10.3905/jod.2019.1.093
- Modular Machine Learning for Model Validation: An Application to the Fundamental Law of Active ManagementJoseph SimonianThe Journal of Financial Data Science March 2020, jfds.2020.1.027; DOI: https://doi.org/10.3905/jfds.2020.1.027
- Interactions and Interconnectedness Shape Financial Market ResearchOtto Loistl and Gueorgui S. KonstantinovThe Journal of Financial Data Science March 2020, jfds.2020.1.026; DOI: https://doi.org/10.3905/jfds.2020.1.026
- 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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