Dynamic Portfolio Management with Reinforcement Learning. (arXiv:1911.11880v1...
Dynamic Portfolio Management is a domain that concerns the continuous redistribution of assets within a portfolio to maximize the total return in a given period of time. With the recent advancement in...
View ArticleCryptocurrency Price Prediction and Trading Strategies Using Support Vector...
Few assets in financial history have been as notoriously volatile as cryptocurrencies. While the long term outlook for this asset class remains unclear, we are successful in making short term price...
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Mainstreaming environmental, social and corporate governance
Businesses in today’s marketplace, in both the financial and non-financial sectors, have to pay attention to the environmental and social impact of what they do, as well as to respect high standards...
View ArticleQuants of the year: Andrei Lyashenko and Fabio Mercurio - Risk.net
2020 Quants of the year: Andrei Lyashenko and Fabio Mercurio https://t.co/iev3hziiDp #quantfinance — moneyscience (@moneyscience) November 28, 2019
View ArticleA neural approach to the value investing tool F-score
Publication date: Available online 29 November 2019Source: Finance Research LettersAuthor(s): Ruth Gimeno, Lidia Lobán, Luis VicenteAbstractThis work is the first neural approach to Piotroski's (2000)...
View ArticleProfitability and Money Propagation in Communities of Bank Clients: A Visual...
Publication date: Available online 2 December 2019Source: Finance Research LettersAuthor(s): Luis Berggrun, Juan Salamanca, Javier DÃÂaz, Juan David OspinaAbstractWe analyze financial transactions of...
View ArticleCan we beat the Random Walk? The case of survey-based exchange rate forecasts...
Publication date: Available online 3 December 2019Source: Finance Research LettersAuthor(s): Pablo Pincheira-Brown, Federico NeumannAbstractWe examine the accuracy of survey-based expectations of the...
View ArticleA realized EGARCH-MIDAS model with higher moments
Publication date: Available online 3 December 2019Source: Finance Research LettersAuthor(s): Xinyu Wu, Haibin XieAbstractThis paper proposes a realized EGARCH-MIDAS model with higher moments...
View ArticleRealised volatility connectedness among Bitcoin exchange markets
Publication date: Available online 3 December 2019Source: Finance Research LettersAuthor(s): Qiang Ji, Elie Bouri, Ladislav Kristoufek, Brian LuceyAbstractThis paper examines the system of Bitcoin...
View ArticleQuantpedia Premium Update – 30th November 2019
Three new strategies have been added. Three new related research papers have been included into existing strategy reviews. And two short free blog posts about interesting related research papers have...
View ArticleQuantpedia in November 2019
Dear readers, Six new Quantpedia Premium strategies have been added into our database in November, and five new related research papers have been included into existing Premium strategies....
View ArticleHow to Choose the Best Period for Indicators
Academic literature recognizes a large set of indicators or factors that are connected with the various assets. These indicators can be utilized in a variety of trading strategies, which means that...
View ArticleLooking for Bias: Hedge Funds, Funds of Funds and Prime Brokers
Prime brokers help funds of hedge funds identify hedge funds, which creates what the authors of a new paper call a PB bias. This means that portfolios are overweighted to the hedge funds serviced by...
View ArticleSetting The Next Stage in Cryptocurrencies
Telegram Open Network (TON) is a blockchain project supported by a native utility token called the Gram, created by Pavel and Nikolai Durov, who were behind the Telegram messaging app. TON now faces an...
View ArticleRequiem for a Heavyweight
By Bill Kelly, CAIA Association CEO A requiem is a solemn chant for the repose of the dead. Chant-worthiness when it comes to the Enron Corporation is still subject to much debate depending, of course,...
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