Journal of Investment Strategies

From Journal of Investment Strategies
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Advanced visualization for the quant strategy universe: clustering and dimensionality reduction: Boubacar Sidibe, Christophe de La Bastide and Florian Peres
Using option prices to trade the underlying asset: J. H. Venter, P. J. de Jongh and Eduard Pieterse
Assessing the efficiency of pure-play internet banks in South Korea, Japan and China with data envelopment analysis: HÃ¼seyin Ã–cal, Erdem BaÄŸcÄ± and Anton Abdulbasah Kamil
Unaligned exchange traded funds: risk-adjusted performance and market-timing skills: D. K. Malhotra and Philip Russel
Delving into the investment psyche: investigating the determinants influencing individual investorsâ€™ decision-making: Rajesh Raut, Harsha Thorve, Amruta Deshpande and Natashaa Kaul
Formulations to select assets for constructing sparse index tracking portfolios: Yutaka Sakurai, Daiki Wakabayashi and Fumio Ishizaki
An entropy-based class of moving averages: Andreas Kull
Does investorsâ€™ sentiment influence stock market volatility? Evidence from India during pre- and post-Covid-19 periods: Versha Patel, S Amilan and P Vairasigamani
Luxury watches: a viable alternative investment or mere speculative trend? An analysis of two decades before the pandemic: Simon Ulmer, Patrick Schmid and Andreas Widenhorn
Examining sustainability investments and financial performance of football clubs: an empirical analysis: Lazaros Ntasis and Athanasios Strigas
Securities and Exchange Commission Form 13F Holdings Report: statistical investigation of trading imbalances and profitability analysis: Deborah Miori and Mihai Cucuringu
Design risk: the curse of constant proportion portfolio insurance: Raquel Gaspar and JoÃ£o B. Sousa
Assessing the potential for asset diversification: an analysis of Brazilian stock indexes, Bitcoin, gold, crude oil and exchange rates: Ahmad Monir Abdullah, Hamdy Abdullah, Norazlan Alias and Mara Ridhuan Che Abdul Rahman
Optimal trend-following portfolios: Sebastien Valeyre
Integrated stockâ€“bond portfolio management: Xiaochuan Pang, Shuping Wu and Shushang Zhu
Implementing meanâ€“variance spanning tests with short-sales constraints: Farid AitSahlia, Thomas Doellman and Sabuhi Sardarli
An empirical study of the contrarian strategy against US equities in the Japanese market: Yasuhiro Iwanaga
What have we learned from 20 million historical US stock data?: Mostafa K. Ardakani
The realized local volatility surface: Yuming Ma, Shintaro Sengoku and Kazuhide Nakata
Sherman ratio optimization: constructing alternative ultrashort sovereign bond portfolios: Karim Henide
Trading robots and financial markets trading solutions: the role of experimental economics: Bianca Benedicto, Mara Madaleno and Anabela Botelho
Pricing options using expected profit and loss measures: J. H. Venter and P. J. de Jongh
Dynamic rebalancing of a risk parity investment portfolio: Yixi Ning, Sean Yang and Wangzhi Zheng
Dynamic signal selection strategies: Dilip B. Madan, Yazid M. Sharaiha and PÃ¥l SundsÃ¸y
Enhanced expected impact cost model under abnormally high volatility: Gabriel Tucci, Sameer Jain, Aiying Zhang and Wenting Ge
Is volatility a friend or enemy of your stock and fund investments?: Longchong Chen, Jun Gao and Sheng Zhu
Islamic mutual funds: contracts, structures, screening and pricing mechanisms: Abubakar Suleiman, Burhan Uluyol and Metin Toprak
Creating factor clusters in the alternative Undertakings for Collective Investment in Transferable Securities (UCITS) universe: Pierre Trecourt, Florian Peres and Sameer Singh
A novel derivation and interpretation of the Kelly criterion: Andreas Kull
Exploring the equityâ€“bond relationship in a low-rate environment with unsupervised learning: Lucas Baynes and Giulio Renzi-Ricci
Trading strategies and weekly anomalies in the stock market: Mexico, Indonesia, Nigeria and Turkey: Ruchika Gahlot
Does reinvesting payouts in plain vanilla exchange-traded funds enhance household portfolio performance?: Hans Philipp Wanger
The risk-reversal premium: Blair Hull and Euan Sinclair
Portfolio rebalancing and seasonality in Canadian financial markets: George Athanassakos
Abnormal returns and stock price movements: some evidence from developed and emerging markets: Guglielmo Maria Caporale and Alex Plastun
Is factor momentum greater than stock momentum?: Antoine Falck, Adam Rej and David Thesmar
A practitionerâ€™s view of the long-term and recent performance of multifactor investment strategies: Ding Liu
Forecasting volatility and market returns using the CBOE Volatility Index and its options: Spencer T. Stanley and William J. Trainor
Strong-hand conjecture: agent-based numerical simulation: Marek KaraÅ› and Anna Serwatka
Cryptocurrency versus other financial instruments: how a small market affects a large market: Anna SzczepaÅ„ska-Przekota
Correlation diversified passive portfolio strategy based on permutation of assets: Yutaka Sakurai, Yusuke Yuki, Ryota Katsuki, Takashi Yazane and Fumio Ishizaki
Corporate equity performance and changes in firm characteristics: Brian Blank and Cole McLemore
What drives the January seasonality in the illiquidity premium? Evidence from international stock markets: Adam Zaremba and Nusret Cakici
Uncertain risk parity: Anish R. Shah
Quant investing in cluster portfolios: Ali N. Akansu, Marco Avellaneda and Anqi Xiong
Portfolio allocation based on expected profit and loss measures: J. H. Venter and P. J. de Jongh
The price of Bitcoin: GARCH evidence from high-frequency data: Pavel Ciaian, dâ€™Artis Kancs and Miroslava Rajcaniova
The price of liquidity in the reinsurance of fund returns: David Saunders, Luis Seco and Markus Senn
Sign prediction and sign regression: Weige Huang
Realized profits on the Stationary Offshore Ocean Economy: an analysis: Jeremy Van Dyken, Houshang Habibniya and Maia Chiabrishvili
Whatâ€™s so special about time series momentum?: Haotian Cai and Anatoly B. Schmidt
Strangle to resuscitate: evidence from India: Peeyush Bangur
Smaller drawdowns, higher average and risk-adjusted returns for equity portfolios, using options and power-log optimization based on a behavioral model of investor preferences: Jivendra K. Kale and Tee Lim
Eigenportfolios of US equities for the exponential correlation model: Ali N. Akansu and Anqi Xiong
Is trading indicator performance robust? Evidence from scenario building: Andreas Thomann
Optimal dynamic strategies on Gaussian returns: Nick Firoozye and Adriano S. Koshiyama
The pricing of firm-specific risk in emerging markets: Hilal Anwar Butt and Mohsin Sadaqat
Portfolio management of Commodity Trading Advisors with volatility-targeting: Marat Molyboga
Connecting equity and foreign exchange markets through the WM â€œFixâ€: a trading strategy: Arnav Sheth and Keisuke Teeple
Should we invest more in multinational companies when domestic markets decline?: Martha O'Hagan-Luff, Jenny Berrill and Brian Lucey
A consistent investment strategy: Xianzhe Chen and Weidong Tian
Factor-based tactical bond allocation and interest rate risk management: Andreas Thomann
Can shorting leveraged exchange-traded fund pairs be a profitable trade?: George Tsalikis and Simeon Papadopoulos
Dynamic volatility management: from conditional volatility to realized volatility: Rongju Zhang, Nicolas LangrenÃ©, Yu Tian and Zili Zhu
Tail-risk mitigation with managed volatility strategies: Anna A. Dreyer and Stefan Hubrich
Does international stock index arbitrage exist?: Gunter Meissner, Olivia Ng and Pedro Villarreal
Beta hedging: performance measures, momentum weighting and rebalancing effects: Daniel Nadler and Anatoly B. Schmidt
Extending risk budgeting for market regimes and quantile factor models: Emlyn Flint and Simon du Plooy
Winning investment strategies based on financial crisis indicators: Antoine Kornprobst
The optimal investment problem in stochastic and local volatility models: Vladimir Piterbarg
Systematic testing of systematic trading strategies: Kovlin Perumal and Emlyn Flint
Value-ranked equity portfolios via entropy pooling: Josef Zorn
Why are investorsâ€™ mutual fund market allocations far from optimal?: Ricardo Laborda and Ramiro Losada
Reflections on recent volatility: Euan Sinclair
The Kelly criterion in portfolio optimization: a decoupled problem: Zachariah Peterson
Statistics of VIX futures and their applications to trading volatility exchange-traded products: Marco Avellaneda and Andrew Papanicolaou
A risk-based approach to construct multi asset portfolio solutions: Peter Warken and Christian Hille
Tail protection for long investors: trend convexity at work: Tung-Lam Dao, Trung-Tu Nguyen, Cyril Deremble, Yves Lemperiere, Jean-Philippe Bouchaud and Marc Potters
Speed and dimensions of trading: Boris Gnedenko and Igor Yelnik
Efficient trading in taxable portfolios: Sanjiv R. Das, Dennis Yi Ding, Vincent Newell and Daniel N. Ostrov
Portfolio concentration and equity market contagion: evidence on the â€œflight to familiarityâ€ across indexing methods: Lars Kaiser
An uncertainty quantification framework for the achievability of backtesting results of trading strategies: Raymond Hon-Fu Chan, Alfred Ka-Chun Ma and Lanston Lane-Chun Yeung
Leverage and uncertainty: Mihail Turlakov
Enhancing enterprise value by trading options: Dilip B. Madan and Yazid M. Sharaiha
Lifecycle investing with the profitable dividend yield strategy: simulations and nonparametric analysis: Wai Mun Fong
Statistical testing of DeMark technical indicators on commodity futures: Marco Lissandrin, Donnacha Daly and Didier Sornette
Correctness of backtest engines: Robert LÃ¶w, Stanislaus Maier-Paape and Andreas Platen
Blackâ€“Litterman, exotic beta and varying efficient portfolios: an integrated approach: Ricky Alyn Cooper and Marat Molyboga
Agnostic risk parity: taming known and unknown unknowns: Raphael Benichou, Yves LempÃ©riÃ¨re, Emmanuel SÃ©riÃ©, Julien Kockelkoren, Philip Seager, Do Not Use and Marc Potters
Interconnectedness risk and active portfolio management: Eduard Baitinger and Jochen Papenbrock
Risk constraints for portfolio optimization with fixed-fee transaction cost: Michael J. Hirsch and Nicole Navarro
Statistical risk models: Zura Kakushadze and Willie Yu
Optimal closing-price strategy: peculiarities and practicalities: Yu Hang (Gabriel) Kan and Sanghyun Park
On optimizing risk exposures with trend-following strategies in currency overlay portfolios: Kai-Hong Tee
Insights into robust optimization: decomposing into meanâ€“variance and risk-based portfolios: Thomas Heckel and Raul Leote de Carvalho
Equal risk allocation with carry, value and momentum: Boris Gnedenko and Igor Yelnik
Multifactor risk models and heterotic CAPM: Zura Kakushadze
The effect of market conditions on forward-looking portfolio performance: Binam Ghimire, Leigh Perrott and Dipesh Karki
Fractional Kelly strategies with low-risk stocks: Wai Mun Fong
The excess returns of â€œqualityâ€ stocks: a behavioral anomaly: Do Not Use, Stefano Ciliberti, Augustin Landier, Guillaume Simon and David Thesmar
Optimal trading with alpha predictors: Filippo Passerini and Samuel Vazquez
Reconciling factor optimization with portfolio constraints: Boris Gnedenko and Igor Yelnik
Performance versus turnover: a story by 4000 alphas: Zura Kakushadze and Igor Tulchinsky
Optimal trading trajectories for algorithmic trading: M. Valentina Vega and Gabriel H. Tucci
Stock selection with principal component analysis: Alethea Rea and Bill Rea
Do quantitative country selection strategies really work?: Adam Zaremba and PrzemysÅ‚aw Konieczka
Under the radar: structural alpha in the small-cap equity market: Elena Ranguelova, Jonathan Feeney and Yi Lu
The dynamics of energy futures and equity sectors: evidence from the United States and Canada: K. Smimou
Diffusing explosive portfolio performance evaluation of high frequency traders: G. Charles-Cadogan
Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash: Didier Sornette, Guilherme Demos, Qun Zhang, Peter Cauwels and Qunzhi Zhang
Optimal betting sizes for the game of blackjack: Ralph Vince and Qiji Zhu
The impact of visible and dark orders: Nataliya Bershova and Christopher R. Stephens and Henri Waelbroeck
Indexing multi-asset solutions: Xiaowei Kang and Aye Soe and Keith Loggie
A combined regime-switching and Blackâ€“Litterman model for optimal asset allocation: Edwin O. Fischer and Michael Murg
Trend detection under erroneous observations: application to quantitative financial strategies: Guillaume Bernis and Simone Scotti
Notes on alpha stream optimization: Zura Kakushadze
Navigating risk cycles: Joakim Agerback and Tor Gudmundsen Sinclair
Bootstrapping the relative performance of yield curve strategies: Razvan Pascalau and Ryan Poirier
A supply-and-demand based price model for financial assets: Takashi Kanamura
Does Google Trends data contain more predictability than price returns?: Damien Challet and Ahmed Bel Hadj Ayed
The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets: Vitali Alexeev and Francis Tapon
Intertemporal risk parity: a constant volatility framework for factor investing: Romain Perchet and Raul Leote de Carvalho and Pierre Moulin
Factor models for alpha streams: Zura Kakushadze
The stockâ€“bond correlation: Nic Johnson, Vasant Naik, Sebastien Page and Niels Pedersen and Steve Sapra
The stochastic-volatility, jump-diffusion optimal portfolio problem with jumps in returns and volatility: Floyd B. Hanson
Quantifying irrational sentiment: Todd Feldman
Hedging iTraxx credit default swap index trading on an intraday basis: an empirical study: Cheng-Ran Du and Tim Brunne
Momentum strategies with the L1 filter: Tung-Lam Dao
The Bayesian roots of risk balancing: Hakan Kaya
Confidence intervals for the Kelly criterion: Euan C. Sinclair
Riskâ€“return-efficient target-volatility strategies: Guido Giese
Two centuries of trend following: Yves LempÃ©riÃ¨re, Cyril Deremble, Philip Seager and Marc Potters and Jean-Philippe Bouchaud
Robust Bayesian allocation: Attilio Meucci
Optimal diversification: George Chacko and Robert McMillan and Karl Neumar
Are commodity futures a good hedge against inflation?: Laura Spierdijk and Zaghum Umar
Optimal starting times, stopping times and risk measures for algorithmic trading: target close and implementation shortfall: Mauricio Labadie and Charles-Albert Lehalle
Credit portfolio management in a turning rates environment: Arthur M. Berd and Elena Ranguelova and Antonio Baldaque da Silva
Hedge fund replication: putting the pieces together: Vincent Weber and Florian Peres
When you hedge discretely: optimization of the Sharpe ratio for the Delta-hedging strategy under discrete hedging and transaction costs: Artur Sepp
Rewardâ€“risk ratios: Patrick Cheridito and Eduard Kromer
Market crises and the 1/N asset-allocation strategy: Marco Escobar, Michael Mitterreiter, David Saunders and Luis Seco and Rudi Zagst
The impact of stop losses on short-term countertrend trading strategies: Nicholas J. Libertini
Efficient high-frequency variance estimators: Alexander Saichev and Didier Sornette and Vladimir Filimonov
Enhancing the profitability of earnings momentum strategies: the role of price momentum, information diffusion and earnings uncertainty: Marc-Gregor Czaja and Philipp Kaufmann and Hendrik Scholz
The enhanced risk premium factor model and expected returns: Javier Estrada
Optimal limit order execution in a simple model for market microstructure dynamics: Yuri Burlakov and Michael Kamal and Michele Salvadore
An inflation-hedging strategy with commodities: Nicolas Fulli-Lemaire
Statistical evidence on the mean reversion of interest rates: Jan Willem End
High-frequency trading and long-term investors: a view from the buy side: Nataliya Bershova and Dmitry Rakhlin
Properties of the most diversified portfolio: Yves Choueifaty and Tristan Froidure and Julien Reynier
Risk without return: Lisa R. Goldberg and Ola Mahmoud
Time-bridge estimators of integrated variance: Alexander Saichev and Didier Sornette
Mean reversion in stock prices: implications for long-term investors: Laura Spierdijk and Jacob A. Bikker
Alternative indexing methods: point of reference â€“ does it matter?: Patrick Gander and Daniel Leveau and Thomas Pfiffner
A least discrimination method for portfolio optimization: an alternative to the Blackâ€“Litterman approach: Jacques PÃ©zier
Universal algorithmic trading: Vladimir V. Vâ€™yugin and Vladimir G. Trunov
Leveraged exchange-traded funds: admissible leverage and risk horizon: Tim Leung and Marco Santoli
A proof of the optimality of volatility weighting over time: Winfried Hallerbach
The role of diversification risk in financial bubbles: Wanfeng Yan and Ryan Woodard and Didier Sornette
Balanced baskets: a new approach to trading and hedging risks: David H. Bailey and Marcos LÃ³pez de Prado
Jointly modeling the prices of American depository receipts, the local stock and the US dollar: Dilip B. Madan
When games meet reality: is Zynga overvalued?: ZalÃ¡n ForrÃ³ and Peter Cauwels and Didier Sornette
Momentum strategies for style and sector indexes: Linda H. Chen and George J. Jiang and Kevin X. Zhu
Optimal trading with linear costs: Joachim De Lataillade, Cyril Deremble and Marc Potters and Jean-Philippe Bouchaud
Understanding risk-based portfolios: Ryan Taliaferro
Advances in cointegration and subset correlation hedging methods: Marcos M. Lopez de Prado and David Leinweber
Gauge invariance, geometry and arbitrage: Samuel E. Vazquez and Simone Farinelli
Downside risk properties of foreign exchange and equity investment strategies: Jacob Gyntelberg and Andreas Schrimpf
Perspectives on systemic risk: Dean Curnutt and George Lam
On a multi-timescale statistical feedback model for volatility fluctuations: Lisa Borland and Jean-Philippe Bouchaud
Constructing the best trading strategy: a new general framework: Philip Z. Maymin and Zakhar G. Maymin
Option strategies based on semiparametric implied volatility surface prediction: Francesco Audrino and Dominik Colangelo

Journal of Investment Strategies

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