Big data/machine learning
- Quantifying Long-Term Market ImpactCampbell R. Harvey, Anthony Ledford, Emidio Sciulli, Philipp Ustinov and Stefan ZohrenThe Journal of Portfolio Management December 2021, jpm.2021.1.324; DOI: https://doi.org/10.3905/jpm.2021.1.324
- The Future of Factor InvestingDimitris MelasThe Journal of Portfolio Management November 2021, jpm.2021.1.308; DOI: https://doi.org/10.3905/jpm.2021.1.308
- Euro Zone Sovereign Default Risk and Capital—A Bayesian ApproachRainer Jobst and Daniel RöschThe Journal of Fixed Income November 2021, jfi.2021.1.124; DOI: https://doi.org/10.3905/jfi.2021.1.124
- Rise of the Machines: Application of Machine Learning to Mortgage Prepayment ModelingGlenn M. Schultz and Frank J. FabozziThe Journal of Fixed Income November 2021, jfi.2021.1.123; DOI: https://doi.org/10.3905/jfi.2021.1.123
- When Do Investors Freak Out? Machine Learning Predictions of Panic SellingDaniel Elkind, Kathryn Kaminski, Andrew W. Lo, Kien Wei Siah and Chi Heem WongThe Journal of Financial Data Science December 2021, jfds.2021.1.085; DOI: https://doi.org/10.3905/jfds.2021.1.085
- Forests for FamaJoseph SimonianThe Journal of Financial Data Science December 2021, jfds.2021.1.086; DOI: https://doi.org/10.3905/jfds.2021.1.086
- Predicting Performance Using Consumer Big DataKenneth Froot, Namho Kang, Gideon Ozik and Ronnie SadkaThe Journal of Portfolio Management December 2021, jpm.2021.1.320; DOI: https://doi.org/10.3905/jpm.2021.1.320
- Investable and Interpretable Machine Learning for EquitiesYimou Li, Zachary Simon and David TurkingtonThe Journal of Financial Data Science December 2021, jfds.2021.1.084; DOI: https://doi.org/10.3905/jfds.2021.1.084
- Deep Learning for Exotic Option ValuationJay Cao, Jacky Chen, John Hull and Zissis PoulosThe Journal of Financial Data Science December 2021, jfds.2021.1.083; DOI: https://doi.org/10.3905/jfds.2021.1.083
- 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
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