Simulations
- Using Simulation to Better Understand Price Determination in a Nonfrictionless Equity MarketJian Hua, Robert A. Schwartz and Gregory SipressThe Journal of Portfolio Management October 2017, 44 (1) 142-159; DOI: https://doi.org/10.3905/jpm.2017.44.1.142
- A Practitioner’s Defense of Return PredictabilityBlair Hull and Xiao QiaoThe Journal of Portfolio Management April 2017, 43 (3) 60-76; DOI: https://doi.org/10.3905/jpm.2017.43.3.060
- 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
- A Modified Hierarchical Risk Parity Framework for Portfolio ManagementMarat MolybogaThe Journal of Financial Data Science July 2020, 2 (3) 128-139; DOI: https://doi.org/10.3905/jfds.2020.1.038
- Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility FeaturesPeter Nystrup, Petter N. Kolm and Erik LindströmThe Journal of Financial Data Science July 2020, 2 (3) 25-39; DOI: https://doi.org/10.3905/jfds.2020.2.3.025
- Managing Editor’s LetterFrancesco A. FabozziThe Journal of Financial Data Science July 2020, 2 (3) 1-3; DOI: https://doi.org/10.3905/jfds.2020.2.3.001
- PCA for Implied Volatility SurfacesMarco Avellaneda, Brian Healy, Andrew Papanicolaou and George PapanicolaouThe Journal of Financial Data Science April 2020, 2 (2) 85-109; DOI: https://doi.org/10.3905/jfds.2020.1.032
- A Holistic Approach to Financial Data Science: Data, Technology, and AnalyticsTamer KhraishaThe Journal of Financial Data Science April 2020, 2 (2) 64-84; DOI: https://doi.org/10.3905/jfds.2020.1.031
- Deep Reinforcement Learning for TradingZihao Zhang, Stefan Zohren and Stephen RobertsThe Journal of Financial Data Science April 2020, 2 (2) 25-40; DOI: https://doi.org/10.3905/jfds.2020.1.030
- Modular Machine Learning for Model Validation: An Application to the Fundamental Law of Active ManagementJoseph SimonianThe Journal of Financial Data Science April 2020, 2 (2) 41-50; DOI: https://doi.org/10.3905/jfds.2020.1.027
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