The Journal of Financial Data Science

Meta-Labeling Architecture
Michael Meyer, Jacques Francois Joubert, and Mesias Alfeus
Machine Learning for Econometricians: The Readme Manual
Marcos López de Prado
An Artificial Intelligence–Based Industry Peer Grouping System
George Bonne, Andrew W. Lo, Abilash Prabhakaran, Kien Wei Siah, Manish Singh, Xinxin Wang, Peter Zangari and Howard Zhang
Alternative Data in Investment Management: Usage, Challenges, and Valuation
Gene Ekster and Petter N. Kolm
Machine Learning for Active Portfolio Management
Söhnke M. Bartram, Jürgen Branke, Giuliano De Rossi and Mehrshad Motahari
The Best of Both Worlds: Forecasting US Equity Market Returns Using a Hybrid Machine Learning–Time Series Approach
Haifeng Wang, Harshdeep Singh Ahluwalia, Roger A. Aliaga-Díaz and Joseph H. Davis
Deep Hedging of Derivatives Using Reinforcement Learning
Jay Cao, Jacky Chen, John Hull and Zissis Poulos

Latest Articles

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Graph-Based Learning for Stock Movement Prediction with Textual and Relational Data
Qinkai Chen and Christian-Yann Robert

The Journal of Financial Data Science Fall 2022, 4 (4) 152-166; DOI: https://doi.org/10.3905/jfds.2022.1.104
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Machine Learning–Based Systematic Investing in Agency Mortgage-Backed Securities
Nikhil Arvind Jagannathan and Qiulei (Leo) Bao

The Journal of Financial Data Science Fall 2022, 4 (4) 95-109; DOI: https://doi.org/10.3905/jfds.2022.1.102
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Deep Learning Meets Statistical Arbitrage: An Application of Long Short-Term Memory Networks to Algorithmic Trading
Yijun Zhao, Shengjian Xu and Jacek Ossowski

The Journal of Financial Data Science Fall 2022, 4 (4) 133-150; DOI: https://doi.org/10.3905/jfds.2022.1.103
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The Benefit of Narratives for Prediction of the S&P 500 Index
Pascal Blanqué, Mohamed Ben Slimane, Amina Cherief, Théo Le Guenedal, Takaya Sekine and Lauren Stagnol

The Journal of Financial Data Science Fall 2022, 4 (4) 72-94; DOI: https://doi.org/10.3905/jfds.2022.1.107
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Tackling the Exponential Scaling of Signature-Based Generative Adversarial Networks for High-Dimensional Financial Time-Series Generation
Fernando de Meer Pardo, Peter Schwendner and Marcus Wunsch

The Journal of Financial Data Science Fall 2022, 4 (4) 110-132; DOI: https://doi.org/10.3905/jfds.2022.1.109
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Managing Editor’s Letter
Francesco A. Fabozzi

The Journal of Financial Data Science Fall 2022, 4 (4) 1-3; DOI: https://doi.org/10.3905/jfds.2022.4.4.001

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In our series of videos, the authors of research published in The Journal of Financial Data Science, discuss the findings of their article, offering more in-depth analysis around it and explain how the conclusions can be implemented in practice.