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The Journal of Financial Data Science
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The Journal of Financial Data Science

The Journal of Financial Data Science

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Table of Contents

Fall 2019; Volume 1,Issue 4

Managing Editor’s Letter

  • Open Access
    Managing Editor’s Letter
    Francesco A. Fabozzi
    The Journal of Financial Data Science Fall 2019, 1 (4) 1-4; DOI: https://doi.org/10.3905/jfds.2019.1.4.001

Proofs and Cross-Validations: Three Lessons for Financial Data Science

  • You have access
    Proofs and Cross-Validations: Three Lessons for Financial Data Science
    Joseph Simonian
    The Journal of Financial Data Science Fall 2019, 1 (4) 12-18; DOI: https://doi.org/10.3905/jfds.2019.1.009

Enhancing Time-Series Momentum Strategies Using Deep Neural Networks

  • You have access
    Enhancing Time-Series Momentum Strategies Using Deep Neural Networks
    Bryan Lim, Stefan Zohren and Stephen Roberts
    The Journal of Financial Data Science Fall 2019, 1 (4) 19-38; DOI: https://doi.org/10.3905/jfds.2019.1.015

Neural Networks in Finance: Design and Performance

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    Neural Networks in Finance: Design and Performance
    Irene Aldridge and Marco Avellaneda
    The Journal of Financial Data Science Fall 2019, 1 (4) 39-62; DOI: https://doi.org/10.3905/jfds.2019.1.4.039

Avoiding Backtesting Overfitting by Covariance-Penalties: An Empirical Investigation of the Ordinary and Total Least Squares Cases

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    Avoiding Backtesting Overfitting by Covariance-Penalties: An Empirical Investigation of the Ordinary and Total Least Squares Cases
    Adriano Koshiyama and Nick Firoozye
    The Journal of Financial Data Science Fall 2019, 1 (4) 63-83; DOI: https://doi.org/10.3905/jfds.2019.1.013

Reconstructing Emerging and Developed Markets Using Hierarchical Clustering

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    Reconstructing Emerging and Developed Markets Using Hierarchical Clustering
    Gerald Garvey and Ananth Madhavan
    The Journal of Financial Data Science Fall 2019, 1 (4) 84-102; DOI: https://doi.org/10.3905/jfds.2019.1.014

Time-Series Momentum: A Monte Carlo Approach

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    Time-Series Momentum: A Monte Carlo Approach
    Clemens Struck and Enoch Cheng
    The Journal of Financial Data Science Fall 2019, 1 (4) 103-123; DOI: https://doi.org/10.3905/jfds.2019.1.012

Extracting Signals from High-Frequency Trading with Digital Signal Processing Tools

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    Extracting Signals from High-Frequency Trading with Digital Signal Processing Tools
    Jung Heon Song, Marcos López de Prado, Horst D. Simon and Kesheng Wu
    The Journal of Financial Data Science Fall 2019, 1 (4) 124-138; DOI: https://doi.org/10.3905/jfds.2019.1.4.124

Automated Theme Search in ICO Whitepapers

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    Automated Theme Search in ICO Whitepapers
    Fu Chuanjie, Andrew Koh and Paul Griffin
    The Journal of Financial Data Science Fall 2019, 1 (4) 140-158; DOI: https://doi.org/10.3905/jfds.2019.1.011

Alpha Cloning: Using Quantitative Techniques and SEC 13f Data for Equity Portfolio Optimization and Generation

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    Alpha Cloning: Using Quantitative Techniques and SEC 13f Data for Equity Portfolio Optimization and Generation
    Daniel M. DiPietro
    The Journal of Financial Data Science Fall 2019, 1 (4) 159-171; DOI: https://doi.org/10.3905/jfds.2019.1.008
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The Journal of Financial Data Science: 1 (4)
The Journal of Financial Data Science
Vol. 1, Issue 4
Fall 2019
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