The Journal of Financial Data Science

Table of Contents

Summer 2020; Volume 2,Issue 3

Managing Editor’s Letter

Open Access
Managing Editor’s Letter
Francesco A. Fabozzi

The Journal of Financial Data Science Summer 2020, 2 (3) 1-3; DOI: https://doi.org/10.3905/jfds.2020.2.3.001

Machine Trading: Theory, Advances, and Applications

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Machine Trading: Theory, Advances, and Applications
Dilip B. Madan and Yazid M. Sharaiha

The Journal of Financial Data Science Summer 2020, 2 (3) 8-24; DOI: https://doi.org/10.3905/jfds.2020.1.039

Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features

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Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features
Peter Nystrup, Petter N. Kolm and Erik Lindström

The Journal of Financial Data Science Summer 2020, 2 (3) 25-39; DOI: https://doi.org/10.3905/jfds.2020.2.3.025

Hyperparameter Optimization for Portfolio Selection

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Hyperparameter Optimization for Portfolio Selection
Peter Nystrup, Erik Lindström and Henrik Madsen

The Journal of Financial Data Science Summer 2020, 2 (3) 40-54; DOI: https://doi.org/10.3905/jfds.2020.1.035

A Network Approach to Analyzing Hedge Fund Connectivity

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A Network Approach to Analyzing Hedge Fund Connectivity
Gueorgui S. Konstantinov and Joseph Simonian

The Journal of Financial Data Science Summer 2020, 2 (3) 55-72; DOI: https://doi.org/10.3905/jfds.2020.1.036

Derivation of a Dynamic Market Risk Signal Using Kernel PCA and Machine Learning

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Derivation of a Dynamic Market Risk Signal Using Kernel PCA and Machine Learning
Alireza Yazdani

The Journal of Financial Data Science Summer 2020, 2 (3) 73-85; DOI: https://doi.org/10.3905/jfds.2020.1.037

The Cross Section of Commodity Returns: A Nonparametric Approach

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The Cross Section of Commodity Returns: A Nonparametric Approach
Clemens Struck and Enoch Cheng

The Journal of Financial Data Science Summer 2020, 2 (3) 86-103; DOI: https://doi.org/10.3905/jfds.2020.1.034

Portfolio Selection Using Portfolio Committees

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Portfolio Selection Using Portfolio Committees
Tsung-wu Ho

The Journal of Financial Data Science Summer 2020, 2 (3) 104-127; DOI: https://doi.org/10.3905/jfds.2020.1.033

A Modified Hierarchical Risk Parity Framework for Portfolio Management

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A Modified Hierarchical Risk Parity Framework for Portfolio Management
Marat Molyboga

The Journal of Financial Data Science Summer 2020, 2 (3) 128-139; DOI: https://doi.org/10.3905/jfds.2020.1.038