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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

Winter 2021; Volume 3,Issue 1

Managing Editor’s Letter

  • Open Access
    Managing Editor’s Letter
    Francesco A. Fabozzi
    The Journal of Financial Data Science Winter 2021, 3 (1) 1-3; DOI: https://doi.org/10.3905/jfds.2021.3.1.001

Deep Hedging of Derivatives Using Reinforcement Learning

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    Deep Hedging of Derivatives Using Reinforcement Learning
    Jay Cao, Jacky Chen, John Hull and Zissis Poulos
    The Journal of Financial Data Science Winter 2021, 3 (1) 10-27; DOI: https://doi.org/10.3905/jfds.2020.1.052

Deep Sequence Modeling: Development and Applications in Asset Pricing

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    Deep Sequence Modeling: Development and Applications in Asset Pricing
    Lin William Cong, Ke Tang, Jingyuan Wang and Yang Zhang
    The Journal of Financial Data Science Winter 2021, 3 (1) 28-42; DOI: https://doi.org/10.3905/jfds.2020.1.053

Causal Uncertainty in Capital Markets: A Robust Noisy-Or Framework for Portfolio Management

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    Causal Uncertainty in Capital Markets: A Robust Noisy-Or Framework for Portfolio Management
    Joseph Simonian
    The Journal of Financial Data Science Winter 2021, 3 (1) 43-55; DOI: https://doi.org/10.3905/jfds.2020.1.048

Investment Sizing with Deep Learning Prediction Uncertainties for High-Frequency Eurodollar Futures Trading

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    Investment Sizing with Deep Learning Prediction Uncertainties for High-Frequency Eurodollar Futures Trading
    Trent Spears, Stefan Zohren and Stephen Roberts
    The Journal of Financial Data Science Winter 2021, 3 (1) 57-73; DOI: https://doi.org/10.3905/jfds.2020.1.049

On the Predictability of the Equity Premium Using Deep Learning Techniques

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    On the Predictability of the Equity Premium Using Deep Learning Techniques
    Jonathan Iworiso and Spyridon Vrontos
    The Journal of Financial Data Science Winter 2021, 3 (1) 74-92; DOI: https://doi.org/10.3905/jfds.2020.1.051

Dynamic Time Warping: S&P 500 Sector ETF Pattern Matching Trading Strategy

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    Dynamic Time Warping: S&P 500 Sector ETF Pattern Matching Trading Strategy
    Alexander Fleiss, Che Liu, Gihyen Eom, Serena Yu and Wo Zhang
    The Journal of Financial Data Science Winter 2021, 3 (1) 93-110; DOI: https://doi.org/10.3905/jfds.2021.1.055

Portfolio Diversification Using Shape-Based Clustering

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    Portfolio Diversification Using Shape-Based Clustering
    Tristan Lim and Chin Sin Ong
    The Journal of Financial Data Science Winter 2021, 3 (1) 111-126; DOI: https://doi.org/10.3905/jfds.2020.1.054

The Best Way to Select Features? Comparing MDA, LIME, and SHAP

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    The Best Way to Select Features? Comparing MDA, LIME, and SHAP
    Xin Man and Ernest P. Chan
    The Journal of Financial Data Science Winter 2021, 3 (1) 127-139; DOI: https://doi.org/10.3905/jfds.2020.1.047

Deviations from Covered Interest Rate Parity: The Case of British Pound Sterling versus Euro

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    Deviations from Covered Interest Rate Parity: The Case of British Pound Sterling versus Euro
    Frank Lehrbass and Thamara Sandra Schuster
    The Journal of Financial Data Science Winter 2021, 3 (1) 140-151; DOI: https://doi.org/10.3905/jfds.2020.1.050
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The Journal of Financial Data Science: 3 (1)
The Journal of Financial Data Science
Vol. 3, Issue 1
Winter 2021
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