The Journal of Financial Data Science: 3 (1)

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

Table of Contents

Managing Editor’s Letter

Deep Hedging of Derivatives Using Reinforcement Learning

Deep Sequence Modeling: Development and Applications in Asset Pricing

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

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

On the Predictability of the Equity Premium Using Deep Learning Techniques

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

Portfolio Diversification Using Shape-Based Clustering

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

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

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Table of Contents

Managing Editor’s Letter

Deep Hedging of Derivatives Using Reinforcement Learning

Deep Sequence Modeling: Development and Applications in Asset Pricing

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

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

On the Predictability of the Equity Premium Using Deep Learning Techniques

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

Portfolio Diversification Using Shape-Based Clustering

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

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

Explore our content to discover more relevant research

In this issue

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