Table of Contents

Fall 2021; Volume 3,Issue 4

C

  1. Chou, Hongsong

    1. Benchmark Dataset for Short-Term Market Prediction of Limit Order Book in China Markets
      Charles Huang, Weifeng Ge, Hongsong Chou and Xin Du
      The Journal of Financial Data Science Fall 2021, 3 (4) 171-183; DOI: https://doi.org/10.3905/jfds.2021.1.074

D

  1. Das, Sanjiv

    1. Fairness Measures for Machine Learning in Finance
      Sanjiv Das, Michele Donini, Jason Gelman, Kevin Haas, Mila Hardt, Jared Katzman, Krishnaram Kenthapadi, Pedro Larroy, Pinar Yilmaz and Muhammad Bilal Zafar
      The Journal of Financial Data Science Fall 2021, 3 (4) 33-64; DOI: https://doi.org/10.3905/jfds.2021.1.075

  2. Desai, Dhruv

    1. On Robustness of Mutual Funds Categorization and Distance Metric Learning
      Dhruv Desai and Dhagash Mehta
      The Journal of Financial Data Science Fall 2021, 3 (4) 130-150; DOI: https://doi.org/10.3905/jfds.2021.3.4.130

  3. Donini, Michele

    1. Fairness Measures for Machine Learning in Finance
      Sanjiv Das, Michele Donini, Jason Gelman, Kevin Haas, Mila Hardt, Jared Katzman, Krishnaram Kenthapadi, Pedro Larroy, Pinar Yilmaz and Muhammad Bilal Zafar
      The Journal of Financial Data Science Fall 2021, 3 (4) 33-64; DOI: https://doi.org/10.3905/jfds.2021.1.075

  4. Du, Xin

    1. Benchmark Dataset for Short-Term Market Prediction of Limit Order Book in China Markets
      Charles Huang, Weifeng Ge, Hongsong Chou and Xin Du
      The Journal of Financial Data Science Fall 2021, 3 (4) 171-183; DOI: https://doi.org/10.3905/jfds.2021.1.074

E

  1. Ekster, Gene

    1. Alternative Data in Investment Management: Usage, Challenges, and Valuation
      Gene Ekster and Petter N. Kolm
      The Journal of Financial Data Science Fall 2021, 3 (4) 10-32; DOI: https://doi.org/10.3905/jfds.2021.1.073

F

  1. Fabozzi, Francesco A.

    1. Open Access
      Managing Editor’s Letter
      Francesco A. Fabozzi
      The Journal of Financial Data Science Fall 2021, 3 (4) 1-3; DOI: https://doi.org/10.3905/jfds.2021.3.4.001

G

  1. Ge, Weifeng

    1. Benchmark Dataset for Short-Term Market Prediction of Limit Order Book in China Markets
      Charles Huang, Weifeng Ge, Hongsong Chou and Xin Du
      The Journal of Financial Data Science Fall 2021, 3 (4) 171-183; DOI: https://doi.org/10.3905/jfds.2021.1.074

  2. Gelman, Jason

    1. Fairness Measures for Machine Learning in Finance
      Sanjiv Das, Michele Donini, Jason Gelman, Kevin Haas, Mila Hardt, Jared Katzman, Krishnaram Kenthapadi, Pedro Larroy, Pinar Yilmaz and Muhammad Bilal Zafar
      The Journal of Financial Data Science Fall 2021, 3 (4) 33-64; DOI: https://doi.org/10.3905/jfds.2021.1.075

  3. Gu, Junhan

    1. Factor Momentum and Regime-Switching Overlay Strategy
      Junhan Gu and John M. Mulvey
      The Journal of Financial Data Science Fall 2021, 3 (4) 101-129; DOI: https://doi.org/10.3905/jfds.2021.1.072

H

  1. Haas, Kevin

    1. Fairness Measures for Machine Learning in Finance
      Sanjiv Das, Michele Donini, Jason Gelman, Kevin Haas, Mila Hardt, Jared Katzman, Krishnaram Kenthapadi, Pedro Larroy, Pinar Yilmaz and Muhammad Bilal Zafar
      The Journal of Financial Data Science Fall 2021, 3 (4) 33-64; DOI: https://doi.org/10.3905/jfds.2021.1.075

  2. Hardt, Mila

    1. Fairness Measures for Machine Learning in Finance
      Sanjiv Das, Michele Donini, Jason Gelman, Kevin Haas, Mila Hardt, Jared Katzman, Krishnaram Kenthapadi, Pedro Larroy, Pinar Yilmaz and Muhammad Bilal Zafar
      The Journal of Financial Data Science Fall 2021, 3 (4) 33-64; DOI: https://doi.org/10.3905/jfds.2021.1.075

  3. Holm, Nikolaj Normann

    1. Classification Methods for Market Making in Auction Markets
      Nikolaj Normann Holm, Mansoor Hussain and Murat Kulahci
      The Journal of Financial Data Science Fall 2021, 3 (4) 151-169; DOI: https://doi.org/10.3905/jfds.2021.1.076

  4. Huang, Charles

    1. Benchmark Dataset for Short-Term Market Prediction of Limit Order Book in China Markets
      Charles Huang, Weifeng Ge, Hongsong Chou and Xin Du
      The Journal of Financial Data Science Fall 2021, 3 (4) 171-183; DOI: https://doi.org/10.3905/jfds.2021.1.074

  5. Hussain, Mansoor

    1. Classification Methods for Market Making in Auction Markets
      Nikolaj Normann Holm, Mansoor Hussain and Murat Kulahci
      The Journal of Financial Data Science Fall 2021, 3 (4) 151-169; DOI: https://doi.org/10.3905/jfds.2021.1.076

J

  1. Jaeger, Markus

    1. Adaptive Seriational Risk Parity and Other Extensions for Heuristic Portfolio Construction Using Machine Learning and Graph Theory
      Peter Schwendner, Jochen Papenbrock, Markus Jaeger and Stephan Krügel
      The Journal of Financial Data Science Fall 2021, 3 (4) 65-83; DOI: https://doi.org/10.3905/jfds.2021.1.078

K

  1. Katzman, Jared

    1. Fairness Measures for Machine Learning in Finance
      Sanjiv Das, Michele Donini, Jason Gelman, Kevin Haas, Mila Hardt, Jared Katzman, Krishnaram Kenthapadi, Pedro Larroy, Pinar Yilmaz and Muhammad Bilal Zafar
      The Journal of Financial Data Science Fall 2021, 3 (4) 33-64; DOI: https://doi.org/10.3905/jfds.2021.1.075

  2. Kenthapadi, Krishnaram

    1. Fairness Measures for Machine Learning in Finance
      Sanjiv Das, Michele Donini, Jason Gelman, Kevin Haas, Mila Hardt, Jared Katzman, Krishnaram Kenthapadi, Pedro Larroy, Pinar Yilmaz and Muhammad Bilal Zafar
      The Journal of Financial Data Science Fall 2021, 3 (4) 33-64; DOI: https://doi.org/10.3905/jfds.2021.1.075

  3. Kolm, Petter N.

    1. Alternative Data in Investment Management: Usage, Challenges, and Valuation
      Gene Ekster and Petter N. Kolm
      The Journal of Financial Data Science Fall 2021, 3 (4) 10-32; DOI: https://doi.org/10.3905/jfds.2021.1.073

  4. Krügel, Stephan

    1. Adaptive Seriational Risk Parity and Other Extensions for Heuristic Portfolio Construction Using Machine Learning and Graph Theory
      Peter Schwendner, Jochen Papenbrock, Markus Jaeger and Stephan Krügel
      The Journal of Financial Data Science Fall 2021, 3 (4) 65-83; DOI: https://doi.org/10.3905/jfds.2021.1.078

  5. Kulahci, Murat

    1. Classification Methods for Market Making in Auction Markets
      Nikolaj Normann Holm, Mansoor Hussain and Murat Kulahci
      The Journal of Financial Data Science Fall 2021, 3 (4) 151-169; DOI: https://doi.org/10.3905/jfds.2021.1.076

L

  1. Larroy, Pedro

    1. Fairness Measures for Machine Learning in Finance
      Sanjiv Das, Michele Donini, Jason Gelman, Kevin Haas, Mila Hardt, Jared Katzman, Krishnaram Kenthapadi, Pedro Larroy, Pinar Yilmaz and Muhammad Bilal Zafar
      The Journal of Financial Data Science Fall 2021, 3 (4) 33-64; DOI: https://doi.org/10.3905/jfds.2021.1.075

  2. Law, Timothy

    1. Interpretable, Transparent, and Auditable Machine Learning: An Alternative to Factor Investing
      Daniel Philps, David Tilles and Timothy Law
      The Journal of Financial Data Science Fall 2021, 3 (4) 84-100; DOI: https://doi.org/10.3905/jfds.2021.1.077

M

  1. Mehta, Dhagash

    1. On Robustness of Mutual Funds Categorization and Distance Metric Learning
      Dhruv Desai and Dhagash Mehta
      The Journal of Financial Data Science Fall 2021, 3 (4) 130-150; DOI: https://doi.org/10.3905/jfds.2021.3.4.130

  2. Mulvey, John M.

    1. Factor Momentum and Regime-Switching Overlay Strategy
      Junhan Gu and John M. Mulvey
      The Journal of Financial Data Science Fall 2021, 3 (4) 101-129; DOI: https://doi.org/10.3905/jfds.2021.1.072

P

  1. Papenbrock, Jochen

    1. Adaptive Seriational Risk Parity and Other Extensions for Heuristic Portfolio Construction Using Machine Learning and Graph Theory
      Peter Schwendner, Jochen Papenbrock, Markus Jaeger and Stephan Krügel
      The Journal of Financial Data Science Fall 2021, 3 (4) 65-83; DOI: https://doi.org/10.3905/jfds.2021.1.078

  2. Philps, Daniel

    1. Interpretable, Transparent, and Auditable Machine Learning: An Alternative to Factor Investing
      Daniel Philps, David Tilles and Timothy Law
      The Journal of Financial Data Science Fall 2021, 3 (4) 84-100; DOI: https://doi.org/10.3905/jfds.2021.1.077

S

  1. Schwendner, Peter

    1. Adaptive Seriational Risk Parity and Other Extensions for Heuristic Portfolio Construction Using Machine Learning and Graph Theory
      Peter Schwendner, Jochen Papenbrock, Markus Jaeger and Stephan Krügel
      The Journal of Financial Data Science Fall 2021, 3 (4) 65-83; DOI: https://doi.org/10.3905/jfds.2021.1.078

T

  1. Tilles, David

    1. Interpretable, Transparent, and Auditable Machine Learning: An Alternative to Factor Investing
      Daniel Philps, David Tilles and Timothy Law
      The Journal of Financial Data Science Fall 2021, 3 (4) 84-100; DOI: https://doi.org/10.3905/jfds.2021.1.077

Y

  1. Yilmaz, Pinar

    1. Fairness Measures for Machine Learning in Finance
      Sanjiv Das, Michele Donini, Jason Gelman, Kevin Haas, Mila Hardt, Jared Katzman, Krishnaram Kenthapadi, Pedro Larroy, Pinar Yilmaz and Muhammad Bilal Zafar
      The Journal of Financial Data Science Fall 2021, 3 (4) 33-64; DOI: https://doi.org/10.3905/jfds.2021.1.075

Z

  1. Zafar, Muhammad Bilal

    1. Fairness Measures for Machine Learning in Finance
      Sanjiv Das, Michele Donini, Jason Gelman, Kevin Haas, Mila Hardt, Jared Katzman, Krishnaram Kenthapadi, Pedro Larroy, Pinar Yilmaz and Muhammad Bilal Zafar
      The Journal of Financial Data Science Fall 2021, 3 (4) 33-64; DOI: https://doi.org/10.3905/jfds.2021.1.075
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