The Journal of Financial Data Science

Published Ahead of Print

September 11, 2020

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Volatility Prediction and Risk Management: An SVR-GARCH Approach
Abdullah Karasan and Esma Gaygisiz

The Journal of Financial Data Science Fall 2020, jfds.2020.1.046; DOI: https://doi.org/10.3905/jfds.2020.1.046

September 09, 2020

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Deep Reinforcement Learning for Option Replication and Hedging
Jiayi Du, Muyang Jin, Petter N. Kolm, Gordon Ritter, Yixuan Wang and Bofei Zhang

The Journal of Financial Data Science Fall 2020, jfds.2020.1.045; DOI: https://doi.org/10.3905/jfds.2020.1.045

September 02, 2020

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Forecast Optimization via Parameter Tuning: Performance Gain and Overfit
Ilya Soloveychik

The Journal of Financial Data Science Fall 2020, jfds.2020.1.044; DOI: https://doi.org/10.3905/jfds.2020.1.044

August 27, 2020

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European Floating Strike Lookback Options: Alpha Prediction and Generation Using Unsupervised Learning
Tristan Lim, Ong Chin Sin and Aldy Gunawan

The Journal of Financial Data Science Fall 2020, jfds.2020.1.043; DOI: https://doi.org/10.3905/jfds.2020.1.043

August 26, 2020

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Deep Learning for Portfolio Optimization
Zihao Zhang, Stefan Zohren and Stephen Roberts

The Journal of Financial Data Science Fall 2020, jfds.2020.1.042; DOI: https://doi.org/10.3905/jfds.2020.1.042

August 24, 2020

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Neural Embeddings of Financial Time-Series Data
Alik Sokolov, Jonathan Mostovoy, Brydon Parker and Luis Seco

The Journal of Financial Data Science Fall 2020, jfds.2020.1.041; DOI: https://doi.org/10.3905/jfds.2020.1.041

August 21, 2020

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Machine Learning Prediction of Recessions: An Imbalanced Classification Approach
Alireza Yazdani

The Journal of Financial Data Science Fall 2020, jfds.2020.1.040; DOI: https://doi.org/10.3905/jfds.2020.1.040