The Journal of Financial Data Science

Published Ahead of Print

September 09, 2019

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Enhancing Time-Series Momentum Strategies Using Deep Neural Networks
Bryan Lim, Stefan Zohren and Stephen Roberts

The Journal of Financial Data Science Fall 2019, jfds.2019.1.015; DOI: https://doi.org/10.3905/jfds.2019.1.015

September 08, 2019

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Reconstructing Emerging and Developed Markets Using Hierarchical Clustering
Gerald Garvey and Ananth Madhavan

The Journal of Financial Data Science Fall 2019, jfds.2019.1.014; DOI: https://doi.org/10.3905/jfds.2019.1.014

September 07, 2019

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Proofs and Cross-Validations: Three Lessons for Financial Data Science
Joseph Simonian

The Journal of Financial Data Science Fall 2019, jfds.2019.1.009; DOI: https://doi.org/10.3905/jfds.2019.1.009

September 06, 2019

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Time-Series Momentum: A Monte Carlo Approach
Clemens Struck and Enoch Cheng

The Journal of Financial Data Science Fall 2019, jfds.2019.1.012; DOI: https://doi.org/10.3905/jfds.2019.1.012

September 05, 2019

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Avoiding Backtesting Overfitting by Covariance-Penalties: An Empirical Investigation of the Ordinary and Total Least Squares Cases
Adriano Koshiyama and Nick Firoozye

The Journal of Financial Data Science Fall 2019, jfds.2019.1.013; DOI: https://doi.org/10.3905/jfds.2019.1.013

September 04, 2019

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Automated Theme Search in ICO Whitepapers
Fu Chuanjie, Andrew Koh and Paul Griffin

The Journal of Financial Data Science Fall 2019, jfds.2019.1.011; DOI: https://doi.org/10.3905/jfds.2019.1.011

August 28, 2019

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Alpha Cloning: Using Quantitative Techniques and SEC 13f Data for Equity Portfolio Optimization and Generation
Daniel M. DiPietro

The Journal of Financial Data Science Fall 2019, jfds.2019.1.008; DOI: https://doi.org/10.3905/jfds.2019.1.008