The Journal of Financial Data Science

Published Ahead of Print

December 30, 2021

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Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection
Kieran Wood, Stephen Roberts and Stefan Zohren

The Journal of Financial Data Science Winter 2022, jfds.2021.1.081; DOI: https://doi.org/10.3905/jfds.2021.1.081

December 22, 2021

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When Do Investors Freak Out? Machine Learning Predictions of Panic Selling
Daniel Elkind, Kathryn Kaminski, Andrew W. Lo, Kien Wei Siah and Chi Heem Wong

The Journal of Financial Data Science Winter 2022, jfds.2021.1.085; DOI: https://doi.org/10.3905/jfds.2021.1.085
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Forests for Fama
Joseph Simonian

The Journal of Financial Data Science Winter 2022, jfds.2021.1.086; DOI: https://doi.org/10.3905/jfds.2021.1.086

December 15, 2021

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Investable and Interpretable Machine Learning for Equities
Yimou Li, Zachary Simon and David Turkington

The Journal of Financial Data Science Winter 2022, jfds.2021.1.084; DOI: https://doi.org/10.3905/jfds.2021.1.084

December 13, 2021

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Deep Learning for Exotic Option Valuation
Jay Cao, Jacky Chen, John Hull and Zissis Poulos

The Journal of Financial Data Science Winter 2022, jfds.2021.1.083; DOI: https://doi.org/10.3905/jfds.2021.1.083

December 10, 2021

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ESG and Alternative Data: Capturing Corporates’ Sustainability-Related Activities with Job Postings
Arik Ben Dor, Jingling Guan, Adam Kelleher, Adam Lauretig, Ryan Preclaw and Xiaming Zeng

The Journal of Financial Data Science Winter 2022, jfds.2021.1.082; DOI: https://doi.org/10.3905/jfds.2021.1.082

December 09, 2021

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Cryptocurrency Sectorization through Clustering and Web-Scraping: Application to Systematic Trading
Babak Mahdavi-Damghani, Robert Fraser, James Howell and Jon Sveinbjorn Halldorsson

The Journal of Financial Data Science Winter 2022, jfds.2021.1.080; DOI: https://doi.org/10.3905/jfds.2021.1.080

November 24, 2021

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Systematic Pricing and Trading of Municipal Bonds
Petter N. Kolm and Sudarshan Purushothaman

The Journal of Financial Data Science Winter 2022, jfds.2021.1.079; DOI: https://doi.org/10.3905/jfds.2021.1.079