290 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Inspire InstituteUS3 papers
- Institut National de Santé PubliqueCI3 papers
- Universidade do Estado do Rio de JaneiroBR2 papers
- Vienna University of Economics and BusinessAT2 papers
- Arizona State UniversityUS1 paper
- Benemérita Universidad Autónoma de PueblaMX1 paper
- Centre National de la Recherche ScientifiqueFR1 paper
- École Centrale de LilleFR1 paper
- Education and Research InstituteUS1 paper
- Fundo BrasilBR1 paper
- Institut d'Anàlisi EconòmicaES1 paper
- Institut de Chimie Moléculaire et des Matériaux d'OrsayFR1 paper
Showing 2021 · q-fin.STShow all
2 papers · 2 filters
q-fin.ST2021★ 1 cited
Trend-Following Strategies via Dynamic Momentum Learning
Bruno P. C. Levy, Hedibert F. Lopes
Time series momentum strategies are widely applied in the quantitative financial industry and its academic research has grown rapidly since the work of Moskowitz, Ooi and Pedersen…
q-fin.ST2021★ 1 cited
Dynamic Portfolio Allocation in High Dimensions using Sparse Risk Factors
Bruno P. C. Levy, Hedibert F. Lopes
We propose a fast and flexible method to scale multivariate return volatility predictions up to high-dimensions using a dynamic risk factor model. Our approach increases parsimony…