Financial data is characterized by a low signal-to-noise ratio making it difficult to identify robust functional forms that map the characteristics of financial securities to expected returns (Lettau and Pelger, 2020). In this paper, we modify the standard prediction problem in empirical asset...

Executing a basket of co-integrated assets is an important task facing investors. Here, we show how to do this accounting for the informational advantage gained from assets within and outside the basket, as well as for the permanent price impact of market orders (MOs) from all market...

• Demonstration of outstanding investment performance due to noise filtering of covariance matrices in optimum portfolio selection exercises. This demonstration is based on the out-of-sample simulation of rebalancing trading done daily, weekly, biweekly and monthly.• Exhibits of investment...

Alexander Izmailov, Ph.D (theoretical physics) and Brian Shay, Ph.D (mathematics) of Market Memory Trading, L.L.C. present, in a series of nine (9) white papers, aspects of a revolutionary advance in uncovering hidden dependencies via filtering noise from correlation matrices developed by the...

We explore the stability properties of interest rate rules granting an explicit response to stock prices in a New-Keynesian DSGE model populated by Blanchard-Yaari non-Ricardian households. The constant turnover between long-time stock holders and asset-poor newcomers generates a financial...