A cross-sectional machine learning approach for hedge fund return prediction and selection

W Wu, J Chen, Z Yang, ML Tindall - Management Science, 2021 - pubsonline.informs.org
We apply four machine learning methods to cross-sectional return prediction for hedge fund
selection. We equip the forecast model with a set of idiosyncratic features, which are derived …

[HTML][HTML] A statistical learning approach for stock selection in the Chinese stock market

W Wu, J Chen, L Xu, Q He, ML Tindall - Financial Innovation, 2019 - Springer
Forecasting stock returns is extremely challenging in general, and this task becomes even
more difficult given the turbulent nature of the Chinese stock market. We address the stock …

[PDF][PDF] Hedge fund return prediction and fund selection: A machine-learning approach

J Chen, W Wu, ML Tindall - 2016 - dallasfed.org
A machine-learning approach is employed to forecast hedge fund returns and perform individual
hedge fund selection within major hedge fund style categories. Hedge fund selection is …

Hedge fund replication using shrinkage methodologies

J Chen, ML Tindall - The Journal of Alternative Investments, 2014 - search.proquest.com
In this article, the authors replicate major Hedge Fund Research, Inc., style indexes using
alternative methods. These methods include stepwise regression, ridge regression, the lasso …

[PDF][PDF] Hedge fund dynamic market sensitivity

J Chen, ML Tindall - Occasional Paper, 2012 - Citeseer
Many hedge funds attempt to achieve high returns by employing leverage. However, it is
difficult to track the degree of leverage used by hedge funds over time because detailed timely …

Hedge fund dynamic market sensitivity

J Chen, ML Tindall - The Journal of Alternative Investments, 2013 - search.proquest.com
Many hedge funds attempt to achieve high returns by employing leverage. However, it is
difficult to track the degree of leverage used by hedge funds over time because detailed timely …

[PDF][PDF] Risk measurement illiquidity distortions

J Chen, ML Tindall, W Wu - Occasional Paper, 2012 - Citeseer
We examine the effects of smoothed hedge fund returns on standard deviation, skewness,
and kurtosis of return and on correlation of returns and cross-sectional volatility and …

Borrowed reserves and deposit variation: The risks to monetary policy

ML Tindall, RW Spencer - Atlantic Economic Journal, 1997 - Springer
A theory of bank reserves is presented with emphasis on the behavior of borrowed reserves,
the Federal Reserve's operating instrument. The theory explains the observed nonlinear …

Constructing Equity Market-Neutral VIX Portfolios with Dynamic CAPM

J Chen, ML Tindall - The Journal of Alternative Investments, 2016 - search.proquest.com
Many hedge funds that claim to be market-neutral produce returns that are highly correlated
with the returns of market benchmarks. Fast-changing correlations among asset classes …

Central bank reserve management: Aggregate targets and interest payments on reserves

ML Tindall, RW Spencer - International Advances in Economic Research, 2000 - Springer
Tindall and Spencer [1997] presented a dynamic stochastic theory of borrowed reserves that
explained the observed nonlinear relationship between borrowing and the spread between …