Beyond the black box: an intuitive approach to investment prediction with machine learning

Y Li, D Turkington, A Yazdani - The Journal of Financial Data …, 2019 - pm-research.com
The complexity of machine learning models presents a substantial barrier to their adoption
for many investors. The algorithms that generate machine learning predictions are …

The equity differential factor in currency markets

D Turkington, A Yazdani - Financial Analysts Journal, 2020 - Taylor & Francis
We show that the differential in trailing equity market performance across countries strongly
predicts the cross-section of currency returns. Specifically, exchange rates tend to …

Bubble run-ups and sell-offs: a study of Indian stock market

A Banerjee, P Kayal - Review of Behavioral Finance, 2022 - emerald.com
Purpose This paper tries to locate the sectorial bubbles and examines the possibility for
investors making extra profit from these bubbles in the Indian stock market …

From risk factors to networks: A case study on interconnectedness using currency funds

G Konstantinov, J Rebmann - The Journal of Financial Data …, 2019 - pm-research.com
In this article, the authors introduce a combined approach for investigating currency funds by
using methods from network science and risk factor analysis. They document a positive …

Carry strategies and the US dollar risk of US and global bonds

GS Konstantinov, FJ Fabozzi - The Journal of Fixed Income, 2021 - search.proquest.com
In this article, the authors investigate the ability of currency carry strategies to mitigate the US-
dollar risk of US and global bond benchmark indices. Using the Fama-French and currency …

Carry momentum

J Davis, M Dorsten, N Gillmann, J Tsai - Financial Analysts Journal, 2022 - Taylor & Francis
Assets whose carry is trending up, namely, assets with high carry momentum, tend to have
higher returns than those with low carry momentum. Using data from different asset classes …

Emerging Market Bonds: Expected Returns and Currency Impact.

GS Konstantinov - Journal of Portfolio Management, 2022 - search.ebscohost.com
Optimizing in local currency or in currency-adjusted expected returns depends on the
portfolio base currency. Currency unhedged portfolios are more suitable for EUR-based …

Improving and Extending the Wu-Zhu Static Hedge.

S Guo, Q Liu - Journal of Derivatives, 2023 - search.ebscohost.com
Without considering the underlying risk dynamics and jumps, Wu and Zhu (2016) recently
proposed an ingenious approach of hedging options statically with an option portfolio. We …