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Tag: equities
66 items with this tag.
May 22, 2026
AI Hedge Fund Index Underperformance
live-trading
profitability-claim
reinforcement-learning
backtest
equities
May 22, 2026
Factor Timing
regime-switching
equities
profitability-claim
overfitting-risk
May 22, 2026
Financial Turbulence Index
regime-switching
equities
forex
transaction-costs
out-of-sample
May 22, 2026
Implementation Shortfall
transaction-costs
optimal-execution
equities
May 22, 2026
Square-Root Law of Market Impact
transaction-costs
equities
optimal-execution
backtest
May 22, 2026
Tactical Asset Allocation
trading-strategy
regime-switching
out-of-sample
equities
May 22, 2026
Volatility Regime
regime-switching
hidden-markov-model
equities
May 22, 2026
FinRL Framework and Contests
reinforcement-learning
markov-decision-process
backtest
out-of-sample
replication
equities
crypto
academic-paper
May 22, 2026
Major Equity Indices Daily Returns
dataset
equities
backtest
out-of-sample
May 22, 2026
Pinnacle Data Corp CLC Database
commodities
forex
equities
backtest
reinforcement-learning
May 22, 2026
QuantConnect
backtest
equities
May 22, 2026
DAX
equities
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
May 22, 2026
Futures Markets
commodities
forex
equities
reinforcement-learning
markov-decision-process
backtest
out-of-sample
transaction-costs
May 22, 2026
Limit Order Book
market-making
markov-decision-process
reinforcement-learning
equities
backtest
May 22, 2026
Nikkei 225
equities
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
May 22, 2026
OMXS30 Index
equities
markov-chain
out-of-sample
transaction-costs
May 22, 2026
S&P 500
equities
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
May 22, 2026
US Equity Market
equities
markov-decision-process
transaction-costs
May 22, 2026
WIG20 Index
equities
markov-chain
overfitting-risk
transaction-costs
backtest
May 22, 2026
Hidden Markov Model Regime Detection
model
markov
trading-research
hidden-markov-model
regime-switching
out-of-sample
transaction-costs
overfitting-risk
equities
academic-paper
May 22, 2026
Markov Chain Trading Model
model
markov
trading-research
markov-chain
profitability-claim
backtest
out-of-sample
equities
forex
academic-paper
May 22, 2026
Markov Regime-Switching Model
model
markov
trading-research
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
overfitting-risk
academic-paper
equities
May 22, 2026
Statistical Jump Model
model
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
equities
crypto
academic-paper
May 22, 2026
AQR Capital Management
transaction-costs
equities
regime-switching
live-trading
profitability-claim
May 22, 2026
Citigroup
transaction-costs
optimal-execution
equities
May 22, 2026
Direct Estimation of Equity Market Impact
academic-paper
transaction-costs
optimal-execution
equities
May 22, 2026
...and the Cross-Section of Expected Returns
overfitting-risk
backtest
academic-paper
equities
profitability-claim
May 22, 2026
Regime Changes and Financial Markets
academic-paper
regime-switching
markov
equities
forex
May 22, 2026
Stock market analysis with a Markovian approach: Properties and prediction of OMXS30
academic-paper
markov-chain
equities
out-of-sample
backtest
profitability-claim
May 22, 2026
Simplicity versus Complexity: A Comparative Analysis of HMM and HSMM for Regime-Based Asset Allocation
academic-paper
hidden-markov-model
regime-switching
out-of-sample
overfitting-risk
equities
May 22, 2026
Risk-Aware Deep Reinforcement Learning for Crypto and Equity Trading Under Transaction Costs
academic-paper
reinforcement-learning
markov-decision-process
crypto
equities
transaction-costs
out-of-sample
backtest
May 22, 2026
Bosancic Nie Mulvey 2024
academic-paper
regime-switching
hidden-markov-model
equities
profitability-claim
May 22, 2026
Markov-switching Asset Allocation: Do Profitable Strategies Exist?
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
profitability-claim
equities
May 22, 2026
Open Source Cross-Sectional Asset Pricing
academic-paper
replication
out-of-sample
profitability-claim
equities
backtest
May 22, 2026
A Long Memory Property of Stock Market Returns and a New Model
academic-paper
equities
model-risk
May 22, 2026
Modeling Stock Markets Through the Reconstruction of Market Processes
academic-paper
markov-chain
equities
replication
May 22, 2026
Frazzini Israel and Moskowitz 2018
academic-paper
transaction-costs
equities
out-of-sample
profitability-claim
May 22, 2026
Skulls, Financial Turbulence, and Risk Management
academic-paper
regime-switching
transaction-costs
equities
forex
May 22, 2026
Deep Reinforcement Learning for Optimal Trading with Partial Information
academic-paper
reinforcement-learning
regime-switching
markov-decision-process
transaction-costs
equities
May 22, 2026
Does Academic Research Destroy Stock Return Predictability?
academic-paper
out-of-sample
profitability-claim
equities
replication
backtest
May 22, 2026
Analysis of Investment Returns as Markov Chain Random Walk
academic-paper
markov-chain
equities
regime-switching
May 22, 2026
Performance Functions and Reinforcement Learning for Trading Systems and Portfolios
academic-paper
reinforcement-learning
trading-strategy
out-of-sample
transaction-costs
equities
May 22, 2026
Learning to Trade via Direct Reinforcement
academic-paper
reinforcement-learning
trading-strategy
markov-decision-process
out-of-sample
transaction-costs
equities
forex
May 22, 2026
Regimes
academic-paper
regime-switching
profitability-claim
equities
May 22, 2026
Tactical Asset Allocation with Macroeconomic Regime Detection
academic-paper
regime-switching
out-of-sample
equities
profitability-claim
May 22, 2026
Patton and Weller 2017
academic-paper
transaction-costs
equities
profitability-claim
May 22, 2026
Dynamic Asset Allocation with Asset-Specific Regime Forecasts
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
profitability-claim
equities
commodities
May 22, 2026
Downside Risk Reduction Using Regime-Switching Signals: A Statistical Jump Model Approach
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
equities
May 22, 2026
Dynamic Factor Allocation Leveraging Regime-Switching Signals
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
equities
profitability-claim
May 22, 2026
Stop-loss strategies with serial correlation, regime switching, and transaction costs
academic-paper
regime-switching
transaction-costs
backtest
equities
May 22, 2026
Regime-Switching Factor Investing with Hidden Markov Models
academic-paper
hidden-markov-model
regime-switching
out-of-sample
overfitting-risk
equities
May 22, 2026
Time series modeling and forecasting based on a Markov chain with changing transition matrices
academic-paper
markov-chain
forex
equities
profitability-claim
overfitting-risk
backtest
May 22, 2026
Revisiting the Profitability of Market Timing with Moving Averages
academic-paper
regime-switching
backtest
out-of-sample
overfitting-risk
replication
equities
May 22, 2026
Deep Reinforcement Learning for Trading
academic-paper
reinforcement-learning
markov-decision-process
backtest
out-of-sample
transaction-costs
commodities
forex
equities
May 22, 2026
Andrea Frazzini
transaction-costs
academic-paper
equities
May 22, 2026
Antoni Wiliński
academic-paper
markov-chain
machine-learning
forex
equities
May 22, 2026
Campbell Harvey
overfitting-risk
backtest
academic-paper
equities
May 22, 2026
Cliff Asness
equities
profitability-claim
overfitting-risk
May 22, 2026
Robert Almgren
optimal-execution
transaction-costs
markov-decision-process
equities
May 22, 2026
Tobias Moskowitz
transaction-costs
academic-paper
equities
May 22, 2026
Valeriy Zakamulin
academic-paper
backtest
out-of-sample
overfitting-risk
equities
May 22, 2026
Optimal Execution
optimal-execution
transaction-costs
markov-decision-process
trading-strategy
equities
May 22, 2026
Recurrent Reinforcement Learning Trading
reinforcement-learning
trading-strategy
markov-decision-process
out-of-sample
transaction-costs
forex
equities
May 22, 2026
Regime-Based Asset Allocation
trading-strategy
regime-switching
hidden-markov-model
transaction-costs
out-of-sample
equities
May 22, 2026
Style Factor Rotation
regime-switching
hidden-markov-model
trading-strategy
equities
profitability-claim
May 22, 2026
VWAP and TWAP Execution
optimal-execution
transaction-costs
trading-strategy
equities