Three of the all-time top ten SSRN Econometrics:Math papers are from the MAFFIA

The Social Science Research Network’s Econometrics: Mathematical Methods and Programming eJournal distributes working and accepted paper abstracts in the area of mathematical methods applied to econometrics. The journal maintains a list of the All Time Top Ten Papers of the journal, based on total download counts from the journal’s SSRN website from January 2, 1997 through the current date. The current top ten list is shown below, together with download counts as of June 3, 2015. These are selected out of a current total of 4,201 papers.

We note with some measure of satisfaction that three papers from this list, namely #5, #7 and #10, are authored or co-authored by members of our Mathematicians Against Fraudulent Financial and Investment Advice (MAFFIA) research group.

In a separate listing of the Recent Top Ten Papers (downloads from April 4 through June 3, 2015), we note that three of this list (#4, #5, #9) are also authored or co-authored by MAFFIA members (and these three papers are distinct from the three on the all-time top ten list). The current list is shown below.

Although we are pleased at these results, we are also humbled by the wide readership that these papers have attracted. Our only hope is that these works will draw attention to the need for a higher standard of mathematical and statistical rigor in the field, and will point the way to improved techniques in the field.

The All Time Top Ten Papers list (MAFFIA papers highlighted)

  1. “Risk-neutral probabilities explained,” by N. Gisiger, 20 Oct 2010. (10,160 downloads)
  2. “A new anomaly: The cross-sectional profitability of technical analysis,” by Y. Han, K. Yang and G. Zhou, 22 May 2012. (7,435 downloads)
  3. “Finiteness of variance is irrelevant in the practice of quantitative finance,” by N.N. Taleb, 16 Nov 2012. (7,060 downloads)
  4. “Errors, robustness and the fourth quadrant,” by N.N. Taleb, 16 Nov 2012. (6,688 downloads)
  5. Pseudo-mathematics and financial charlatanism: The effects of backtest overfitting on out-of-sample performance by D.H. Bailey, J.M. Borwein, M. Lopez de Prado and Q.J. Zhu, 14 Apr 2014. (6,151 downloads)
  6. “Kelly criterion for multivariate portfolios: A model-free approach,” by V. Nekrasov, 30 Sep 2014. (4,613 downloads)
  7. Advances in cointegration and subset correlation hedging methods, by M. Lopez de Prado and D. Leinweber, 31 Jan 2014. (3,948 downloads)
  8. “Diversified statistical arbitrage: Dynamically combining mean reversion and momentum strategies,” by J. Velissaris, 30 Aug 2010. (3,690 downloads)
  9. “Fitting the smile, smart parameters for SABR and Heston,” by P. Gauthier, 31 Oct 2009. (3,638 downloads)
  10. The probability of backtest overfitting, by D.H. Bailey, J.M. Borwein, M. Lopez de Prado and Q.J. Zhu, 3 Mar 2015. (3,523 downloads)

Total download count: 56,906 from 4,201 papers.

The Recent Top Ten Papers list (MAFFIA papers highlighted)

  1. “Momentum and Markowitz: A golden combination,” by W.J. Keller, A. Butler and I. Kipnis, 22 May 2015. (673 downloads)
  2. “Heterotic risk models,” by Z. Kakushadze, 15 May 2015. (632 downloads)
  3. “Exact calculation of stochastic time integrals with an application towards high order Monte Carlo of non-linear stochastic differential equations,” by A. Amin, 31 Mar 2015. (305 downloads)
  4. Backtesting, by M. Lopez de Prado, 18 May 2015. (287 downloads)
  5. Backtest overfitting demonstration tool: An online interface, by D.H. Bailey, J.M. Borwein, Amir Salehipour, M. Lopez de Prado and Q.J. Zhu, 6 May 2015. (227 downloads)
  6. “Smart beta: Managing diversification of minimum variance portfolios,” by J-C. Richard and T. Roncalli, 20 Apr 2015. (209 downloads)
  7. “High-frequency trading with on-line learning,” by J. Fernandez-Tapia, 21 Apr 2015. (184 downloads)
  8. “Seeking alpha? It’s a bad guideline for portfolio optimization,” by M. Levy and R. Poll, 29 Apr 2015. (162 downloads)
  9. Advances in quantitative meta-strategies, by M. Lopez de Prado, 13 May 2015. (144 downloads)
  10. “Optimizing value,” by R. Leshem, L.R. Goldberg and A. Cummings, 8 May 2015. (91 downloads)

Total download count: 2,914

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