Articles by Adam Zaremba
What drives the January seasonality in the illiquidity premium? Evidence from international stock markets
This study is, to the best of the authors’ knowledge, the first attempt to comprehensively examine and explain the January effect in the illiquidity premium.
Ensemble models in forecasting financial markets
In this paper, the authors study an evolutionary framework for the optimization of various types of neural network structures and parameters.
Do quantitative country selection strategies really work?
This paper compares sixteen distinct country-selection strategies within a sample of seventy-eight countries between 1999-2015.