Journal of Investment Strategies
ISSN:
2047-1238 (print)
2047-1246 (online)
Editor-in-chief: Ali Hirsa
About this journal
The Journal of Investment Strategies is dedicated to the rigorous treatment of modern investment strategies; going well beyond the “classical” approaches in both its subject instruments and methodologies. In providing a balanced representation of academic, buy-side and sell-side research, the Journal promotes the cross-pollination of ideas amongst researchers and practitioners, achieving a unique nexus of academia and industry on one hand, and theoretical and applied models on the other.
The Journal contains in-depth research papers as well as discussion articles on technical and market subjects, and aims to equip the global investment community with practical and cutting-edge research in order to understand and implement modern investment strategies.
With a focus on important contemporary investment strategies, techniques and management, the journal considers papers on the following areas:
- Fundamental Strategies: including fundamental macro, fundamental equity or credit selection
- Relative Value Strategies: estimation of and investing in the relative valuation of related securities, both vanilla and derivatives
- Tactical Strategies: strategies based on forecasting of, and investing in, patterns of market behavior, such as momentum or mean reversion, and tactical asset allocation strategies.
- Event-Driven Strategies: strategies based on the forecast of likelihood of market-moving events or market reactions to such events
- Algorithmic Trading Strategies: models of market microstructure, liquidity and market impact and algorithmic trade execution and market-making strategies
- Principal Investment Strategies: investment strategies for illiquid securities and principal ownership or funding of real assets and businesses
- Portfolio Management and Asset Allocation: models for portfolio optimization, risk control, performance attribution and asset allocation
- Econometric and Statistical Methods: with applications to investment strategies
Abstracting and indexing: Clarivate Analytics Emerging Sources Citation Index; EconLit; EconBiz; and Cabell’s Directory
Journal Metrics:
Journal Impact Factor: 0.2
5-Year Impact Factor: 0.1
CiteScore: 0.6
Latest papers
Diffusing explosive portfolio performance evaluation of high frequency traders
This paper introduces an efficient Sharpe ratio (ESR) that diffuses explosive ASRs for HFT so that they are comparable to SRs for other actively managed funds.
Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash
This paper assesses the performance of the real-time diagnostic of the bubble regime in Chinese stock markets.
A unified framework for risk-based investing
This paper aims to help investors better understand the commonalities and differences between risk-based portfolio strategies in the investment industry.
The impact of visible and dark orders
This paper presents empirical evidence of how different components of order flow affect returns.
Optimal betting sizes for the game of blackjack
The authors of this paper develop the theory of Kelly and Thorp for determining optimal bet sizes for blackjack by incorporating two practical considerations.
Indexing multi-asset solutions
This paper explores the potential role of multi-asset solutions in the indexing landscape as well as challenges in constructing multi-asset indexes
A combined regime-switching and Black–Litterman model for optimal asset allocation
The authors of this paper aim to test empirically the performance of several optimization algorithms that exist in the literature and then compare them, in both a single-regime market and a two-regime market.
Trend detection under erroneous observations: application to quantitative financial strategies
This paper shows how to handle the problem of trend detection in the context of trend-following trading strategies, when the data is potentially erroneous. The questions raised in this paper are important for many commodity trading advisors, and more…
Notes on alpha stream optimization
This paper discusses aspects of optimizing weights for alpha streams (by alpha streams the author means a sequence of predictions of expected returns for each asset given by different models employed by portfolio managers).
Navigating risk cycles
Bootstrapping the relative performance of yield curve strategies
A supply-and-demand based price model for financial assets
Does Google Trends data contain more predictability than price returns?
The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets
Intertemporal risk parity: a constant volatility framework for factor investing
Factor models for alpha streams
The stock–bond correlation
The stochastic-volatility, jump-diffusion optimal portfolio problem with jumps in returns and volatility
The risk-averse optimal portfolio problem is treated with consumption in continuous time for a stochastic jump-volatility-jump-diffusion (SJVJD) model for both the risky asset and the volatility.
Quantifying irrational sentiment
The author uses behavioral finance theory to create a measure that detects when stock markets become irrational.
Hedging iTraxx credit default swap index trading on an intraday basis: an empirical study
In this paper we examine the effectiveness of intraday hedging models for credit default swap index trading by means of more liquidly traded exchange-based futures contracts.