When Do Investors Freak Out? Machine Learning Predictions of Panic Selling by Elkind, Daniel, Kaminski, Kathryn, Lo, Andrew W., Siah, Kien Wei, Wong, Chi Heem

Subjects: “…deep learning, freaking out, panic selling, stop-loss, tactical asset allocation…”
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Machine Learning and Optimization-Based Modeling for Asset Management by Casey, Justin, Rafavy, Carlos

“…We propose an improvement for the company’s asset management practice by modeling an integrated decision tool which involves evaluation of several machine learning algorithms for demand prediction and mathematical optimization for a centrally-planned asset allocation. We find that a feed-forward neural network (FNN) model with single hidden layer is the best performing predictor for the company’s intermittent product demand and the optimization model is proven to prescribe the most efficient asset allocation given the demand prediction from FNN model.…”
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The Wisdom of Twitter Crowds:Predicting Stock Market Reactions to FOMC Meetings via Twitter Feeds by Azar, Pablo Daniel, Lo, Andrew W

“…They find that a tweet-based asset allocation strategy outperforms several benchmarks—including a strategy that buys and holds a market index, as well as a comparable dynamic asset allocation strategy that does not use Twitter information.…”
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Adaptive Markets and the New World Order by Lo, Andrew W.

“…The AMH has several implications, including the possibility of negative risk premiums, alpha converging to beta, and the importance of macro factors and risk budgeting in asset allocation policies.…”
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Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management by Basak, Suleyman, Pavlova, Anna, Shapiro, Alex

“…This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk exposure. In a dynamic asset allocation framework, we show that as the year-end approaches, the ensuing convexities in the manager's objective induce her to closely mimic the index, relative to which her performance is evaluated, when the fund's year-to-date return is sufficiently high. …”
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How general are risk preferences? Choices under uncertainty in different domains by Einav, Liran, Finkelstein, Amy, Pascu, Iuliana, Cullen, Mark R.

“…We find a considerably weaker relationship between one's insurance decisions and 401(k) asset allocation, although this relationship appears larger for more "financially sophisticated" individuals. …”
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Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios by Lo, Andrew W., Khandani, Amir Ehsan

“…We do not find evidence for this premium among equity and asset-allocation mutual funds, or among the 100 US equity portfolios. …”
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