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SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 581,293
Full Text Papers: 481,997
Authors: 269,170
Papers Received in
  Last 12 months:
63,436

Paper Downloads:
To date: 81,477,092
Last 12 months: 10,266,314
Last 30 days: 936,916

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  Resolved
  References:
277,189
Total References: 9,075,409
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Total Citation
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6,012,680
Papers with
  Resolved
  Footnotes:
94,592
Total Footnotes: 9,190,620


SSRN eLibrary Search Results
JEL Code: C00
283,415 Total downloads
Showing Papers 1 - 50 of 614
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Incl. Electronic Paper A Quantitative Approach to Tactical Asset Allocation
The Journal of Wealth Management, Spring 2007
Mebane T. Faber
Cambria Investment Management
Date Posted: February 11, 2007
Last Revised: March 03, 2014
Accepted Paper Series
140110 downloads

Incl. Electronic Paper An Intermarket Approach to Beta Rotation: The Strategy, Signal, and Power of Utilities
2014 Charles H. Dow Award Winner
Charles V. Bilello and Michael A. Gayed
Pension Partners, LLC and Pension Partners, LLC
Date Posted: March 31, 2014
Working Paper Series
8565 downloads

Incl. Electronic Paper Warning: Physics Envy May be Hazardous to Your Wealth!
Andrew W. Lo and Mark T. Mueller
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology, Center for Theoretical Physics
Date Posted: March 05, 2010
Last Revised: March 15, 2010
Working Paper Series
3864 downloads

Incl. Electronic Paper Generalized Momentum and Flexible Asset Allocation (FAA): An Heuristic Approach
Wouter J. Keller and Hugo S. van Putten
Flex Capital BV and Flex Capital BV
Date Posted: December 25, 2012
Last Revised: January 07, 2013
Working Paper Series
3346 downloads

Incl. Electronic Paper An Intermarket Approach to Tactical Risk Rotation: Using the Signaling Power of Treasuries to Generate Alpha and Enhance Asset Allocation
2014 Wagner Award, 3rd Place
Michael A. Gayed and Charles V. Bilello
Pension Partners, LLC and Pension Partners, LLC
Date Posted: May 01, 2014
Working Paper Series
3343 downloads

Incl. Electronic Paper Markov Representation of the Heath-Jarrow-Morton Model
Oren Cheyette
Loomis Sayles
Date Posted: March 26, 2001
Working Paper Series
3124 downloads

Incl. Electronic Paper Stress Testing the Banking System: Methodologies and Applications
STRESS TESTING THE BANKING SYSTEM, M. Quagliariello, ed., Cambridge University Press, Forthcoming
Mario Quagliariello
European Banking Authority
Date Posted: January 10, 2009
Last Revised: May 01, 2009
Accepted Paper Series
2998 downloads

Incl. Electronic Paper Analytic Solutions for Optimal Statistical Arbitrage Trading
William Karel Bertram
ITG Australia Limited
Date Posted: November 14, 2009
Working Paper Series
2583 downloads

Incl. Electronic Paper An Improved Moving Average Technical Trading Rule
Quantf Research Working Paper Series No. WP01/2014
Fotis Papailias and Dimitrios D. Thomakos
quantf research and University of Peloponnese - School of Management and Economics
Date Posted: September 13, 2011
Last Revised: June 02, 2014
Working Paper Series
2579 downloads

Incl. Electronic Paper Optimal Portfolios from Ordering Information
Robert Almgren and Neil A Chriss
University of Toronto - Department of Mathematics and Hutchin Hill Capital
Date Posted: December 25, 2004
Working Paper Series
2251 downloads

Incl. Electronic Paper Credit-Informed Tactical Asset Allocation
David Klein
Capital Context
Date Posted: June 26, 2011
Working Paper Series
2141 downloads

Incl. Electronic Paper A Resolution to the NPV - IRR Debate?
Michael Osborne
University of Sussex
Date Posted: April 05, 2004
Last Revised: January 04, 2010
Working Paper Series
1998 downloads

Incl. Electronic Paper Pitching Research
Robert W. Faff
University of Queensland
Date Posted: July 04, 2014
Last Revised: December 11, 2014
Working Paper Series
1979 downloads

Incl. Electronic Paper ANANTA: A Systematic Quantitative FX Trading Strategy
Nicolas Georges
Independent
Date Posted: April 02, 2014
Last Revised: May 29, 2014
Working Paper Series
1855 downloads

Incl. Electronic Paper Applied Multidimensional Girsanov Theorem
Denis Papaioannou
Independent
Date Posted: April 11, 2011
Last Revised: July 14, 2012
Working Paper Series
1799 downloads

Incl. Electronic Paper Liquidity Risk Theory and Coherent Measures of Risk
Carlo Acerbi and Giacomo Scandolo
Abaxbank and University of Verona - Department of Economics
Date Posted: December 03, 2007
Working Paper Series
1619 downloads

Incl. Electronic Paper An Analytical Theory of Project Investment: A Comparison with Real Option Theory
Jing Chen
University of Northern British Columbia - School of Business
Date Posted: November 11, 2002
Working Paper Series
1504 downloads

Incl. Electronic Paper Option Pricing under the Variance Gamma Process
Filo Fiorani
Merrill Lynch & Co.
Date Posted: June 08, 2009
Working Paper Series
1497 downloads

Incl. Electronic Paper CreditRisk+ by Fast Fourier Transform
YieldCurve, August 2004
Mario R. Melchiori
Universidad Nacional del Litoral
Date Posted: April 23, 2008
Last Revised: December 19, 2008
Working Paper Series
1496 downloads

Incl. Electronic Paper VIX Option Pricing in a Jump-Diffusion Model
Risk Magazine, pp. 84-89, April 2008
Artur Sepp
Merrill Lynch & Co.
Date Posted: June 01, 2009
Accepted Paper Series
1459 downloads

Incl. Electronic Paper A Mean-Variance Capital Asset Pricing Model for Long Short Equity Hedge Fund Portfolios
David E. Hampton
Hedge Fund Sciences
Date Posted: December 16, 2007
Last Revised: September 06, 2011
Working Paper Series
1439 downloads

Incl. Electronic Paper Asymptotic Approximations to CEV and SABR Models
Richard Jordan and Charles Tier
Intercontinental Exchange Inc., Quantitative Analytics Group and Illinois Institute of Technology
Date Posted: May 25, 2011
Working Paper Series
1428 downloads

Incl. Electronic Paper Unifying the Bgm and Sabr Models: a Short Ride in Hyperbolic Geometry
Pierre Henry-Labordere
Société Générale - Paris, France
Date Posted: January 23, 2006
Working Paper Series
1404 downloads

Incl. Electronic Paper Optimal Momentum: A Global Cross Asset Approach
Gary Antonacci
Portfolio Management Consultants
Date Posted: May 10, 2011
Last Revised: December 15, 2014
Working Paper Series
1392 downloads

Incl. Electronic Paper Solving SABR in Exact Form and Unifying it with LIBOR Market Model
Othmane Islah
affiliation not provided to SSRN
Date Posted: October 19, 2009
Working Paper Series
1353 downloads

Incl. Electronic Paper The Value of Stop-Losses and Stop-Gains in Enhancing Risk-Adjusted Return
Austin Shelton
University of Arizona
Date Posted: June 26, 2013
Last Revised: January 06, 2014
Working Paper Series
1237 downloads

Incl. Electronic Paper Online Learning in Practice: An Introduction to Statistics Course
Hershey H. Friedman and Linda Weiser Friedman
Brooklyn College - Department of Finance and Business Management and Baruch College, CUNY - Zicklin School of Business
Date Posted: May 03, 2013
Working Paper Series
1209 downloads

Incl. Electronic Paper Random Walks, Non-Cooperative Games, and the Complex Mathematics of Patent Pricing
Frank Russell Denton and Paul J. Heald
Independent and University of Illinois College of Law
Date Posted: June 10, 2003
Working Paper Series
1207 downloads

Incl. Electronic Paper Risk Management Research Report - Spring 2010
Risk Management Research Report, Spring 2010
Christophe Perignon , Daniel R Smith , Bing Liang , Hyuna Park , Michelle Lowry , Micah S. Officer , G. William Schwert , Elyas Elyasiani , Jingyi (Jane) Jia , Gary Charness , Uri Gneezy , Michael J. Cooper , Huseyin Gulen , Alexei V. Ovtchinnikov , Holger Spamann , Xavier Giroud , Holger M. Mueller , Marco Castillo , Ragan Petrie , Maximo Torero , Nuno Fernandes , Ugur Lel , Darius P. Miller , Dan Givoly , Carla Hayn , Sharon P. Katz , Bill B. Francis , Iftekhar Hasan , Kose John , Maya Waisman and Robert W. Kolb
HEC Paris (Groupe HEC) - Finance Department , affiliation not provided to SSRN , University of Massachusetts Amherst - Department of Finance & Operations Management , Minnesota State University , Drexel University , Loyola Marymount University - Department of Finance and Computer Information Systems , University of Rochester - Simon Business School , Temple University - Department of Finance , Southern Illinois University at Edwardsville , University of California, Santa Barbara - Department of Economics , University of California, San Diego (UCSD) - Rady School of Management , University of Utah - David Eccles School of Business , Purdue University - Krannert School of Management , HEC Paris (Groupe HEC) - Finance Department , Harvard Law School , Massachusetts Institute of Technology (MIT) - Sloan School of Management , New York University (NYU) - Department of Finance , George Mason University , George Mason University - Department of Economics , International Food Policy Research Institute (IFPRI) , IMD International , Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law , Southern Methodist University (SMU) - Edwin L. Cox School of Business , Pennsylvania State University, Smeal College of Business , University of California at Los Angeles - Anderson School of Management , Columbia Business School - Accounting, Business Law & Taxation , University of South Florida - College of Business Administration , Fordham University , New York University (NYU) - Department of Finance , Fordham University Schools of Business and Loyola University of Chicago - Department of Finance
Date Posted: April 23, 2010
Accepted Paper Series
1192 downloads

Incl. Electronic Paper Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans
EFA 2002 Berlin Meetings Presented Paper
Martin Christian Richter and Carsten Sørensen
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Copenhagen Business School - Department of Finance
Date Posted: February 27, 2002
Working Paper Series
1188 downloads

Incl. Electronic Paper An Improved Moving Average Technical Trading Rule II: Can We Obtain Performance Improvements with Short Sales?
Quantf Research Working Paper Series No. WP02/2014
Fotis Papailias and Dimitrios D. Thomakos
quantf research and University of Peloponnese - School of Management and Economics
Date Posted: November 14, 2011
Last Revised: June 02, 2014
Working Paper Series
1158 downloads

Incl. Electronic Paper Doing Quantitative Field Research in Management Accounting
Shannon W. Anderson and Sally K. Widener
University of California, Davis - Graduate School of Management and Clemson University
Date Posted: November 02, 2005
Working Paper Series
1158 downloads

Incl. Electronic Paper Pricing Options on Realized Variance in the Heston Model with Jumps in Returns and Volatility
Journal of Computational Finance, Vol. 11, No. 4, pp. 33-70, 2008
Artur Sepp
Merrill Lynch & Co.
Date Posted: May 21, 2009
Last Revised: October 05, 2010
Accepted Paper Series
1135 downloads

Incl. Electronic Paper What Does Not Work in Comparing Securities Laws: A Critique on La Porta et al.'s Methodology
International Company and Commercial Law Review, pp. 300-305, 2005, CPC-RPS No. 0009
Mathias M. Siems
Durham University - Durham Law School
Date Posted: April 06, 2005
Last Revised: April 02, 2009
Accepted Paper Series
1081 downloads

Incl. Electronic Paper Deviation Measures in Risk Analysis and Optimization
University of Florida, Department of Industrial & Systems Engineering Working Paper No. 2002-7
R. Tyrrell Rockafellar , Stanislav P. Uryasev and Michael Zabarankin
University of Washington - Department of Mathmatics , University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Date Posted: January 22, 2003
Working Paper Series
1058 downloads

Incl. Electronic Paper An Approximate Distribution of Delta-Hedging Errors in a Jump-Diffusion Model with Discrete Trading and Transaction Costs
Sepp, A. (2012), "An Approximate Distribution of Delta-Hedging Errors in a Jump-Diffusion Model with Discrete Trading and Transaction Costs", Quantitative Finance, 12(7), 1119-1141
Artur Sepp
Merrill Lynch & Co.
Date Posted: March 19, 2009
Last Revised: February 18, 2014
Accepted Paper Series
1049 downloads

Incl. Electronic Paper Risk Management of Hedge Funds using Fuzzy Neural- and Genetic Algorithms

Clemens Glaffig
Panathea Capital Partners
Date Posted: August 24, 2004
Working Paper Series
1041 downloads

Incl. Electronic Paper When You Hedge Discretely: Optimization of Sharpe Ratio for Delta-Hedging Strategy under Discrete Hedging and Transaction Costs
Journal of Investment Strategies, 2013, Vol. 3, No. 1, pp. 19-59
Artur Sepp
Merrill Lynch & Co.
Date Posted: June 19, 2011
Last Revised: February 16, 2014
Accepted Paper Series
1003 downloads

Incl. Electronic Paper Happiness, Economics and Public Policy
Institute of Economic Affairs, Research Monograph 62, 2007
Helen Johns and Paul Ormerod
affiliation not provided to SSRN and Volterra Consulting
Date Posted: October 09, 2007
Accepted Paper Series
955 downloads

Incl. Electronic Paper Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices
Journal of Asset Management, Vol. 12, 3, 185-202, 2010
Christian Dunis , Jason Laws and Jozef Rudy
John Moores University - Business School , University of Liverpool - Management School (ULMS) and Harvest Alpha Capital
Date Posted: June 01, 2013
Last Revised: November 27, 2014
Accepted Paper Series
953 downloads

Incl. Electronic Paper The Taxonomy of Interdisciplinary Legal Research: Finding the Way Out of the Desert
Journal of Commonwealth Law and Legal Education, Vol. 7, pp. 5-17, 2009
Mathias M. Siems
Durham University - Durham Law School
Date Posted: June 15, 2008
Last Revised: November 10, 2009
Accepted Paper Series
910 downloads

Incl. Electronic Paper Fast American Monte Carlo
Claudio Moni
JP Morgan
Date Posted: January 07, 2005
Working Paper Series
897 downloads

Incl. Electronic Paper A Review of the Strengths and Weaknesses of Archival, Behavioral, and Qualitative Research Methods: Recognizing the Potential Benefits of Triangulation
Advances in Accounting Behavioral Research, Vol. 11, 2008
Amy Hageman
University of Central Florida - Kenneth G. Dixon School of Accounting
Date Posted: March 04, 2008
Accepted Paper Series
853 downloads

Incl. Electronic Paper Affine Point Processes and Portfolio Credit Risk
Eymen Errais , Kay Giesecke and Lisa R. Goldberg
Stanford University , Stanford University - Management Science & Engineering and University of California, Berkeley
Date Posted: June 14, 2006
Last Revised: June 15, 2010
Working Paper Series
830 downloads

Incl. Electronic Paper The Relationship between NPV and IRR in the Presence of a Non-flat Yield Curve

Michael Osborne
University of Sussex
Date Posted: June 15, 2004
Working Paper Series
815 downloads

Incl. Electronic Paper Deterrence versus Brutalization: Capital Punishment's Differing Impacts Among States
Michigan Law Review, Forthcoming, Emory Law and Economics Research Paper No. 05-16
Joanna Shepherd
Emory University School of Law
Date Posted: August 11, 2005
Accepted Paper Series
784 downloads

Incl. Electronic Paper A Simple Macroeconomic Model of Bitcoin
Joseph Chen-Yu Wang
Bitquant Research Laboratories
Date Posted: February 12, 2014
Working Paper Series
691 downloads

Incl. Electronic Paper Empirical Studies of Contract
Annual Review of Law and Social Science, Forthcoming, Northwestern Law & Econ Research Paper No. 12-02
Zev J. Eigen
Northwestern University School of Law
Date Posted: February 06, 2012
Accepted Paper Series
646 downloads

Incl. Electronic Paper Tactical MPT and Momentum: The Modern Asset Allocation (MAA)
Wouter J. Keller and Hugo S. van Putten
Flex Capital BV and Flex Capital BV
Date Posted: December 31, 2013
Working Paper Series
629 downloads

Incl. Electronic Paper Tools for Sampling Multivariate Archimedean Copulas
YieldCurve, April 2006
Mario R. Melchiori
Universidad Nacional del Litoral
Date Posted: April 25, 2008
Last Revised: October 02, 2009
Working Paper Series
612 downloads


 

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