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SSRN eLibrary Statistics:

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Abstracts: 614,842
Full Text Papers: 511,576
Authors: 283,954
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  Last 12 months:
63,562

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To date: 87,890,426
Last 12 months: 11,496,209
Last 30 days: 871,878

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  Footnotes:
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Total Footnotes: 9,171,445


SSRN eLibrary Search Results
JEL Code: D5
403,274 Total downloads
Showing Papers 1 - 50 of 2,643
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Incl. Electronic Paper The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading
The Journal of Portfolio Management, Vol. 37, No. 2, pp. 118-128, Winter 2011
David Easley , Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics , Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: October 22, 2010
Last Revised: January 31, 2011
Accepted Paper Series
16940 downloads

Incl. Electronic Paper Flow Toxicity and Liquidity in a High Frequency World
Review of Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012.
David Easley , Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics , Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: October 23, 2010
Last Revised: April 15, 2012
Accepted Paper Series
15013 downloads

Incl. Electronic Paper Games, Fixed Points and Mathematical Economics
Christian-Oliver Ewald
University of Glasgow
Date Posted: March 29, 2007
Working Paper Series
6914 downloads

Incl. Electronic Paper The Sharpe Ratio Efficient Frontier
Journal of Risk, Vol. 15, No. 2, Winter 2012/13
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Date Posted: April 24, 2011
Last Revised: April 23, 2014
Accepted Paper Series
5419 downloads

Incl. Electronic Paper Spam Works: Evidence from Stock Touts and Corresponding Market Activity
Berkman Center Research Publication No. 2006-11, Harvard Public Law Working Paper No. 135, Oxford Legal Studies Research Paper No. 43/2006
Laura Frieder and Jonathan Zittrain
Purdue University - Krannert School of Management and Harvard Law School and Kennedy School
Date Posted: July 27, 2006
Working Paper Series
4920 downloads

Incl. Electronic Paper A Model of Credit Risk, Optimal Policies, and Asset Prices
AFA 2002 Atlanta Meetings; NYU Finance Working Paper
Alex Shapiro
New York University (NYU) - Department of Finance
Date Posted: March 21, 2001
Working Paper Series
4269 downloads

Incl. Electronic Paper Advances in Cointegration and Subset Correlation Hedging Methods
Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Marcos Lopez de Prado and David Leinweber
Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory
Date Posted: August 08, 2011
Last Revised: January 31, 2014
Accepted Paper Series
3998 downloads

Incl. Electronic Paper A Comparative Study of Portfolio Insurance
London Business School Working Paper IFA 344

Date Posted: December 22, 2001
Working Paper Series
3782 downloads

Incl. Electronic Paper GCAPM (I): A Microeconomic Theory of Investments
Stephen C. Fan
Fan Asset Management
Date Posted: March 26, 2003
Working Paper Series
3623 downloads

Incl. Electronic Paper Discerning Information from Trade Data
Johnson School Research Paper Series No. 8-2012
David Easley , Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics , Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: January 23, 2012
Last Revised: March 19, 2015
Working Paper Series
3018 downloads

Incl. Electronic Paper Asset Pricing with Heterogeneous Beliefs

Date Posted: November 30, 2003
Working Paper Series
2480 downloads

Incl. Electronic Paper Low-Frequency Traders in a High-Frequency World: A Survival Guide
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: September 23, 2012
Last Revised: May 26, 2014
Working Paper Series
2239 downloads

Incl. Electronic Paper Advances in High Frequency Strategies
Doctoral Dissertation, Complutense University, Madrid, 2011
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: July 14, 2012
Last Revised: August 20, 2012
Working Paper Series
2229 downloads

Incl. Electronic Paper IFRS and Environmental Accounting
Minga Negash
Metropolitan State University of Denver
Date Posted: December 04, 2009
Working Paper Series
2159 downloads

Incl. Electronic Paper Endogenous Uncertainty in a General Equilibrium Model with Price Contingent Contracts
Mordecai Kurz and Ho-Mou Wu
Stanford University - Department of Economics and National Taiwan University - Department of International Business
Date Posted: February 01, 1997
Working Paper Series
2158 downloads

Incl. Electronic Paper The Perception of Time, Risk and Return During Periods of Speculation
Emanuel Derman
Columbia University
Date Posted: January 11, 2002
Working Paper Series
2114 downloads

Incl. Electronic Paper Optimal Execution Horizon
Mathematical Finance, 25(3), pp. 640-672. July 2015.
David Easley , Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics , Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: April 12, 2012
Last Revised: June 06, 2015
Accepted Paper Series
2112 downloads

Incl. Electronic Paper VPIN and the Flash Crash: A Comment
Journal of Financial Markets, Forthcoming, Johnson School Research Paper Series No. 25-2012
David Easley , Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics , Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: May 18, 2012
Last Revised: September 29, 2013
Accepted Paper Series
2059 downloads

Incl. Electronic Paper Monopoly Power and the Firm's Valuation: A Dynamic Analysis of Short versus Long-Term Policies
MIT Sloan Working Paper No. 4234-01; EFA 2001 Barcelona Meetings; AFA 2001 New Orleans Meetings
Anna Pavlova
London Business School
Date Posted: September 16, 2000
Working Paper Series
1958 downloads

Incl. Electronic Paper FINANCIAL STATEMENT ANALYSIS: A Data Envelopment Analysis Approach
Journal of the Operational Research Society, Vol. 54, pp. 48-58, 2003
Ehsan H. Feroz , Sungsoo Kim and Raymond L. Raab
University of Washington, Tacoma-Milgard School of Business , Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)
Date Posted: August 08, 2008
Last Revised: August 26, 2014
Accepted Paper Series
1933 downloads

Incl. Electronic Paper The Foundations of Securities Law
Mathias M. Siems
Durham University - Durham Law School
Date Posted: February 06, 2008
Last Revised: February 13, 2009
Working Paper Series
1882 downloads

Incl. Electronic Paper An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization
Algorithms, 6(1), pp.169-196, 2013
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Date Posted: January 08, 2013
Last Revised: July 05, 2015
Accepted Paper Series
1863 downloads

Incl. Electronic Paper Balanced Baskets: A New Approach to Trading and Hedging Risks
Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Date Posted: May 24, 2012
Last Revised: September 08, 2012
Accepted Paper Series
1854 downloads

Incl. Electronic Paper The Institutional Nature of Price Bubbles
Sheen S. Levine and Edward J. Zajac
Columbia University and Northwestern University - Kellogg School of Business
Date Posted: February 01, 2007
Last Revised: January 28, 2008
Working Paper Series
1764 downloads

Incl. Electronic Paper The Strategy Approval Decision: A Sharpe Ratio Indifference Curve Approach
Algorithmic Finance, (2013) 2:1, 99-109
David H. Bailey , Marcos Lopez de Prado and Eva del Pozo
Lawrence Berkeley National Laboratory , Guggenheim Partners, LLC and Universidad Complutense de Madrid (UCM)
Date Posted: February 15, 2012
Last Revised: January 20, 2014
Accepted Paper Series
1732 downloads

Incl. Electronic Paper The CAPM and Beta in an Imperfect Market
Ramon P. DeGennaro and Sangphill Kim
University of Tennessee, Knoxville - Department of Finance and University of Massachusetts Lowell - Department of Finance
Date Posted: April 07, 2003
Working Paper Series
1648 downloads

Incl. Electronic Paper Arbitrage-Based Pricing When Volatility is Stochastic
Caltech Social Science Working Paper 977
Peter Bossaerts , Eric Ghysels and Christian Gourieroux
California Institute of Technology , University of North Carolina Kenan-Flagler Business School and University of Toronto - Department of Economics
Date Posted: September 05, 1996
Working Paper Series
1647 downloads

Incl. Electronic Paper Price Pressures
Journal of Financial Economics, 2014, Vol 114, p. 405-423.
Terrence Hendershott and Albert J. Menkveld
University of California, Berkeley - Haas School of Business and VU University Amsterdam
Date Posted: May 31, 2009
Last Revised: February 18, 2015
Accepted Paper Series
1630 downloads

Incl. Electronic Paper Incomplete Markets and Volatility
Harvard Institute of Economics Research Paper No. 1865
Laurent E. Calvet
HEC Paris (Groupe HEC) - Finance Department
Date Posted: September 25, 1998
Working Paper Series
1617 downloads

Incl. Electronic Paper Risk Analysis of Accounting Information System Infrastructure
Arsenie Samoil Mihalache
"Alexandru Ioan Cuza" University - Iaşi, România - Faculty of Economics and Business Administration - Doctoral School of Economics
Date Posted: February 15, 2011
Working Paper Series
1610 downloads

Incl. Electronic Paper Deconstructing Equity: Public Ownership, Agency Costs, and Complete Capital Markets
Columbia Law Review, Vol. 108, p. 231, 2008, ECGI - Law Working Paper No. 86/2007, Stanford Law and Economics Olin Working Paper No. 346, Columbia Law and Economics Working Paper No. 302, Boston Univ. School of Law Working Paper No. 07-25, Rock Center for Corporate Governance at Stanford University Working Paper No. 8
Ronald J. Gilson and Charles K. Whitehead
Stanford Law School and Cornell Law School
Date Posted: June 06, 2007
Last Revised: September 29, 2009
Accepted Paper Series
1566 downloads

Incl. Electronic Paper Incomplete Markets, Growth, And The Business Cycle
MIT Dept. of Economics Working Paper No. 00-33, Harvard Institute of Economic Research Paper No. 1910
George-Marios Angeletos and Laurent E. Calvet
Massachusetts Institute of Technology (MIT) - Department of Economics and HEC Paris (Groupe HEC) - Finance Department
Date Posted: January 19, 2001
Working Paper Series
1555 downloads

Incl. Electronic Paper An Evolutionary Portfolio Theory
Working Paper No. 74
Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Date Posted: June 21, 2001
Working Paper Series
1532 downloads

Incl. Electronic Paper Federal Market Information Technology in the Post Flash Crash Era: Roles for Supercomputing
Wes Bethel , David Leinweber , Oliver Ruebel and Kesheng Wu
Lawrence Berkeley National Laboratory , Lawrence Berkeley National Laboratory , Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Date Posted: October 07, 2011
Working Paper Series
1483 downloads

Incl. Electronic Paper The Equity Premium is No Puzzle
Stanford University Dept. of Economics WP# 96-004
Mordecai Kurz and Andrea Beltratti
Stanford University - Department of Economics and Bocconi University - Department of Finance
Date Posted: December 18, 1996
Working Paper Series
1435 downloads

Incl. Electronic Paper Credit Cards and Inflation
Cowles Foundation Discussion Paper No. 1709
John Geanakoplos and Pradeep K. Dubey
Yale University - Cowles Foundation and SUNY Stony Brook - Center for Game Theory in Economics
Date Posted: June 18, 2009
Working Paper Series
1387 downloads

Incl. Electronic Paper On the Role of Arbitrageurs in Rational Markets
EFA 2004 Maastricht Meetings Paper No. 2390; AFA 2004 San Diego Meetings
Benjamin Croitoru
McGill University - Desautels Faculty of Management
Date Posted: December 04, 2003
Working Paper Series
1381 downloads

Incl. Electronic Paper Price Discovery in Financial Markets: The Case of the CAPM
Social Science Working Paper No. 1032
Peter Bossaerts , D. Kleiman and Charles R. Plott
California Institute of Technology , Lehman Brothers, New York and California Institute of Technology - Division of the Humanities and Social Sciences
Date Posted: April 07, 2000
Working Paper Series
1367 downloads

Incl. Electronic Paper Kauffman Index of Entrepreneurial Activity, 1996-2006
Robert W. Fairlie
University of California, Santa Cruz - Department of Economics
Date Posted: May 23, 2007
Working Paper Series
1360 downloads

Incl. Electronic Paper Managing Risks in a Risk-On/Risk-Off Environment
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: September 23, 2012
Last Revised: May 26, 2014
Working Paper Series
1320 downloads

Incl. Electronic Paper Aggregation, Dividend Irrelevancy, and Earnings-Value Relations
Contemporary Accounting Research, Vol. 22, No. 2, pp. 453-480, Summer 2005
Kenton K. Yee
Mellon Capital Management
Date Posted: February 17, 2005
Accepted Paper Series
1292 downloads

Incl. Electronic Paper Learning Your Earning: Are Labor Income Shocks Really Very Persistent?
American Economic Review, Forthcoming
Fatih Guvenen
University of Minnesota - Department of Economics
Date Posted: August 18, 2004
Accepted Paper Series
1257 downloads

Incl. Electronic Paper The Illusion of the Perpetual Money Machine
Swiss Finance Institute Research Paper No. 12-40
Peter Cauwels and Didier Sornette
ETH Zürich and Swiss Finance Institute
Date Posted: December 21, 2012
Working Paper Series
1244 downloads

Incl. Electronic Paper Introducing CGE Models to the Classroom Using Excel
Amy Peng
Ryerson University, Faculty of Arts - Department of Economics
Date Posted: April 16, 2007
Working Paper Series
1215 downloads

Incl. Electronic Paper CAPM Equilibria with Prospect Theory Preferences
Enrico G. De Giorgi , Thorsten Hens and Haim Levy
University of Saint Gallen - SEPS: Economics and Political Sciences , University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Date Posted: July 21, 2003
Last Revised: August 06, 2012
Working Paper Series
1212 downloads

Incl. Electronic Paper Endogenous Uncertainty and Market Volatility
FEEM Working Paper No. 27.99
Mordecai Kurz and Maurizio Motolese
Stanford University - Department of Economics and Catholic University of Milan
Date Posted: July 19, 1999
Working Paper Series
1190 downloads

Incl. Electronic Paper Liquidity as an Investment Style
Financial Analysts Journal, Vol. 69, No. 3, 2013
Roger G. Ibbotson , Zhiwu Chen , Daniel Y.-J. Kim and Wendy Yunchun Hu
Yale School of Management , Yale University - International Center for Finance , Zebra Capital Management, LLC and Zebra Capital Management, LLC
Date Posted: April 24, 2011
Last Revised: May 24, 2013
Accepted Paper Series
1159 downloads

Incl. Electronic Paper Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion: A Preference-Based Formulation
EFA Meetings, WFA Meetings
Hongjun Yan
Rutgers, The State University of New Jersey - Rutgers Business School
Date Posted: November 29, 2004
Last Revised: August 15, 2008
Working Paper Series
1153 downloads

Incl. Electronic Paper Equities Market Level
Andrew Ang
Columbia Business School - Finance and Economics
Date Posted: July 26, 2012
Working Paper Series
1128 downloads

Incl. Electronic Paper Do Social Networks Solve Information Problems for Peer-to-Peer Lending? Evidence from Prosper.Com
NET Institute Working Paper No. 08-43
Seth Freedman and Ginger Zhe Jin
Indiana University Bloomington - School of Public & Environmental Affairs (SPEA) and University of Maryland - Department of Economics
Date Posted: November 26, 2008
Working Paper Series
1114 downloads


 

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