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
,
Hess Energy Trading Company
and
Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: October 23, 2010 Last Revised: April 15, 2012
Accepted Paper Series 14328 downloads
Bulk Classification of Trading Activity Johnson School Research Paper Series No. 8-2012 David Easley ,
Marcos Lopez de Prado and
Maureen O'Hara
Cornell University - Department of Economics
,
Hess Energy Trading Company
and
Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: January 23, 2012 Last Revised: April 02, 2013
Working Paper Series 2107 downloads
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 1606 downloads
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 1510 downloads
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 1414 downloads
Optimal Execution Horizon Mathematical Finance, 2013 David Easley ,
Marcos Lopez de Prado and
Maureen O'Hara
Cornell University - Department of Economics
,
Hess Energy Trading Company
and
Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: April 12, 2012 Last Revised: February 21, 2013
Accepted Paper Series 1257 downloads
Advances in High Frequency Strategies Doctoral Dissertation, Complutense University, Madrid, 2011 Marcos Lopez de Prado
Hess Energy Trading Company
Date Posted: July 14, 2012 Last Revised: August 20, 2012
Working Paper Series 1076 downloads
CAPM Equilibria with Prospect Theory Preferences Enrico G. De Giorgi
,
Thorsten Hens and
Haim Levy
University of Saint Gallen - SEPS: Economics and Political Sciences
,
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 1076 downloads
VPIN and the Flash Crash: A Comment Johnson School Research Paper Series No. 25-2012 David Easley ,
Marcos Lopez de Prado and
Maureen O'Hara
Cornell University - Department of Economics
,
Hess Energy Trading Company
and
Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: May 18, 2012 Last Revised: February 07, 2013
Working Paper Series 997 downloads
Heterogeneous Beliefs, Speculation, and the Equity Premium Journal of Finance, January 2008, EFA 2004 Maastricht Meetings Paper No. 3125, AFA 2005 Philadelphia Meetings Alexander David
University of Calgary - Haskayne School of Business
Date Posted: June 28, 2004 Last Revised: November 26, 2008
Working Paper Series 677 downloads
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 584 downloads
A Model to Analyse Financial Fragility Economic Theory, Forthcoming Charles Goodhart ,
Pojanart Sunirand
and
Dimitrios P. Tsomocos
London School of Economics & Political Science (LSE) - Financial Markets Group
,
London School of Economics & Political Science (LSE) - Department of Economics
and
University of Oxford - Said Business School and St. Edmund Hall
Date Posted: March 11, 2005
Accepted Paper Series 527 downloads
Market Liquidity, Asset Prices, and Welfare McCombs School of Business Research Paper No. FIN-05-08, AFA 2009 San Francisco Meetings Paper Jennifer C. Huang and
Jiang Wang
University of Texas at Austin - Department of Finance
and
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: August 25, 2007 Last Revised: September 11, 2009
Working Paper Series 502 downloads
Leverage, Moral Hazard and Liquidity Journal of Finance, Forthcoming Viral V. Acharya and
S. Viswanathan
New York University - Leonard N. Stern School of Business
and
Duke University - Fuqua School of Business
Date Posted: December 17, 2007 Last Revised: March 05, 2010
Accepted Paper Series 469 downloads
Data Mining for Overreaction in Financial Markets PROCEEDINGS OF THE IASTED INTERNATIONAL CONFERENCE ON SOFTWARE ENGINEERING AND APPLICATIONS (SEA), Phoenix, AZ, November 14-16, 2005, W.-T. Tsai and M.H. Hamza, eds., Vol. 467, pp. 28-35, ACTA Press, 2005 Ahmet Duran
and
Gunduz Caginalp
University of Michigan at Ann Arbor
and
University of Pittsburgh - Department of Mathematics
Date Posted: June 01, 2009 Last Revised: June 05, 2009
Accepted Paper Series 465 downloads
