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JEL Code: C02

186,023 Total downloads

Viewing: 1 - 50 of 866 papers

1.

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
Number of pages: 15 Posted: 22 Oct 2010 Last Revised: 31 Jan 2011
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 17,697
2.

Flow Toxicity and Liquidity in a High Frequency World

Review of Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012.
Number of pages: 71 Posted: 23 Oct 2010 Last Revised: 15 Apr 2012
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 15,863
3.

The Sharpe Ratio Efficient Frontier

Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of pages: 36 Posted: 24 Apr 2011 Last Revised: 23 Apr 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads 8,028
4.

Discerning Information from Trade Data

Journal of Financial Economics, 120(2), pp. 269-286. May 2016, Johnson School Research Paper Series No. 8-2012
Number of pages: 56 Posted: 23 Jan 2012 Last Revised: 16 May 2016
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 5,380
5.

Advances in Cointegration and Subset Correlation Hedging Methods

Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37 Posted: 08 Aug 2011 Last Revised: 31 Jan 2014
Accepted Paper Series
AQR Capital Management, LLC and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 5,164
6.

An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization

Algorithms, 6(1), pp.169-196, 2013
Number of pages: 29 Posted: 08 Jan 2013 Last Revised: 02 Jan 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads 4,261
7.

A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm

Quantitative Finance, 2013, Forthcoming, Johnson School Research Paper Series No. 39-2011
Number of pages: 34 Posted: 22 Sep 2011 Last Revised: 27 Oct 2013
Accepted Paper Series
AQR Capital Management, LLC and University of California, Irvine
Downloads 3,729
8.

Advances in High Frequency Strategies

Doctoral Dissertation, Complutense University, Madrid, 2011
Number of pages: 42 Posted: 14 Jul 2012 Last Revised: 08 Aug 2015
Working Paper Series
AQR Capital Management, LLC
Downloads 3,592
9.

Low-Frequency Traders in a High-Frequency World: A Survival Guide

Number of pages: 41 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
AQR Capital Management, LLC
Downloads 3,374
10.

Optimal Execution Horizon

Mathematical Finance, 25(3), pp. 640-672. July 2015.
Number of pages: 43 Posted: 12 Apr 2012 Last Revised: 06 Jun 2015
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,189
11.

Balanced Baskets: A New Approach to Trading and Hedging Risks

Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44 Posted: 24 May 2012 Last Revised: 08 Sep 2012
Accepted Paper Series
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads 3,027
12.

VPIN and the Flash Crash: A Comment

Journal of Financial Markets, Forthcoming, Johnson School Research Paper Series No. 25-2012
Number of pages: 8 Posted: 18 May 2012 Last Revised: 29 Sep 2013
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,736
13.

The Strategy Approval Decision: A Sharpe Ratio Indifference Curve Approach

Algorithmic Finance, (2013) 2:1, 99-109
Number of pages: 12 Posted: 15 Feb 2012 Last Revised: 20 Jan 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory, AQR Capital Management, LLC and Universidad Complutense de Madrid (UCM)
Downloads 2,334
14.

Ten Financial Applications of Machine Learning

Number of pages: 20 Posted: 18 Jun 2018 Last Revised: 24 Jan 2019
Working Paper Series
AQR Capital Management, LLC
Downloads 2,248
15.

Managing Risks in a Risk-On/Risk-Off Environment

Number of pages: 50 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
AQR Capital Management, LLC
Downloads 2,196
16.

Introduction to Risk Parity and Budgeting

Roncalli T. (2013), Introduction to Risk Parity and Budgeting, Chapman & Hall/CRC Financial Mathematics Series
Number of pages: 151 Posted: 02 Jun 2013 Last Revised: 30 Nov 2013
Accepted Paper Series
Amundi Asset Management
Downloads 2,018
17.

A User’s Guide to the Cornish Fisher Expansion

Number of pages: 20 Posted: 02 Feb 2012 Last Revised: 08 Jun 2018
Working Paper Series
Conservatoire National des Arts et Métiers (CNAM)
Downloads 1,957
18.

Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crashes

Number of pages: 58 Posted: 01 Jan 2012 Last Revised: 23 Jan 2012
Working Paper Series
University of Leicester
Downloads 1,769
19.

A Journey Through the 'Mathematical Underworld' of Portfolio Optimization

Number of pages: 26 Posted: 11 Feb 2013 Last Revised: 05 Jul 2015
Working Paper Series
AQR Capital Management, LLC
Downloads 1,631
20.

Federal Market Information Technology in the Post Flash Crash Era: Roles for Supercomputing

Number of pages: 22 Posted: 07 Oct 2011
Working Paper Series
Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,595
21.

Optimal Liquidation in Dark Pools

EFA 2009 Bergen Meetings Paper
Number of pages: 59 Posted: 17 Feb 2009 Last Revised: 18 Apr 2014
Working Paper Series
Humboldt University of Berlin and AHL (Man Investments)

Multiple version iconThere are 2 versions of this paper

Downloads 1,553
22.

A Big Data Approach to Analyzing Market Volatility

Algorithmic Finance (2013), 2:3-4, 241-267
Number of pages: 28 Posted: 07 Jun 2013
Working Paper Series
Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,458
23.

Concealing the Trading Footprint: Optimal Execution Horizon

Number of pages: 45 Posted: 08 Nov 2012 Last Revised: 05 Jul 2015
Working Paper Series
AQR Capital Management, LLC
Downloads 1,282
24.

The Sharp Razor: Performance Evaluation with Non-Normal Returns

Number of pages: 45 Posted: 23 Sep 2012 Last Revised: 28 Jul 2014
Working Paper Series
AQR Capital Management, LLC
Downloads 1,255
25.

How to Price Swaps in Your Head - An Interest Rate Swap & Asset Swap Primer

Number of pages: 96 Posted: 31 Jul 2016 Last Revised: 10 Apr 2017
Working Paper Series
Independent
Downloads 1,126
26.

Simulation as a Stock Market Backtesting Tool

Number of pages: 44 Posted: 17 Apr 2014
Working Paper Series
Double-Digit Numerics
Downloads 1,102
27.

Portfolio Oversight: An Evolutionary Approach

Number of pages: 50 Posted: 08 Nov 2012 Last Revised: 26 May 2014
Working Paper Series
AQR Capital Management, LLC
Downloads 1,075
28.

Multi-Asset Spread Option Pricing and Hedging

Number of pages: 40 Posted: 31 Oct 2007
Working Paper Series
Bloomberg LP, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology

Multiple version iconThere are 2 versions of this paper

Downloads 1,073
29.

Analytic Approximations for Spread Options

Number of pages: 22 Posted: 06 Sep 2007 Last Revised: 26 Jun 2009
Working Paper Series
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads 1,072
30.

Option Pricing in a Fractional Brownian Motion Environment

Number of pages: 19 Posted: 20 Oct 2008
Working Paper Series
University of Zurich - Department of Banking and Finance
Downloads 1,022
31.

Proof of Bessel's Relation: Part I

Number of pages: 1 Posted: 19 Sep 2017
Working Paper Series
Downloads 1,000
32.

Expectation and Optimal f : Expected Growth with and without Reinvestment for Discretely-Distributed Outcomes of Finite Length

Number of pages: 23 Posted: 15 Mar 2015 Last Revised: 08 Feb 2019
Working Paper Series
Vince Strategies LLC
Downloads 963
33.

Ito's Calculus and the Derivation of the Black-Scholes Option-Pricing Model

HANDBOOK OF QUANTITATIVE FINANCE, C. F. Lee, Alice C. Lee, eds., Springer, 2009
Number of pages: 63 Posted: 18 Oct 2007 Last Revised: 12 Feb 2009
Accepted Paper Series
Athens University of Economics and Business - Department of Accounting and Finance and Loyola University of Chicago - Department of Economics
Downloads 891
34.

Proof of Bessel's Relation: Part II

Number of pages: 1 Posted: 19 Sep 2017
Working Paper Series
Downloads 850
35.

Market Microstructure in the Age of Machine Learning

Number of pages: 48 Posted: 11 Jun 2018
Working Paper Series
AQR Capital Management, LLC
Downloads 848
36.

The Role of Commercial Banks in Production of Small and Medium Enterprises (SMEs) in Pakistan

Number of pages: 21 Posted: 14 Sep 2014
Working Paper Series
Isra University, Mehran University Institute of Science, Technology and Development and Isra University
Downloads 825
37.

Banking Transformation

Number of pages: 481 Posted: 21 Feb 2013 Last Revised: 21 Mar 2018
Working Paper Series
University of Basel and Masaryk University
Downloads 815
38.

Mathematical Structure of Quantum Decision Theory

Advances in Complex Systems, Vol. 13, pp. 659-698, 2010
Number of pages: 40 Posted: 08 Sep 2008 Last Revised: 12 Nov 2010
Accepted Paper Series
Joint Institute for Nuclear Research and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 807
39.

Towards Factors Affecting Delays in Construction Projects: A Case of Zimbabwe

Dynamic Research Journals' Journal of Economics and Finance (DRJ-JEF), Volume 2, Issue 1, pp 12-28.
Number of pages: 17 Posted: 31 Jan 2017
Accepted Paper Series
affiliation not provided to SSRN and Independent
Downloads 797
40.

(Almost) Model-Free Recovery

Journal of Finance, Forthcoming
Number of pages: 102 Posted: 10 Aug 2015 Last Revised: 05 Jan 2018
Accepted Paper Series
University of Lugano - Institute of Finance and Swiss Finance Institute
Downloads 779
41.

Exploring Irregular Time Series Through Non-Uniform Fast Fourier Transform

Proceedings of the International Conference for High Performance Computating, IEEE, 2014.
Number of pages: 26 Posted: 30 Aug 2014 Last Revised: 05 Mar 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory (Berkeley Lab), AQR Capital Management, LLC, Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 775
42.

Par-Par Asset Swap Spreads: An Illustration of How to Price Asset Swaps

Number of pages: 10 Posted: 14 Jul 2016 Last Revised: 04 Dec 2016
Working Paper Series
Independent
Downloads 751
43.

Tenor Basis Swap Formulae

Number of pages: 4 Posted: 27 Apr 2017
Working Paper Series
Independent
Downloads 729
44.

A Heuristic for Approximating Extreme Negative Price Returns in Financial Markets

133 Acta Physica Polonica A 1408 (2018)
Number of pages: 21 Posted: 30 Jan 2017 Last Revised: 04 Aug 2018
Accepted Paper Series
Texas A&M University School of Innovation
Downloads 637
45.

Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy (Or, How We Learned to Stop Worrying and Love Bounded Rationality)

Number of pages: 57 Posted: 26 May 2018
Working Paper Series
New York University (NYU) - NYU Tandon School of Engineering and New York University (NYU) - NYU Tandon School of Engineering
Downloads 625
46.

Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach

Number of pages: 31 Posted: 09 Feb 2007 Last Revised: 25 Jul 2008
Working Paper Series
University of Gothenburg - Department of Economics/Centre for Finance
Downloads 615
47.

Analytic Approximations for Multi-Asset Option Pricing

ICMA Centre Discussion Papers in Finance DP2009-05
Number of pages: 44 Posted: 25 Jun 2009 Last Revised: 16 Aug 2010
Working Paper Series
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre

Multiple version iconThere are 2 versions of this paper

Downloads 614
48.

An Adaptive Successive Over-Relaxation Method for Computing the Black-Scholes Implied Volatility

Number of pages: 57 Posted: 15 Nov 2007 Last Revised: 15 Nov 2007
Working Paper Series
Bloomberg LP and KAIST College of Business
Downloads 611
49.

Mortality Regimes and Pricing

North American Actuarial Journal, Vol. 15, No. 2, pp. 266-289, 2011
Number of pages: 41 Posted: 09 Nov 2009 Last Revised: 05 Sep 2011
Accepted Paper Series
University of Cyprus - Department of Accounting and Finance, University of Nebraska at Lincoln - Department of Finance and University of Manitoba - Asper School of Business
Downloads 581
50.

Shipping Performance Assessment and the Role of Key Performance Indicators (KPIs): 'Quality Function Deployment' for Transforming Shipowner's Expectation

Number of pages: 18 Posted: 04 Jan 2013
Working Paper Series
Texas A&M University at Galveston, Yildiz Technical University, National Taiwan Ocean University and Kobe University
Downloads 581