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, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
17,383
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, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
15,486
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 Lawrence Berkeley National Laboratory
Downloads
7,240
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, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
4,851
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
Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads
4,805
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 Lawrence Berkeley National Laboratory
Downloads
3,654
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
Lawrence Berkeley National Laboratory and University of California, Irvine
Downloads
3,452
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
Lawrence Berkeley National Laboratory
Downloads
3,247
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
Lawrence Berkeley National Laboratory
Downloads
3,091
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, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management
There are 2 versions of this paper
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
Downloads
2,965
Optimal Execution Horizon
Mathematical Finance, Vol. 25, Issue 3, pp. 640-672, 2015
Number of pages: 33
Posted: 05 Jun 2015
Downloads
2,965
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 Lawrence Berkeley National Laboratory
Downloads
2,691
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, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
2,634
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, Lawrence Berkeley National Laboratory and Universidad Complutense de Madrid (UCM)
Downloads
2,212
14.
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
Lawrence Berkeley National Laboratory
Downloads
1,889
15.
A User’s Guide to the Cornish Fisher Expansion
Number of pages: 18
Posted: 02 Feb 2012
Last Revised: 02 Dec 2014
Working Paper Series
Conservatoire National des Arts et Métiers (CNAM)
Downloads
1,869
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
1,846
17.
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
1,734
18.
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
1,581
19.
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)
There are 2 versions of this paper
Optimal Liquidation in Dark Pools
EFA 2009 Bergen Meetings Paper
Number of pages: 59
Posted: 17 Feb 2009
Last Revised: 18 Apr 2014
Downloads
1,536
Optimal Liquidation in Dark Pools
Quantitative Finance, Forthcoming
Number of pages: 33
Posted: 05 Dec 2015
Downloads
73
Downloads
1,536
20.
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
Lawrence Berkeley National Laboratory
Downloads
1,471
21.
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
1,402
22.
The Nature of Causality and its Dark Aspect
Number of pages: 31
Posted: 28 Jan 2018
Last Revised: 17 May 2018
Working Paper Series
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, UK, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads
1,315
23.
Concealing the Trading Footprint: Optimal Execution Horizon
Number of pages: 45
Posted: 08 Nov 2012
Last Revised: 05 Jul 2015
Working Paper Series
Lawrence Berkeley National Laboratory
Downloads
1,209
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
Lawrence Berkeley National Laboratory
Downloads
1,180
25.
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
There are 2 versions of this paper
Multi-Asset Spread Option Pricing and Hedging
Number of pages: 40
Posted: 31 Oct 2007
Downloads
1,062
Multi-Asset Spread Option Pricing and Hedging
Quantitative Finance, Vol. 10, No. 3, pp. 305–324, 2010,
Posted: 13 Mar 2010
Downloads
1,062
26.
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
1,056
27.
Simulation as a Stock Market Backtesting Tool
Number of pages: 44
Posted: 17 Apr 2014
Working Paper Series
Double-Digit Numerics
Downloads
1,039
28.
Downloads
992
29.
Portfolio Oversight: An Evolutionary Approach
Number of pages: 50
Posted: 08 Nov 2012
Last Revised: 26 May 2014
Working Paper Series
Lawrence Berkeley National Laboratory
Downloads
983
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
906
31.
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
886
32.
Downloads
840
33.
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
Unaffiliated Authors - Independent
Downloads
808
34.
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
789
35.
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
784
36.
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), Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads
689
37.
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
668
38.
(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 University of Geneva
Downloads
647
39.
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
609
40.
A Heuristic for Approximating Extreme Negative Price Returns in Financial Markets
133 Acta Physica Polonica A, 2018, Forthcoming
Number of pages: 21
Posted: 30 Jan 2017
Last Revised: 20 May 2018
Accepted Paper Series
Texas A&M University School of Law
Downloads
598
41.
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
University of Zimbabwe, Students and Unaffiliated Authors - Independent
Downloads
598
42.
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
There are 2 versions of this paper
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
Downloads
595
Analytic Approximations for Multi‐Asset Option Pricing
Mathematical Finance, Vol. 22, Issue 4, pp. 667-689, 2012
Number of pages: 23
Posted: 23 Aug 2012
Downloads
595
43.
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
571
44.
A Dynamic IS-LM Model with Adaptive Expectations
Number of pages: 11
Posted: 23 Jun 2008
Working Paper Series
Bucharest Academy of Economic Studies
Downloads
555
45.
Robust Modelling of the Impacts of Climate Change on the Habitat Suitability of Forest Tree Species
de Rigo, D., Caudullo, G., San-Miguel-Ayanz, J, Barredo, J.I., 2017. Robust modelling of the impacts of climate change on the habitat suitability of forest tree species. Publication Office of the European Union, 58 pp. ISBN:978-92-79-66704-6 , doi/10.2760/296501
Number of pages: 58
Posted: 05 May 2017
Accepted Paper Series
European Commission, Joint Research Centre (JRC), European Commission Joint Research Center - Bio-Economy Unit, European Commission Joint Research Center - Disaster Risk Management Unit and European Commission Joint Research Center - Bio-Economy Unit
Downloads
555
46.
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
540
47.
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
537
48.
Alpha Representation for Active Portfolio Management and High Frequency Trading in Seemingly Efficient Markets
JSM Proceedings, Business and Economic Statistics Section, pp. 673-687, American Statistical Association, Alexandria, VA, 2011
Number of pages: 15
Posted: 01 Sep 2011
Last Revised: 29 Mar 2012
Accepted Paper Series
University of Leicester
Downloads
529
49.
Big Data in Portfolio Allocation
Number of pages: 28
Posted: 21 Mar 2018
Last Revised: 17 Apr 2018
Working Paper Series
AbleMarkets.com
Downloads
499
50.
Parameters for Estimation of Entropy to Study Price Manipulation in Stock Market
10th Capital Markets Conference, Indian Institute of Capital Markets Paper
Number of pages: 19
Posted: 09 Feb 2007
Working Paper Series
Goa University - Department of Commerce and National Stock Exchange of India
Downloads
496
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