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JEL Code: C02

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Viewing: 1 - 50 of 628 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
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
Downloads 17,180
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
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
Downloads 15,281
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
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 6,575
4.

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
Marcos Lopez de Prado and David Leinweber
Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory
Downloads 4,542
5.

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
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
Downloads 4,322
6.

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
Marcos Lopez de Prado and Matthew Foreman
Guggenheim Partners, LLC and University of California, Irvine
Downloads 3,197
7.

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
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 3,043
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
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 2,881
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
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 2,805
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
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

Multiple version iconThere are 2 versions of this paper

Downloads 2,716
11.

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
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
Downloads 2,497
12.

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
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 2,406
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
David H. Bailey, Marcos Lopez de Prado and Eva del Pozo
Lawrence Berkeley National Laboratory, Guggenheim Partners, LLC and Universidad Complutense de Madrid (UCM)
Downloads 2,034
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
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 1,693
15.

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
G. Charles-Cadogan
Ryerson University - Ted Rogers School of Management, Institute for Innovation and Technology Management
Downloads 1,688
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
Thierry Roncalli
Amundi Asset Management
Downloads 1,632
17.

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
Didier Maillard
Conservatoire National des Arts et Métiers (CNAM)
Downloads 1,562
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
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
Downloads 1,555
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
Peter Kratz and Torsten Schoeneborn
Humboldt University of Berlin and AHL (Man Investments)

Multiple version iconThere are 2 versions of this paper

Downloads 1,476
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
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 1,327
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
Kesheng Wu, Wes Bethel, Ming Gu, David Leinweber and Oliver Ruebel
Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 1,320
22.

Concealing the Trading Footprint: Optimal Execution Horizon

Number of pages: 45 Posted: 08 Nov 2012 Last Revised: 05 Jul 2015
Working Paper Series
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 1,084
23.

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
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 1,068
24.

Multi-Asset Spread Option Pricing and Hedging

Number of pages: 40 Posted: 31 Oct 2007
Working Paper Series
Minqiang Li, Shijie Deng and Jieyun Zhou
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 1,045
25.

Analytic Approximations for Spread Options

Number of pages: 22 Posted: 06 Sep 2007 Last Revised: 26 Jun 2009
Working Paper Series
Carol Alexander and Aanand Venkatramanan
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads 1,042
26.

Simulation as a Stock Market Backtesting Tool

Number of pages: 44 Posted: 17 Apr 2014
Working Paper Series
Tony Cooper
Double-Digit Numerics
Downloads 944
27.

Portfolio Oversight: An Evolutionary Approach

Number of pages: 50 Posted: 08 Nov 2012 Last Revised: 26 May 2014
Working Paper Series
Marcos Lopez de Prado
Guggenheim Partners, LLC
Downloads 935
28.

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
George Chalamandaris and A. (Tassos) G. Malliaris
Athens University of Economics and Business - Department of Accounting and Finance and Loyola University of Chicago - Department of Economics
Downloads 857
29.

Option Pricing in a Fractional Brownian Motion Environment

Number of pages: 19 Posted: 20 Oct 2008
Working Paper Series
Ciprian Necula
University of Zurich - Department of Banking and Finance
Downloads 785
30.

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
Vyacheslav I. Yukalov and Didier Sornette
Joint Institute for Nuclear Research and Swiss Finance Institute
Downloads 772
31.

Banking Transformation

Number of pages: 414 Posted: 21 Feb 2013 Last Revised: 30 Jul 2017
Working Paper Series
Paolo Vanini and Shadie Broumandi
University of Basel and Masaryk University
Downloads 725
32.

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
Jung Heon Song, Marcos Lopez de Prado, Horst D Simon and Kesheng Wu
Lawrence Berkeley National Laboratory, Guggenheim Partners, LLC, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 602
33.

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
Alexander Herbertsson
University of Gothenburg - Department of Economics/Centre for Finance
Downloads 601
34.

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
Sehrish Rasool, Javaid Ali Dars and Beenish Shah
Isra University, Mehran University Institute of Science, Technology and Development and Isra University
Downloads 598
35.

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
Carol Alexander and Aanand Venkatramanan
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 585
36.

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
Andreas Milidonis, Yijia Lin and Samuel H. Cox
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 563
37.

A Dynamic IS-LM Model with Adaptive Expectations

Number of pages: 11 Posted: 23 Jun 2008
Working Paper Series
Moisa Altar
Bucharest Academy of Economic Studies
Downloads 544
38.

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
G. Charles-Cadogan
Ryerson University - Ted Rogers School of Management, Institute for Innovation and Technology Management
Downloads 523
39.

The Action Principle in Market Mechanics

Texas A&M University School of Law Legal Studies Research Paper No. 17-13
Number of pages: 20 Posted: 30 Jan 2017 Last Revised: 19 Aug 2017
Working Paper Series
Jack Manhire
Texas A&M University School of Law
Downloads 514
40.

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
Y. V. Reddy and A. Sebastin
Goa University - Department of Commerce and National Stock Exchange of India
Downloads 487
41.

Megasfinity

Number of pages: 5 Posted: 04 Aug 2010 Last Revised: 05 Aug 2010
Working Paper Series
Mario Arturo Ruiz Estrada
University of Malaya: Social Security Research Centre (SSRC)
Downloads 483
42.

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
Okan Duru, Emrah Bulut, Sheng Teng Huang and Shigeru Yoshida
Texas A&M University at Galveston, affiliation not provided to SSRN, National Taiwan Ocean University and Kobe University
Downloads 482
43.

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
Minqiang Li and Kyuseok Lee
Bloomberg LP and Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 475
44.

A PDE Approach to Jump-Diffusions

Number of pages: 37 Posted: 28 Oct 2010
Working Paper Series
Peter Carr and Laurent Cousot
New York University (NYU) - Courant Institute of Mathematical Sciences and BNP Paribas
Downloads 465
45.

Revisiting Samuelson's Foundations of Economic Analysis

Journal of Economic Literature, Vol. 53, No. 2, 2015
Number of pages: 51 Posted: 06 Nov 2014 Last Revised: 04 Jul 2015
Accepted Paper Series
Roger Backhouse
University of Birmingham - Department of Economics
Downloads 464
46.

Gambling for Quants, Part 1: A Simple Fractional Betting System

Number of pages: 19 Posted: 10 Feb 2017
Working Paper Series
Steven Douglas Moffitt
Stuart School of Business, Illinois Institute of Technology
Downloads 430
47.

Game Theory and Cold War Rationality: A Review Essay

Economic Research Initiatives at Duke (ERID) Working Paper No. 208
Number of pages: 32 Posted: 25 Feb 2016 Last Revised: 12 Mar 2016
Working Paper Series
E. Roy Weintraub
Duke University - Department of Economics
Downloads 423
48.

Coarse Grain Automatic Differentiation: A Practical Approach to Fast and Exact Computation of First and Second Order Derivatives in Software

Number of pages: 22 Posted: 09 Feb 2017 Last Revised: 10 Feb 2017
Working Paper Series
Henri-Olivier Duche and Francois Galilee
Independent and Independent
Downloads 418
49.

Climate Change and Risk Management: Challenges for Insurance, Adaptation, and Loss Estimation

RFF Discussion Paper No. 09-03-REV
Number of pages: 38 Posted: 27 Feb 2009 Last Revised: 19 Oct 2014
Working Paper Series
Carolyn Kousky and Roger M. Cooke
Resources for the Future and Resources for the Future
Downloads 417
50.

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
Nicholas Burgess
Independent
Downloads 417
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