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JEL Code: C02

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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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 17,222
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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 15,323
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 Guggenheim Partners, LLC
Downloads 6,731
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
Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory
Downloads 4,589
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
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,429
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
Guggenheim Partners, LLC and University of California, Irvine
Downloads 3,241
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
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 3,171
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
Guggenheim Partners, LLC
Downloads 2,989
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
Guggenheim Partners, LLC
Downloads 2,884
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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,767
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
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,525
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
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 2,462
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, Guggenheim Partners, LLC and Universidad Complutense de Madrid (UCM)
Downloads 2,068
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
Guggenheim Partners, LLC
Downloads 1,740
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
Ryerson University - Ted Rogers School of Management, Institute for Innovation and Technology Management
Downloads 1,699
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 1,689
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
Conservatoire National des Arts et Métiers (CNAM)
Downloads 1,638
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, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 1,559
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)

Multiple version iconThere are 2 versions of this paper

Downloads 1,500
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
Guggenheim Partners, LLC
Downloads 1,369
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, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 1,333
22.

Concealing the Trading Footprint: Optimal Execution Horizon

Number of pages: 45 Posted: 08 Nov 2012 Last Revised: 05 Jul 2015
Working Paper Series
Guggenheim Partners, LLC
Downloads 1,106
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
Guggenheim Partners, LLC
Downloads 1,083
24.

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 1,053
25.

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 1,047
26.

Proof of Bessel's Relation: Part I

Number of pages: 1 Posted: 19 Sep 2017
Working Paper Series
Downloads 988
27.

Simulation as a Stock Market Backtesting Tool

Number of pages: 44 Posted: 17 Apr 2014
Working Paper Series
Double-Digit Numerics
Downloads 968
28.

Portfolio Oversight: An Evolutionary Approach

Number of pages: 50 Posted: 08 Nov 2012 Last Revised: 26 May 2014
Working Paper Series
Guggenheim Partners, LLC
Downloads 952
29.

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 864
30.

Proof of Bessel's Relation: Part II

Number of pages: 1 Posted: 19 Sep 2017
Working Paper Series
Downloads 834
31.

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 820
32.

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 774
33.

Banking Transformation

Number of pages: 414 Posted: 21 Feb 2013 Last Revised: 30 Jul 2017
Working Paper Series
University of Basel and Masaryk University
Downloads 737
34.

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, Guggenheim Partners, LLC, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 628
35.

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 603
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 603
37.

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 587
38.

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 566
39.

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 547
40.

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
Texas A&M University School of Law
Downloads 547
41.

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
Ryerson University - Ted Rogers School of Management, Institute for Innovation and Technology Management
Downloads 524
42.

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 520
43.

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 492
44.

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, affiliation not provided to SSRN, National Taiwan Ocean University and Kobe University
Downloads 489
45.

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 488
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 Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 483
47.

Megasfinity

Number of pages: 5 Posted: 04 Aug 2010 Last Revised: 05 Aug 2010
Working Paper Series
University of Malaya: Social Security Research Centre (SSRC)
Downloads 483
48.

(Almost) Model-Free Recovery

Number of pages: 68 Posted: 10 Aug 2015 Last Revised: 06 Jun 2016
Working Paper Series
University of Lugano - Institute of Finance and University of Geneva
Downloads 480
49.

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
University of Birmingham - Department of Economics
Downloads 470
50.

A PDE Approach to Jump-Diffusions

Number of pages: 37 Posted: 28 Oct 2010
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and BNP Paribas
Downloads 468