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JEL Code: C02

235,014 Total downloads

Viewing: 1 - 50 of 1,086 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: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 18,244
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, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 16,425
3.

Estimation of the Transmission Risk of 2019-nCov and Its Implication for Public Health Interventions (2019-nCov的传播风险估计及其对公共卫生干预的意义)

Number of pages: 20 Posted: 27 Jan 2020
Working Paper Series
Xi'an Jiaotong University (XJTU) - The Interdisplinary Research Center for Mathematics and Life Sciences, Shaanxi Normal University - School of Mathematics and Information Science, Xi'an Jiaotong University (XJTU) - School of Mathematics and Statistics, York University - Laboratory for Industrial and Applied Mathematics, Shaanxi Normal University - School of Mathematics and Information Science, Xi'an Jiaotong University (XJTU) - The Interdisplinary Research Center for Mathematics and Life Sciences and York University
Downloads 12,378
4.

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: 07 May 2020
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 10,155
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, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 5,992
6.

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
Cornell University - Operations Research & Industrial Engineering and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 5,520
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 Cornell University - Operations Research & Industrial Engineering
Downloads 5,158
8.

Ten Financial Applications of Machine Learning (Seminar Slides)

Number of pages: 27 Posted: 18 Jun 2018 Last Revised: 27 Feb 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 4,318
9.

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
Cornell University - Operations Research & Industrial Engineering and University of California, Irvine
Downloads 4,178
10.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 4,017
11.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 3,659
12.

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, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,463
13.

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 Cornell University - Operations Research & Industrial Engineering
Downloads 3,408
14.

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, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,885
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
Cornell University - Operations Research & Industrial Engineering
Downloads 2,609
16.

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, Cornell University - Operations Research & Industrial Engineering and Universidad Complutense de Madrid (UCM)
Downloads 2,485
17.

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 2,230
18.

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 2,115
19.

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 1,818
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
Cornell University - Operations Research & Industrial Engineering
Downloads 1,808
21.

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
University of Oxford, Said Business School
Downloads 1,694
22.

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 1,576
23.

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
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,509
24.

Cross Currency Swap Theory & Practice - An Illustrated Step-by-Step Guide of How to Price Cross Currency Swaps and Calculate the Basis Spread

Number of pages: 26 Posted: 12 Nov 2018 Last Revised: 28 Mar 2019
Working Paper Series
University of Oxford, Said Business School
Downloads 1,474
25.

Concealing the Trading Footprint: Optimal Execution Horizon

Number of pages: 45 Posted: 08 Nov 2012 Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,411
26.

Market Microstructure in the Age of Machine Learning

Number of pages: 48 Posted: 11 Jun 2018
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,363
27.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 1,358
28.

Portfolio Oversight: An Evolutionary Approach

Number of pages: 50 Posted: 08 Nov 2012 Last Revised: 26 May 2014
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,180
29.

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 1,179
30.

Simulation as a Stock Market Backtesting Tool

Number of pages: 44 Posted: 17 Apr 2014
Working Paper Series
Double-Digit Numerics
Downloads 1,179
31.

Tenor Basis Swap Formulae

Number of pages: 4 Posted: 27 Apr 2017
Working Paper Series
University of Oxford, Said Business School
Downloads 1,171
32.

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
University of Oxford, Said Business School
Downloads 1,115
33.

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 and Great Zimbabwe University
Downloads 1,098
34.

Analytic Approximations for Spread Options

Number of pages: 22 Posted: 06 Sep 2007 Last Revised: 26 Jun 2009
Working Paper Series
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 1,090
35.

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 1,086
36.

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 1,059
37.

Proof of Bessel's Relation: Part I

Number of pages: 1 Posted: 19 Sep 2017
Working Paper Series
Downloads 1,018
38.

Stopping COVID-19: A Pandemic-Management Service Value Chain Approach

Baveja, Alok, Kapoor, Ajai and Melamed, Benjamin, Stopping COVID-19: A Pandemic-Management Service Value Chain Approach (Publication in the Annals of Operations Research, Forthcoming).
Number of pages: 12 Posted: 17 Mar 2020 Last Revised: 04 May 2020
Accepted Paper Series
Rutgers Business School - Rutgers University, Goldratt Consulting and Rutgers, The State University of New Jersey, Rutgers Business School - Newark & New Brunswick, Supply Chain Management Department
Downloads 1,013
39.

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
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Cornell University - Operations Research & Industrial Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 900
40.

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 899
41.

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 890
42.

(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 882
43.

Proof of Bessel's Relation: Part II

Number of pages: 1 Posted: 19 Sep 2017
Working Paper Series
Downloads 879
44.

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 875
45.

Microstructure in the Machine Age

Number of pages: 63 Posted: 25 Mar 2019
Working Paper Series
Cornell University - Department of Economics, Harvard University, Cornell University - Samuel Curtis Johnson Graduate School of Management and New York University (NYU) - NYU Tandon School of Engineering
Downloads 854
46.

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 850
47.

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 825
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 College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 713
49.

Understanding Unreported Cases in the 2019-Ncov Epidemic Outbreak in Wuhan, China, and the Importance of Major Public Health Interventions (中国武汉新冠疫情中未报告有症状病例的数量及公共卫生防控措施重要性的研究)

Number of pages: 12 Posted: 04 Feb 2020
Working Paper Series
Beijing Normal University (BNU) - School of Mathematical Sciences, Institut de Mathematique de Bordeaux, Ecole Polytechnique de Thies - Departement Tronc Commun and Vanderbilt University - Department of Mathematics
Downloads 698
50.

VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy

Number of pages: 49 Posted: 25 Jan 2018
Working Paper Series
Banca IMI, University of Pavia - Department of Economics and Business Sciences and University of Pavia - Department of Economics and Management
Downloads 685