Search Results
JEL Code: C02

207,202 Total downloads

Viewing: 1 - 50 of 1,006 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 18,042
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 16,226
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 Cornell University - Operations Research & Industrial Engineering
Downloads 8,763
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, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 5,799
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
Cornell University - Operations Research & Industrial Engineering and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 5,395
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 Cornell University - Operations Research & Industrial Engineering
Downloads 4,822
7.

Ten Financial Applications of Machine Learning (Presentation Slides)

Number of pages: 27 Posted: 18 Jun 2018 Last Revised: 26 Sep 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 3,955
8.

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 3,944
9.

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 3,912
10.

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 3,579
11.

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 3,388
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 Cornell University - Operations Research & Industrial Engineering
Downloads 3,278
13.

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 2,843
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
Cornell University - Operations Research & Industrial Engineering
Downloads 2,463
15.

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 2,438
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 2,152
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 2,064
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 1,804
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
Cornell University - Operations Research & Industrial Engineering
Downloads 1,756
20.

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 1,566
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
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 1,494
22.

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 1,474
23.

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 1,378
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
Cornell University - Operations Research & Industrial Engineering
Downloads 1,321
25.

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 1,215
26.

Simulation as a Stock Market Backtesting Tool

Number of pages: 44 Posted: 17 Apr 2014
Working Paper Series
Double-Digit Numerics
Downloads 1,156
27.

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 1,148
28.

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 1,130
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 Business School and University of Reading - ICMA Centre
Downloads 1,086
30.

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 1,079
31.

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 1,045
32.

Proof of Bessel's Relation: Part I

Number of pages: 1 Posted: 19 Sep 2017
Working Paper Series
Downloads 1,008
33.

Tenor Basis Swap Formulae

Number of pages: 4 Posted: 27 Apr 2017
Working Paper Series
University of Oxford, Said Business School
Downloads 990
34.

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 965
35.

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 964
36.

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 896
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 874
38.

Proof of Bessel's Relation: Part II

Number of pages: 1 Posted: 19 Sep 2017
Working Paper Series
Downloads 870
39.

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 865
40.

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 859
41.

(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 854
42.

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 838
43.

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 820
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 799
45.

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 666
46.

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 655
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 Business School and University of Reading - ICMA Centre

Multiple version iconThere are 2 versions of this paper

Downloads 632
48.

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
Duke University - Department of Economics
Downloads 631
49.

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 621
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 610