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, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
17,697
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, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
15,863
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 AQR Capital Management, LLC
Downloads
8,028
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, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
5,380
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
AQR Capital Management, LLC and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads
5,164
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 AQR Capital Management, LLC
Downloads
4,261
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
AQR Capital Management, LLC and University of California, Irvine
Downloads
3,729
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
AQR Capital Management, LLC
Downloads
3,592
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
AQR Capital Management, LLC
Downloads
3,374
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, AQR Capital Management, LLC 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
3,189
Optimal Execution Horizon
Mathematical Finance, Vol. 25, Issue 3, pp. 640-672, 2015
Number of pages: 33
Posted: 05 Jun 2015
Downloads
3,189
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 AQR Capital Management, LLC
Downloads
3,027
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, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
2,736
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, AQR Capital Management, LLC and Universidad Complutense de Madrid (UCM)
Downloads
2,334
14.
Ten Financial Applications of Machine Learning
Number of pages: 20
Posted: 18 Jun 2018
Last Revised: 24 Jan 2019
Working Paper Series
AQR Capital Management, LLC
Downloads
2,248
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
AQR Capital Management, LLC
Downloads
2,196
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
2,018
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
1,957
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
1,769
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
AQR Capital Management, LLC
Downloads
1,631
20.
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
1,595
21.
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
1,553
Optimal Liquidation in Dark Pools
Quantitative Finance, Forthcoming
Number of pages: 33
Posted: 05 Dec 2015
Downloads
95
Downloads
1,553
22.
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
1,458
23.
Concealing the Trading Footprint: Optimal Execution Horizon
Number of pages: 45
Posted: 08 Nov 2012
Last Revised: 05 Jul 2015
Working Paper Series
AQR Capital Management, LLC
Downloads
1,282
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
AQR Capital Management, LLC
Downloads
1,255
25.
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
1,126
26.
Simulation as a Stock Market Backtesting Tool
Number of pages: 44
Posted: 17 Apr 2014
Working Paper Series
Double-Digit Numerics
Downloads
1,102
27.
Portfolio Oversight: An Evolutionary Approach
Number of pages: 50
Posted: 08 Nov 2012
Last Revised: 26 May 2014
Working Paper Series
AQR Capital Management, LLC
Downloads
1,075
28.
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
1,073
Multi-Asset Spread Option Pricing and Hedging
Quantitative Finance, Vol. 10, No. 3, pp. 305–324, 2010,
Posted: 13 Mar 2010
Downloads
1,073
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 - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads
1,072
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
1,022
31.
Downloads
1,000
32.
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
963
33.
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
891
34.
Downloads
850
35.
Market Microstructure in the Age of Machine Learning
Number of pages: 48
Posted: 11 Jun 2018
Working Paper Series
AQR Capital Management, LLC
Downloads
848
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
825
37.
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
815
38.
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
807
39.
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
affiliation not provided to SSRN and Independent
Downloads
797
40.
(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
779
41.
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), AQR Capital Management, LLC, Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads
775
42.
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
Independent
Downloads
751
43.
Downloads
729
44.
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
637
45.
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
625
46.
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
615
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 - 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
614
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
614
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 KAIST College of Business
Downloads
611
49.
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
581
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
581
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.