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
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
3,388
Optimal Execution Horizon
Mathematical Finance, Vol. 25, Issue 3, pp. 640-672, 2015
Number of pages: 33
Posted: 05 Jun 2015
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)
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
1,566
Optimal Liquidation in Dark Pools
Quantitative Finance, Forthcoming
Number of pages: 33
Posted: 05 Dec 2015
Downloads
108
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
There are 2 versions of this paper
Multi-Asset Spread Option Pricing and Hedging
Number of pages: 40
Posted: 31 Oct 2007
Downloads
1,079
Multi-Asset Spread Option Pricing and Hedging
Quantitative Finance, Vol. 10, No. 3, pp. 305–324, 2010,
Posted: 13 Mar 2010
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.
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.
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
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
632
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
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
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