1.
A Stochastic Model for Order Book Dynamics
Number of pages: 23
Posted: 26 Sep 2008
Last Revised: 31 Aug 2009
Working Paper Series
University of Oxford, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads
8,227
2.
The Micro-Price: A High Frequency Estimator of Future Prices
Number of pages: 14
Posted: 19 May 2017
Last Revised: 03 Jun 2020
Working Paper Series
Cornell Financial Engineering Manhattan
Downloads
6,021
3.
A Better Measure of Relative Prediction Accuracy for Model Selection and Model Estimation
Journal of the Operational Research Society (2015) 66, 1352–1362
Number of pages: 25
Posted: 25 Jul 2015
Accepted Paper Series
University of Hertfordshire Business School
Downloads
4,864
4.
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 EngineeringAbu Dhabi Investment Authority and University of California, Irvine
Downloads
4,855
5.
Bonds Versus Stocks: Investors' Age and Risk Taking
Journal of Monetary Economics, Vol. 56, No. 6, pp. 817-830, September 2009
Number of pages: 40
Posted: 18 Oct 2006
Last Revised: 27 Feb 2012
Accepted Paper Series
Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Baruch College
Downloads
4,459
6.
Financial Statement Analysis: A Data Envelopment Analysis Approach
Number of pages: 11
Posted: 08 Aug 2008
Last Revised: 28 Nov 2018
Accepted Paper Series
University of Washington Tacoma, Milgard School of Business-Accounting, Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)
Downloads
3,110
7.
Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity
Algorithmic Finance, Vol. 1, No. 1, 2011
Number of pages: 10
Posted: 14 Oct 2010
Last Revised: 11 Oct 2012
Accepted Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Department of Information, Operations, and Management Sciences and Cornell Financial Engineering Manhattan
Downloads
3,003
8.
The Big Data Newsvendor: Practical Insights from Machine Learning
Published in Operations Research 67(1):90-108. https://doi.org/10.1287/opre.2018.1757
Number of pages: 55
Posted: 03 Feb 2015
Last Revised: 22 Aug 2019
Accepted Paper Series
Robert H. Smith School of Business, University of Maryland and Duke UniversityDuke University - Pratt School of Engineering
Downloads
2,724
9.
Statistical Arbitrage: Medium Frequency Portfolio Trading
Number of pages: 27
Posted: 25 Jun 2013
Last Revised: 09 Jul 2013
Working Paper Series
Independent
Downloads
2,686
10.
Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design
Number of pages: 54
Posted: 11 Aug 2015
Last Revised: 29 Nov 2017
Working Paper Series
Pfizer, Inc., Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design
Number of pages: 54
Posted: 11 Aug 2015
Last Revised: 29 Nov 2017
Downloads
2,558
Is the Fda Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design
NBER Working Paper No. w21499
Number of pages: 38
Posted: 31 Aug 2015
Last Revised: 31 Mar 2022
Downloads
42
Downloads
2,558
11.
Dynamic Pricing – State-of-The-Art
Zeitschrift für Betriebswirtschaft, Ergänzungsheft 3 'Operations Research in der Betriebswirtschaft' (2009), 1-40
Number of pages: 38
Posted: 21 Nov 2012
Accepted Paper Series
University of Duisburg-Essen - Mercator School of Management, University of Augsburg and Bundeswehr University Munich
Downloads
2,515
12.
Advertising Effects on Awareness, Consideration and Brand Choice Using Tracking Data
ERIM Report Series Reference No. ERS-2004-028-MKT
Number of pages: 22
Posted: 26 Aug 2006
Working Paper Series
Erasmus University Rotterdam (EUR) - Department of Econometrics and Microsoft Corporation
Downloads
2,349
13.
Measuring National Innovation Systems Efficiency – A Review of DEA Approach
Higher School of Economics Research Paper No. WP BRP 16/STI/2013
Number of pages: 24
Posted: 03 Aug 2013
Last Revised: 23 Sep 2013
Working Paper Series
National Research University - Higher School of Economics
Downloads
2,263
14.
Constructing Cointegrated Cryptocurrency Portfolios for Statistical Arbitrage
Studies in Economics and Finance, Vol. 36 No. 3, pp. 581-599 (2019)
Number of pages: 20
Posted: 31 Aug 2018
Last Revised: 12 Nov 2019
Accepted Paper Series
University of Washington - Department of Applied Math and Computational Finance and Risk Management
Downloads
2,240
15.
Further Thoughts on Crm
Number of pages: 33
Posted: 05 Feb 2003
Working Paper Series
University of Groningen - Department of Marketing & Marketing Research and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads
2,240
16.
Predicting Customer Lifetime Value in Multi-Service Industries
Number of pages: 48
Posted: 26 Aug 2006
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Groningen - Department of Marketing & Marketing Research and Tilburg University - Department of Marketing
Downloads
2,231
17.
Operational Risk Management in Financial Services and the New Basel Accord
Number of pages: 16
Posted: 22 Aug 2004
Working Paper Series
FX Concepts
Downloads
2,119
18.
Systemic Risk and Central Clearing Counterparty Design
Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46
Posted: 09 Jun 2013
Last Revised: 01 Mar 2017
Working Paper Series
Georgia State University, Ecole Polytechnique Fédérale de Lausanne and Cornell University
There are 2 versions of this paper
Systemic Risk and Central Clearing Counterparty Design
Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46
Posted: 09 Jun 2013
Last Revised: 01 Mar 2017
Downloads
1,981
Systemic Risk in Networks with a Central Node
Forthcoming, SIAM Journal on Financial Mathematics, Swiss Finance Institute Research Paper No. 20-04
Number of pages: 43
Posted: 24 Jan 2020
Downloads
115
Downloads
1,981
19.
An Artificial Neural Network Representation of the SABR Stochastic Volatility Model
Number of pages: 24
Posted: 14 Dec 2018
Working Paper Series
NatWest Markets
Downloads
1,867
20.
Deeply Learning Derivatives
Number of pages: 14
Posted: 09 Oct 2018
Last Revised: 20 Oct 2018
Working Paper Series
Riskfuel and Scotiabank
Downloads
1,852
21.
The Effectiveness of Advertising Matching Purchase Motivation
Number of pages: 47
Posted: 20 Feb 2003
Working Paper Series
Tinbergen Institute, Wageningen University and Tilburg University - Faculty of Social and Behavioural Sciences
Downloads
1,852
22.
Cognitive Biases that Interfere with Critical Thinking and Scientific Reasoning: A Course Module
Number of pages: 61
Posted: 26 Apr 2017
Last Revised: 01 Jul 2017
Working Paper Series
Brooklyn College of the City University of New York
Downloads
1,812
23.
The Model Confidence Set
Number of pages: 41
Posted: 30 Mar 2004
Last Revised: 07 Jul 2014
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics, CREATESAarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads
1,689
24.
Modeling Dynamic Effects of the Marketing Mix on Market Shares
Number of pages: 32
Posted: 26 Aug 2006
Working Paper Series
Econometric Institute - Erasmus University RotterdamErasmus Research Institute of Management (ERIM), Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads
1,685
25.
Using Statistical Process Control to Monitor Active Managers
Number of pages: 35
Posted: 19 Mar 2003
Working Paper Series
NYU Tandon School of Engineering - Department of Finance and Risk Engineering, IBM Corporation - Thomas J. Watson Research Center and Parametric Portfolio Associates
Downloads
1,542
26.
Machine Learning at Central Banks
Bank of England Working Paper No. 674
Number of pages: 89
Posted: 06 Sep 2017
Working Paper Series
Bank of England and Bank of England
Downloads
1,506
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 EngineeringAbu Dhabi Investment Authority
Downloads
1,452
28.
Evaluating Direct Marketing Campaigns: Recent Findings and Future Research Topics
Number of pages: 46
Posted: 20 Feb 2003
Working Paper Series
Social and Cultural Planning Office, Erasmus University Rotterdam (EUR) - Department of Econometrics and University of Amsterdam - Academy for Economic Studies
Downloads
1,408
29.
Persistence Modeling for Assessing Marketing Strategy Performance
Number of pages: 31
Posted: 09 Mar 2004
Working Paper Series
Catholic University of Leuven (KUL) - Department of Applied Economics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads
1,407
30.
Predicting Customer Potential Value: An Application in the Insurance Industry
ERIM Report Series Reference No. ERS-2001-01-MKT
Number of pages: 43
Posted: 26 Aug 2006
Working Paper Series
University of Groningen - Department of Marketing & Marketing Research and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads
1,356
31.
When are Crm Systems Successful? The Perspective of the User and of the Organization
ERIM Report Series Reference No. ERS-2005-048-MKT
Number of pages: 53
Posted: 02 Jan 2006
Working Paper Series
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads
1,355
32.
Confidence Intervals for Cronbach's Coefficient Alpha Values
ERIM Report Series Reference No. ERS-2003-041-MKT
Number of pages: 47
Posted: 26 Aug 2006
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads
1,318
33.
A Multi-Country Study of the Adoption of Erp Systems
Number of pages: 33
Posted: 27 May 2003
Working Paper Series
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads
1,307
34.
Financial Crises and Bank Failures: A Review of Prediction Methods
FRB of Cleveland Working Paper No. 09-04R
Number of pages: 34
Posted: 22 Jun 2009
Last Revised: 01 Nov 2010
Accepted Paper Series
Federal Reserve Banks - Federal Reserve Bank of Cleveland and Fordham University
There are 2 versions of this paper
Financial Crises and Bank Failures: A Review of Prediction Methods
FRB of Cleveland Working Paper No. 09-04R
Number of pages: 34
Posted: 22 Jun 2009
Last Revised: 01 Nov 2010
Downloads
1,303
Financial Crises and Bank Failures: A Review of Prediction Methods
Bank of Finland Research Discussion Paper No. 35/2009
Number of pages: 37
Posted: 06 Dec 2009
Downloads
590
Downloads
1,303
35.
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
Fidelity Investments, Inc. and New York University (NYU) - NYU Tandon School of Engineering
Downloads
1,266
36.
Forecasting Product Life Cycle Curves: Practical Approach and Empirical Analysis
Manufacturing & Service Operations Management, Forthcoming, Vanderbilt Owen Graduate School of Management Research Paper No. 2867528
Number of pages: 39
Posted: 10 Nov 2016
Last Revised: 07 Jun 2018
Accepted Paper Series
Vanderbilt University - Operations Management, Penn State University, Smeal College of Business, Dell Inc., University of Virginia - Darden School of Business and Northwestern University - Kellogg School of Management
Downloads
1,241
37.
Stochastic Portfolio Theory: A Machine Learning Perspective
Proceedings of the 32nd Conference on Uncertainty in Artificial Intelligence, 2016
Number of pages: 9
Posted: 09 May 2016
Accepted Paper Series
Pit.AI Technologies, Inc. and Mathematical Institute, University of Oxford
Downloads
1,227
38.
The NASDAQ Crash of April 2000: Yet Another Example of Log-Periodicity in a Speculative Bubble Ending in a Crash
Number of pages: 10
Posted: 09 Jun 2000
Working Paper Series
Riso National Laboratory - Wind Energy Department and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads
1,205
39.
Nesting Booking Limits in Revenue Management: The Good, the Bad and the Ugly
Number of pages: 20
Posted: 25 Apr 2008
Last Revised: 02 Dec 2008
Working Paper Series
University of Paris 1Faculty of Tourism (IREST)
Downloads
1,183
40.
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
1,163
41.
Assessing Bank Efficiency and Performance with Operational Research and Artificial Intelligence Techniques: A Survey
European Journal of Operational Research, 2010, 204 (2), 189-198 (Revised Version)
Number of pages: 66
Posted: 28 Feb 2009
Last Revised: 28 Sep 2012
Accepted Paper Series
University Leicester School of Management and GSCM-Montpellier Business School
Downloads
1,159
42.
Quantitative vs. Qualitative Criteria for Credit Risk Assessment
Frontiers in Finance and Economics, Vol. 8, No. 1, pp. 69-87, 2011
Number of pages: 19
Posted: 29 Feb 2012
Last Revised: 05 Nov 2013
Accepted Paper Series
Universidade de Lisboa, New University of Lisbon, Instituto Superior de Contabilidade e Administração de Lisboa and Technical University of Lisbon
Downloads
1,148
43.
Warehouse Real-Time Simulator – How to Optimize Order Picking Time
Number of pages: 18
Posted: 18 Nov 2013
Working Paper Series
Uniwersytet Ekonomiczny we Wroc?awiu
Downloads
1,121
44.
The Joint Effect of Relationship Perceptions, Loyalty Program and Direct Mailing on Customer Share Development
Number of pages: 59
Posted: 20 Feb 2003
Working Paper Series
University of Groningen - Department of Marketing & Marketing Research
Downloads
1,106
45.
Econometric Analysis of the Market Share Attraction Model
ERIM Report Series Reference No. ERS-2001-25-MKT
Number of pages: 35
Posted: 26 Aug 2006
Working Paper Series
Econometric Institute - Erasmus University RotterdamErasmus Research Institute of Management (ERIM), Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads
1,100
46.
Test & Roll: Profit-Maximizing A/B Tests
Number of pages: 46
Posted: 01 Nov 2018
Last Revised: 23 May 2019
Working Paper Series
Drexel University - Department of Marketing and University of Pennsylvania - The Wharton School
Downloads
1,084
47.
Competitive Reactions and the Cross-Sales Effects of Advertising and Promotion
Number of pages: 55
Posted: 20 Feb 2003
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Marketing Area, Northwestern University - Department of Marketing, University of California, Los Angeles (UCLA) - Anderson School of Management and Catholic University of Leuven (KUL) - Department of Applied Economics
Downloads
1,060
48.
Modeling Vaccine Allocations in the COVID-19 Pandemic: A Case Study in Australia
Number of pages: 34
Posted: 09 Dec 2020
Working Paper Series
RMIT University, RMIT University - Department of Supply Chain and Logistics, RMIT University, University of Agder and RMIT University
Downloads
1,046
49.
The Microstructure of Cointegrated Assets
Number of pages: 17
Posted: 12 Apr 2021
Working Paper Series
Cornell Financial Engineering Manhattan, Citibank, N.A. - Citi Fixed Income Currency & Commodities, Cornell Financial Engineering Manhattan and Cornell Financial Engineering Manhattan
Downloads
1,041
50.
Star Wars: The Empirics Strike Back
Paris School of Economics Working Paper No. 2012-29
Number of pages: 38
Posted: 23 Jun 2012
Working Paper Series
IZA Institute of Labor EconomicsUniversity of Ottawa - Department of Economics, Banque de France, Aix-Marseille University - Aix-Marseille School of Economics and University of Bristol
There are 2 versions of this paper
Star Wars: The Empirics Strike Back
Paris School of Economics Working Paper No. 2012-29
Number of pages: 38
Posted: 23 Jun 2012
Downloads
949
Star Wars: The Empirics Strike Back
IZA Discussion Paper No. 7268
Number of pages: 61
Posted: 23 Mar 2013
Downloads
106
Downloads
949
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