SSRN JEL Code: C44

1.

A Stochastic Model for Order Book Dynamics

Number of pages: 23 Posted: 26 Sep 2008 Last Revised: 31 Aug 2009

Working Paper Series

Rama Cont, Sasha Stoikov and Rishi Talreja

Imperial College London, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

Downloads 6,830

2.

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

Marcos Lopez de Prado and Matthew Foreman

Guggenheim Partners, LLC and University of California, Irvine

Downloads 3,197

3.

FINANCIAL STATEMENT ANALYSIS: A Data Envelopment Analysis Approach

Journal of the Operational Research Society, Vol. 54, pp. 48-58, 2003

Number of pages: 11 Posted: 08 Aug 2008 Last Revised: 26 Aug 2014

Accepted Paper Series

Ehsan H. Feroz, Sungsoo Kim and Raymond L. Raab

University of Washington, Tacoma - Milgard School of Business, Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)

Downloads 2,430

4.

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

Marco Avellaneda, Josh Reed and Sasha Stoikov

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 2,382

5.

Further Thoughts on Crm

ERIM Report Series Reference No. ERS-2002-83-MKT

Number of pages: 33 Posted: 05 Feb 2003

Working Paper Series

Peter C. Verhoef and Fred Langerak

University of Groningen - Department of Marketing & Marketing Research and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)

Downloads 2,163

6.

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

Philip Hans Franses and Marco Vriens

Erasmus University Rotterdam (EUR) - Department of Econometrics and Microsoft Corporation

Downloads 2,090

7.

Predicting Customer Lifetime Value in Multi-Service Industries

ERIM Report Series Reference No. ERS-2003-038-MKT

Number of pages: 48 Posted: 26 Aug 2006

Working Paper Series

Bas Donkers, Peter C. Verhoef and Martijn de Jong

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Groningen - Department of Marketing & Marketing Research and Tilburg University - Department of Marketing

Downloads 2,048

8.

Operational Risk Management in Financial Services and the New Basel Accord

Number of pages: 16 Posted: 22 Aug 2004

Working Paper Series

Fotios Harmantzis

FX Concepts

Downloads 1,885

9.

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

Maxim Nikolaevich Kotsemir

National Research University - Higher School of Economics

Downloads 1,862

10.

Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design

Number of pages: 49 Posted: 11 Aug 2015 Last Revised: 26 Jan 2016

Working Paper Series

Leah Isakov, Andrew W. Lo and Vahid Montazerhodjat

Pfizer, Inc., Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management

There are 2 versions of this paper

Downloads 1,837

11.

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

Chris Tofallis

University of Hertfordshire Business School

There are 3 versions of this paper

Downloads 1,781

12.

The Effectiveness of Advertising Matching Purchase Motivation

ERIM Report Series Reference No. ERS-2001-65-MKT

Number of pages: 47 Posted: 20 Feb 2003

Working Paper Series

Joost Loef, Gerrit Antonides and W. Fred van Raaij

Tinbergen Institute, Wageningen UR - Economics of Consumers and Households and Tilburg University - Faculty of Social and Behavioural Sciences

Downloads 1,730

13.

Modeling Dynamic Effects of the Marketing Mix on Market Shares

ERIM Report Series Reference No. ERS-2003-044-MKT

Number of pages: 32 Posted: 26 Aug 2006

Working Paper Series

D. Fok, Richard Paap and Philip Hans Franses

Econometric Institute - Erasmus University Rotterdam, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Department of Econometrics

Downloads 1,605

14.

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

Hamed Amini, Damir Filipović and Andreea Minca

Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Cornell University

Downloads 1,497

15.

Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions

Number of pages: 41 Posted: 18 Nov 2013

Working Paper Series

Romain Deguest, Lionel Martellini and Attilio Meucci

Fundvisory, EDHEC Business School and ARPM - Advanced Risk and Portfolio Management

Downloads 1,496

16.

The Model Confidence Set

Number of pages: 41 Posted: 30 Mar 2004 Last Revised: 07 Jul 2014

Working Paper Series

Peter Reinhard Hansen, Asger Lunde and James M. Nason

University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Aarhus - School of Economics and Management and North Carolina State University - Department of Economics

Downloads 1,484

17.

Statistical Arbitrage: Medium Frequency Portfolio Trading

Number of pages: 27 Posted: 25 Jun 2013 Last Revised: 09 Jul 2013

Working Paper Series

Igor Skachkov

Independent

Downloads 1,390

18.

Using Statistical Process Control to Monitor Active Managers

Number of pages: 35 Posted: 19 Mar 2003

Working Paper Series

Thomas K. Philips, Emmanuel Yashchin and David M. Stein

NYU Tandon School of Engineering - Department of Finance and Risk Engineering, IBM - T. J. Watson Research Center and Parametric Portfolio Associates

Downloads 1,280

19.

Evaluating Direct Marketing Campaigns: Recent Findings and Future Research Topics

ERIM Report Series Reference No. ERS-2002-26-MKT

Number of pages: 46 Posted: 20 Feb 2003

Working Paper Series

Jedid-Jah Jonker, Philip Hans Franses and Nanda Piersma

Social and Cultural Planning Office, Erasmus University Rotterdam (EUR) - Department of Econometrics and University of Amsterdam - Academy for Economic Studies

Downloads 1,278

20.

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

G.H. van Bruggen and Berend Wierenga

Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)

Downloads 1,248

21.

Persistence Modeling for Assessing Marketing Strategy Performance

ERIM Report Series Reference No. ERS-2003-088-MKT

Number of pages: 31 Posted: 09 Mar 2004

Working Paper Series

M. G. Dekimpe and Dominique M Hanssens

Catholic University of Leuven (KUL) - Department of Applied Economics and University of California, Los Angeles (UCLA) - Anderson School of Management

Downloads 1,237

22.

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

Peter C. Verhoef and Bas Donkers

University of Groningen - Department of Marketing & Marketing Research and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Downloads 1,214

23.

A Multi-Country Study of the Adoption of Erp Systems

ERIM Report Series Reference No. ERS-2003-019-MKT

Number of pages: 33 Posted: 27 May 2003

Working Paper Series

Yvonne M. van Everdingen and Eric Waarts

Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)

Downloads 1,190

24.

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

Alex J. Koning and Philip Hans Franses

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Department of Econometrics

Downloads 1,146

25.

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

Anders Johansen and Didier Sornette

Riso National Laboratory - Wind Energy Department and Swiss Finance Institute

Downloads 1,072

26.

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

Yuliya S. Demyanyk and Iftekhar Hasan

Federal Reserve Banks - Federal Reserve Bank of Cleveland and Gabelli School of Business, Fordham University

There are 2 versions of this paper

Downloads 1,040

27.

Competitive Reactions and the Cross-Sales Effects of Advertising and Promotion

ERIM Report Series Reference No. ERS-2002-20-MKT

Number of pages: 55 Posted: 20 Feb 2003

Working Paper Series

Jan‐Benedict EM Steenkamp, Vincent R. Nijs, Dominique M Hanssens and M. G. Dekimpe

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 1,023

28.

The Joint Effect of Relationship Perceptions, Loyalty Program and Direct Mailing on Customer Share Development

ERIM Report Series Reference No. ERS-2002-27-MKT

Number of pages: 59 Posted: 20 Feb 2003

Working Paper Series

Peter C. Verhoef

University of Groningen - Department of Marketing & Marketing Research

Downloads 1,023

29.

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

Turan G. Bali, K. Ozgur Demirtas, Haim Levy and Avner Wolf

Georgetown University - Robert Emmett McDonough School of Business, Sabanci University, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Baruch College

Downloads 969

30.

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

D. Fok, Philip Hans Franses and Richard Paap

Econometric Institute - Erasmus University Rotterdam, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Department of Econometrics

Downloads 937

31.

Portfolio Oversight: An Evolutionary Approach

Number of pages: 50 Posted: 08 Nov 2012 Last Revised: 26 May 2014

Working Paper Series

Marcos Lopez de Prado

Guggenheim Partners, LLC

Downloads 935

32.

Corporate Liquidity, Dividend Policy and Default Risk: Optimal Financial Policy and Agency Costs

Number of pages: 48 Posted: 07 Apr 2008 Last Revised: 30 May 2009

Working Paper Series

Yann Braouezec and Charles-Albert Lehalle

IESEG School of Management, LEM CNRS and Capital Fund Management

Downloads 913

33.

The Big Data Newsvendor: Practical Insights from Machine Learning

Number of pages: 52 Posted: 03 Feb 2015 Last Revised: 06 Sep 2016

Working Paper Series

Gah‐Yi Ban and Cynthia Rudin

London Business School and Duke University - Pratt School of Engineering

Downloads 911

34.

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

Jochen Gönsch, Robert Klein and Claudius Steinhardt

University of Duisburg-Essen - Mercator School of Management, University of Augsburg and Bundeswehr University Munich (UniBw) - Department of Quantitative Methods

Downloads 896

35.

The Impact of Brand and Category Characteristics on Consumer Stock-Out Reactions

ERIM Report Series Reference No. ERS-2002-106-MKT

Number of pages: 46 Posted: 18 Jan 2003

Working Paper Series

Laurens Sloot, Peter C. Verhoef and Philip Hans Franses

Erasmus University Rotterdam (EUR) - Erasmus Food Management Institute, University of Groningen - Department of Marketing & Marketing Research and Erasmus University Rotterdam (EUR) - Department of Econometrics

Downloads 877

36.

Optimal Bidding in Multi-Item Multi-Slot Sponsored Search Auctions

Operations Research 61(4): 855-873 (2013)

Number of pages: 47 Posted: 06 Feb 2012 Last Revised: 08 Dec 2013

Accepted Paper Series

Kartik Hosanagar and Vibhanshu Abhishek

University of Pennsylvania - Operations & Information Management Department and Carnegie Mellon University - H. John Heinz III School of Public Policy and Management

Downloads 810

37.

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

Meryem Duygun Fethi and Fotios Pasiouras

University Leicester School of Management and Technical University of Crete

Downloads 809

38.

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

Abel Brodeur, Mathias LÉ, Marc Sangnier and Yanos Zylberberg

University of Ottawa - Department of Economics, Autorité de Contrôle Prudentiel et de Résolution (ACPR), Aix-Marseille University - Aix-Marseille School of Economics and University of Bristol

There are 2 versions of this paper

Downloads 799

39.

Risk Neutral Forecasting

Number of pages: 39 Posted: 23 Jan 2001

Working Paper Series

Spyros Skouras

Athens University of Economics and Business - Department of International and European Economic Studies

Downloads 797

40.

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

Yves-Laurent KOM SAMO and Alexander Vervuurt

University of Oxford and Mathematical Institute, University of Oxford

Downloads 764

41.

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

Jean Michel Chapuis

Faculty of Tourism (IREST)

Downloads 760

42.

From Bounded Rationality to Behavioral Economics

Number of pages: 22 Posted: 20 Jul 2005

Working Paper Series

Massimo Egidi

Luiss Guido Carli University

Downloads 743

43.

The Theoretical Underpinnings of Customer Asset Management

ERIM Report Series Reference No. ERS-2002-80-MKT

Number of pages: 61 Posted: 17 Feb 2003

Working Paper Series

Ruth N. Bolton, Katherine N. Lemon and Peter C. Verhoef

Arizona State University (ASU) - Marketing Department, Boston College - Department of Marketing and University of Groningen - Department of Marketing & Marketing Research

Downloads 735

44.

Consistent Pricing of Options on Leveraged ETFs

Number of pages: 43 Posted: 21 Sep 2012 Last Revised: 22 Oct 2014

Working Paper Series

Andrew Ahn, Martin Haugh and Ashish Jain

Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Independent

Downloads 684

45.

Efficiency Analysis of Supply Chain Processes

International Journal of Production Research, Vol. 44, No. 23, pp. 5065-5087, December 2006

Number of pages: 23 Posted: 27 Dec 2007

Accepted Paper Series

Gerald Reiner and Paul Hofmann

Vienna University of Economics and Business Administration - Department of Information Systems and Operations and Saffron Technology

Downloads 683

46.

Competitiveness of Family Businesses

ERIM Report Series Reference No. ERS-2001-50-MKT

Number of pages: 33 Posted: 18 Feb 2003

Working Paper Series

Mark A.A.M. Leenders and Eric Waarts

Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)

Downloads 677

47.

The Effect of Members' Satisfaction with a Virtual Community on Member Participation

ERIM Report Series Reference No. ERS-2003-004-MKT

Number of pages: 51 Posted: 27 May 2003

Working Paper Series

Fred Langerak, Peter C. Verhoef, Peeter W.J. Verlegh and Kristine de Valck

Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), University of Groningen - Department of Marketing & Marketing Research, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University Rotterdam - Rotterdam School of Management (RSM)

Downloads 664

48.

Store Location in Shopping Centers: Theory and Estimates

Journal of Real Estate Research, Vol. 27, No. 3, 2006

Number of pages: 30 Posted: 27 Dec 2006

Accepted Paper Series

Charles C. Carter and Kerry D. Vandell

Florida Atlantic University and University of California, Irvine - Paul Merage School of Business

Downloads 659

49.

Asset Allocation Advice: Reconciling Expected Utility with Shortfall Risk

Number of pages: 40 Posted: 30 Jun 2004

Working Paper Series

Michael J. Stutzer

University of Colorado at Boulder - Leeds School of Business

Downloads 658

50.

Corporate Bankruptcy Prognosis: An Attempt at a Combined Prediction of the Bankruptcy Event and Time Interval of Its Occurrence

Number of pages: 36 Posted: 11 Jan 2002

Case and Teaching Paper Series

Leonid V. Philosophov and Vladimir L. Philosophov

Independent and Interregional Bankruptcy Service for Central Russia - Analytic Department

Downloads 640

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