SSRN JEL Code: C55

1.

The Flash Crash: A New Deconstruction

Number of pages: 53 Posted: 26 Jan 2016 Last Revised: 10 May 2017

Working Paper Series

Eric M. Aldrich, Joseph Grundfest and Gregory Laughlin

University of California, Santa Cruz, Stanford University Law School and Yale University

Downloads 1,622

2.

Principal Component Analysis of High Frequency Data

Chicago Booth Research Paper No. 15-39

Number of pages: 61 Posted: 19 Aug 2015 Last Revised: 11 Oct 2016

Working Paper Series

Yacine Ait-Sahalia and Dacheng Xiu

Princeton University - Department of Economics and University of Chicago - Booth School of Business

There are 2 versions of this paper

Downloads 684

3.

A Brief Assessment of Supreme Court Opinion Language, 1946-2013

86 Mississippi Law Journal 105 (2017)

Number of pages: 57 Posted: 08 Mar 2015 Last Revised: 29 Mar 2017

Accepted Paper Series

Adam Feldman

Columbia University - Law School

Downloads 538

4.

The Action Principle in Market Mechanics

Texas A&M University School of Law Legal Studies Research Paper No. 17-13

Number of pages: 20 Posted: 30 Jan 2017 Last Revised: 19 Aug 2017

Working Paper Series

Jack Manhire

Texas A&M University School of Law

Downloads 514

5.

Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data

Chicago Booth Research Paper No. 15-43

Number of pages: 43 Posted: 07 Oct 2015 Last Revised: 11 Oct 2016

Working Paper Series

Yacine Ait-Sahalia and Dacheng Xiu

Princeton University - Department of Economics and University of Chicago - Booth School of Business

Downloads 485

6.

What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?

Journal of Business and Economic Statistics (Forthcoming)

Number of pages: 58 Posted: 17 Mar 2013 Last Revised: 03 Feb 2016

Accepted Paper Series

Jianqing Fan, Michael B. Imerman and Wei Dai

Princeton University - Bendheim Center for Finance, Lehigh University and Princeton University - Department of Operations Research & Financial Engineering (ORFE)

Downloads 439

7.

Stata, Fast and Slow: Why Running Many Small Regressions in a Large Dataset Takes So Long; and What to Do About It

Number of pages: 19 Posted: 12 Apr 2014

Working Paper Series

Paul Geertsema

University of Auckland - Department of Accounting and Finance

Downloads 414

8.

Positional Portfolio Management

Swiss Finance Institute Research Paper No. 14-20

Number of pages: 80 Posted: 07 Mar 2014 Last Revised: 17 Sep 2016

Working Paper Series

Patrick Gagliardini, Christian Gourieroux and Mirco Rubin

University of Lugano and Swiss Finance Institute, University of Toronto - Department of Economics and University of Bristol

Downloads 357

9.

Sparse Signals in the Cross-Section of Returns

Number of pages: 50 Posted: 16 May 2015 Last Revised: 17 Feb 2017

Working Paper Series

Alexander Chinco, Adam D. Clark-Joseph and Mao Ye

University of Illinois at Urbana-Champaign - College of Business, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign

Downloads 323

10.

Big Data or Big Lie

Number of pages: 5 Posted: 12 Nov 2014

Working Paper Series

Krzysztof I. Rybinski

Narxoz University

Downloads 286

11.

A Network Approach to Portfolio Selection

Number of pages: 62 Posted: 29 Apr 2014 Last Revised: 06 Apr 2016

Working Paper Series

Gustavo Peralta and Abalfazl Zareei

CNMV and Universidad Carlos III de Madrid

Downloads 284

12.

A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

Chicago Booth Research Paper No. 16-06

Number of pages: 55 Posted: 07 Mar 2016 Last Revised: 21 Feb 2017

Working Paper Series

Yacine Ait-Sahalia and Dacheng Xiu

Princeton University - Department of Economics and University of Chicago - Booth School of Business

Downloads 279

13.

Forecasting Performance of Markov-Switching GARCH Models: A Large-Scale Empirical Study

Number of pages: 25 Posted: 16 Feb 2017

Working Paper Series

David Ardia, Keven Bluteau, Kris Boudt and Leopoldo Catania

University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Vrije Universiteit Brussel (VUB) and University of Rome, Tor Vergata - Department of Economics and Finance

Downloads 273

14.

Forecasting Realised Volatility of Micex Index

Number of pages: 66 Posted: 12 Nov 2014

Working Paper Series

Alexandr Cecetov

City University London

Downloads 263

15.

Bigger Data Forecasting: A Computational Combinatorial Approach

Number of pages: 28 Posted: 25 Mar 2015 Last Revised: 29 Jun 2017

Working Paper Series

Charles Rahal and Marco R. Barassi

University of Oxford and University of Birmingham

Downloads 254

16.

Instrumented Principal Component Analysis

Number of pages: 33 Posted: 09 Jun 2017 Last Revised: 11 Jun 2017

Working Paper Series

Bryan T. Kelly, Seth Pruitt and Yinan Su

University of Chicago - Booth School of Business, Arizona State University (ASU) - Finance Department and University of Chicago, Booth School of Business, Students

Downloads 241

17.

Identifying and Pricing Adverse Selection Risk with VPIN

Number of pages: 34 Posted: 29 Apr 2015 Last Revised: 02 Mar 2016

Working Paper Series

Paul Borochin and Stephen Rush

University of Connecticut - School of Business and BGSU

Downloads 240

18.

The Place for Neuroscience in Criminal Law

PHILOSOPHICAL FOUNDATIONS OF LAW AND NEUROSCIENCE. New York: Oxford University Press 69-83 (Dennis Patterson & Michael Pardo, eds. 2016) , Fordham Law Legal Studies Research Paper No. 2806641

Number of pages: 16 Posted: 18 Jul 2016 Last Revised: 18 Aug 2016

Accepted Paper Series

Deborah W. Denno

Fordham University School of Law

Downloads 218

19.

Understanding Systematic Risk: A High-Frequency Approach

Number of pages: 61 Posted: 24 Aug 2015 Last Revised: 25 Aug 2015

Working Paper Series

Markus Pelger

Stanford University - Management Science & Engineering

Downloads 218

20.

Sustainable Smart Home and Home Automation: Big Data Analytics Approach

International Journal of Smart Home, Vol. 10(8), p. 177-187, 2016

Number of pages: 16 Posted: 07 Sep 2016

Accepted Paper Series

Rita Yi Man Li, Herru Ching Yu Li, Cho Kei Mak and Tony Beiqi Tang

Hong Kong Shue Yan University, Hong Kong Shue Yan University, Hong Kong Shue Yan University and Hong Kong Shue Yan University

Downloads 215

21.

Correlations between Insurance Lines of Business: An Illusion or a Real Phenomenon? Some Methodological Considerations

UNSW Business School Research Paper No. 2015ACTL11

Number of pages: 25 Posted: 24 Apr 2015 Last Revised: 21 Jan 2016

Working Paper Series

Benjamin Avanzi, Greg Taylor and Bernard Wong

UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies

Downloads 214

22.

Large-Dimensional Factor Modeling Based on High-Frequency Observations

Number of pages: 113 Posted: 25 Mar 2015 Last Revised: 13 Nov 2016

Working Paper Series

Markus Pelger

Stanford University - Management Science & Engineering

Downloads 212

23.

Machine-Learning Models for Predicting Drug Approvals and Clinical-Phase Transitions

Number of pages: 60 Posted: 25 May 2017 Last Revised: 26 Jul 2017

Working Paper Series

Andrew W. Lo, Kien Wei Siah and Chi Heem Wong

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

Downloads 210

24.

Clustering Huge Number of Financial Time Series: A Panel Data Approach with High-Dimensional Predictors and Factor Structures

28th Australasian Finance and Banking Conference

Number of pages: 41 Posted: 13 Aug 2015 Last Revised: 28 Jul 2016

Working Paper Series

Tomohiro Ando and Jushan Bai

Melbourne Business School and Columbia University

Downloads 202

25.

On the Sources of Uncertainty in Exchange Rate Predictability

Number of pages: 48 Posted: 29 Sep 2014 Last Revised: 16 Sep 2016

Working Paper Series

Joseph P. Byrne, Dimitris Korobilis and Pinho J. Ribeiro

Heriot-Watt University - Department of Accountancy, Economics and Finance, University of Essex - Essex Business School and University of Glasgow - Adam Smith Business School

Downloads 196

26.

Econometric Estimation with High-Dimensional Moment Equalities

Number of pages: 50 Posted: 05 Sep 2014 Last Revised: 18 Jul 2016

Working Paper Series

Zhentao Shi

Department of Economics, the Chinese University of Hong Kong

Downloads 192

27.

Forecasting Stock Returns with Large Dimensional Factor Models

Number of pages: 46 Posted: 26 Apr 2017

Working Paper Series

Alessandro Giovannelli, Daniele Massacci and Stefano Soccorsi

University of Rome, Tor Vergata, Bank of England and Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)

Downloads 173

28.

Designated Market Makers Still Matter: Evidence from Two Natural Experiments

Journal of Financial Economics (JFE), Forthcoming, Paris December 2016 Finance Meeting EUROFIDAI - AFFI

Number of pages: 36 Posted: 04 Jun 2016 Last Revised: 16 Nov 2016

Accepted Paper Series

Adam D. Clark-Joseph, Mao Ye and Chao Zi

University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign

There are 2 versions of this paper

Downloads 159

29.

Community Detection in Partial Correlation Network Models

Number of pages: 50 Posted: 07 May 2016 Last Revised: 26 Jun 2017

Working Paper Series

Christian T. Brownlees, Gudmundur Stefan Gudmundsson and Gabor Lugosi

Universitat Pompeu Fabra - Department of Economics and Business, Universitat Pompeu Fabra - Department of Economics and Business and Universitat Pompeu Fabra - Department of Economics and Business (DEB)

Downloads 153

30.

Investment-Horizon Spillovers: Evidence From Decomposing Trading-Volume Variance

Number of pages: 49 Posted: 04 Jan 2015 Last Revised: 02 Jun 2016

Working Paper Series

Alexander Chinco and Mao Ye

University of Illinois at Urbana-Champaign - College of Business and University of Illinois at Urbana-Champaign

There are 2 versions of this paper

Downloads 147

31.

Sequence Classification of the Limit Order Book Using Recurrent Neural Networks

Number of pages: 20 Posted: 23 Jul 2017

Working Paper Series

Matthew Francis Dixon

Illinois Institute of Technology - Stuart School of Business, IIT

Downloads 140

32.

Big Data Analytics: A New Perspective

CESifo Working Paper Series No. 5824

Number of pages: 84 Posted: 21 Apr 2016

Working Paper Series

Alexander Chudik, George Kapetanios and M. Hashem Pesaran

Federal Reserve Banks - Federal Reserve Bank of Dallas, University of London - Queen Mary College - Department of Economics and USC Dornsife Institute for New Economic Thinking

There are 3 versions of this paper

Downloads 133

33.

The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story

Number of pages: 47 Posted: 17 Sep 2015

Working Paper Series

Chris Godfrey and Chris Brooks

University of Manchester - Alliance Manchester Business School and University of Reading - ICMA Centre

Downloads 133

34.

Inference in Approximately Sparse Correlated Random Effects Probit Models

Journal of Business and Economic Statistics, Forthcoming

Number of pages: 31 Posted: 18 Feb 2016 Last Revised: 04 Jul 2017

Accepted Paper Series

Jeff Wooldridge and Ying Zhu

Michigan State University - Department of Economics and Michigan State University, Department of Economics

Downloads 122

35.

Investors' Behavior on S&P 500 Index during Periods of Market Crashes: A Visibility Graph Approach

Handbook of Investors' Behavior during Financial Crises, Chapter Forthcoming

Number of pages: 29 Posted: 16 Nov 2016 Last Revised: 19 Mar 2017

Accepted Paper Series

Michail Vamvakaris, Athanasios A. Pantelous and Konstantin Zuev

University of Liverpool - Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, Department of Mathematical Sciences and Institute for Risk and Uncertainty and California Institute of Technology

Downloads 120

36.

Sovereign Ratings Implied by Coupled CDS-Bond Market Data

Number of pages: 26 Posted: 25 Nov 2014

Working Paper Series

Stefano Marmi, Aldo Nassigh and Daniele Regoli

Scuola Normale Superiore, UniCredit Group and Scuola Normale Superiore

Downloads 118

37.

Multiple Horizon Causality in Network Analysis: Measuring Volatility Interconnections in Financial Markets

Number of pages: 73 Posted: 10 Mar 2016 Last Revised: 28 Oct 2016

Working Paper Series

Jean-Marie Dufour and Bixi Jian

McGill University and McGill University - Department of Economics

Downloads 116

38.

Effects of Multicollinearity on the Estimation of Macroeconomic Variables by Using Data from Sudan

Number of pages: 89 Posted: 29 Jul 2011 Last Revised: 14 Aug 2011

Working Paper Series

Issam A.W. Mohamed

Al-Neelain University - Department of Economics

Downloads 113

39.

Knowing Factors or Factor Loadings, or Neither? Evaluating Estimators of Large Covariance Matrices with Noisy and Asynchronous Data

Chicago Booth Research Paper No. 17-02

Number of pages: 51 Posted: 23 Feb 2017

Working Paper Series

Chaoxing Dai, Kun Lu and Dacheng Xiu

University of Chicago - Booth School of Business, Princeton University and University of Chicago - Booth School of Business

Downloads 107

40.

A Structural Topic Model of the Features and the Cultural Origins of the Baconian Program

Number of pages: 50 Posted: 03 Apr 2017 Last Revised: 01 Jul 2017

Working Paper Series

Peter Grajzl and Peter Murrell

Washington and Lee University - Department of Economics and University of Maryland - Department of Economics

There are 2 versions of this paper

Downloads 104

41.

Violence and Cell Phone Communication: Behavior and Prediction in Cote D’Ivoire

Number of pages: 43 Posted: 18 Nov 2014

Working Paper Series

Daniel Berger, Shankar Kalyanaraman and Sera Linardi

University of Essex - Department of Government, New York University (NYU) and University of Pittsburgh

Downloads 104

42.

Analyzing Business and Financial Cycles Using Multi-Level Factor Models

CAMA Working Paper No. 43/2014

Number of pages: 44 Posted: 31 May 2014 Last Revised: 02 Jun 2014

Working Paper Series

Jörg Breitung and Sandra Eickmeier

University of Cologne and Deutsche Bundesbank

There are 2 versions of this paper

Downloads 101

43.

Forecasting Commodity Currencies: The Role of Fundamentals with Short-Lived Predictive Content

Norges Bank Working Paper 14/2015

Number of pages: 50 Posted: 07 Nov 2015 Last Revised: 15 Feb 2016

Accepted Paper Series

Claudia Foroni, Francesco Ravazzolo and Pinho J. Ribeiro

Norges Bank, Free University of Bolzano and University of Glasgow - Adam Smith Business School

Downloads 91

44.

High-Frequency Price Discovery of Gold

Number of pages: 59 Posted: 21 Jun 2017

Working Paper Series

Joerg Picard

Grand Valley State University

Downloads 90

45.

Residential Land Values in the Washington, DC Metro Area: New Insights from Big Data

Number of pages: 52 Posted: 21 Jan 2016 Last Revised: 22 Jan 2016

Working Paper Series

Morris A. Davis, Stephen D. Oliner, Edward Pinto and Sankar Bokka

Rutgers Business School, American Enterprise Institute, American Enterprise Institute (AEI) and FNC, Inc

Downloads 88

46.

Patterns of Sectoral Structural Change – Empirical Evidence from Similarity Networks

Number of pages: 56 Posted: 29 Apr 2016

Working Paper Series

Alexander Radebach, Jan Christoph Steckel and Hauke Ward

Mercator Research Institute on Global Commons and Climate Change, Potsdam Institute for Climate Impact Research and Mercator Research Institute on Global Commons and Climate Change

Downloads 87

47.

Health Privacy and Confidentiality

Health Privacy and Confidentiality, Chapter 23, in Tensions and Traumas in Health Law, I Freckelton and & K Petersen (Eds) (2017) Sydney: Federation Press, Forthcoming

Number of pages: 17 Posted: 14 Apr 2017

Accepted Paper Series

Danuta Mendelson and Gabrielle Wolf

Deakin University, Geelong, Australia - Deakin Law School and Deakin Law School

There are 2 versions of this paper

Downloads 86

48.

Probabilistic Forecasting with Stationary VAR Models

Number of pages: 18 Posted: 04 Aug 2016

Working Paper Series

Ramin Mojab

Monetary and Banking Research Institute (MBRI)

Downloads 85

49.

Regularized Regression Incorporating Network Information: Simultaneous Estimation of Covariate Coefficients and Connection Signs

Tinbergen Institute Discussion Paper 14-089/I

Number of pages: 31 Posted: 16 Jul 2014 Last Revised: 21 Sep 2015

Working Paper Series

Matthias Weber, Martin Schumacher and Harald Binder

Bank of Lithuania - Center for Excellence in Finance and Economic Research (CEFER), University Medical Center Freiburg and University of Mainz - University Medical Center

Downloads 84

50.

Big Data Analytics: A New Perspective

USC-INET Research Paper No. 16-04

Number of pages: 84 Posted: 13 Mar 2016

Working Paper Series

Alexander Chudik, George Kapetanios and M. Hashem Pesaran

Federal Reserve Banks - Federal Reserve Bank of Dallas, University of London - Queen Mary College - Department of Economics and USC Dornsife Institute for New Economic Thinking

There are 3 versions of this paper

Downloads 81

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