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JEL Code: C55

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1.

Should We Treat Data as Labor? Moving Beyond 'Free'

American Economic Association Papers & Proceedings, Vol. 1, No. 1, Forthcoming
Number of pages: 5 Posted: 29 Dec 2017
Accepted Paper Series
Stanford University, Columbia University, Stanford University, Microsoft Corporation and Microsoft Research
Downloads 3,345
2.

CDS Rate Construction Methods by Machine Learning Techniques

Number of pages: 51 Posted: 15 May 2017 Last Revised: 23 Mar 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads 3,240
3.

The Flash Crash: A New Deconstruction

Number of pages: 53 Posted: 26 Jan 2016 Last Revised: 10 May 2017
Working Paper Series
University of California, Santa Cruz, Stanford University Law School and Yale University
Downloads 1,763
4.

Principal Component Analysis of High Frequency Data

Chicago Booth Research Paper No. 15-39
Number of pages: 64 Posted: 19 Aug 2015 Last Revised: 22 Aug 2017
Working Paper Series
Princeton University - Department of Economics and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 905
5.

Instrumented Principal Component Analysis

Number of pages: 33 Posted: 09 Jun 2017 Last Revised: 11 Jun 2017
Working Paper Series
Yale SOM, Arizona State University (ASU) - Finance Department and University of Chicago, Booth School of Business, Students
Downloads 759
6.

Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study

Number of pages: 33 Posted: 16 Feb 2017 Last Revised: 04 Mar 2018
Working Paper Series
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Vrije Universiteit Brussel (VUB) and University of Aarhus - School of Business and Social Sciences
Downloads 746
7.

A Heuristic for Approximating Extreme Negative Price Returns in Financial Markets

133 Acta Physica Polonica A, 2018, Forthcoming
Number of pages: 21 Posted: 30 Jan 2017 Last Revised: 20 May 2018
Accepted Paper Series
Texas A&M University School of Law
Downloads 598
8.

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
Columbia University - Law School
Downloads 559
9.

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
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 559
10.

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
University of Auckland - Department of Accounting and Finance
Downloads 508
11.

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
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT)
Downloads 501
12.

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
Princeton University - Bendheim Center for Finance, Lehigh University and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 475
13.

Sparse Signals in the Cross-Section of Returns

Number of pages: 50 Posted: 16 May 2015 Last Revised: 17 Feb 2017
Working Paper Series
University of Illinois at Urbana-Champaign - College of Business, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign

Multiple version iconThere are 2 versions of this paper

Downloads 465
14.

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
Hong Kong Shue Yan University, Hong Kong Shue Yan University, Hong Kong Shue Yan University and Hong Kong Shue Yan University
Downloads 399
15.

Scalable Price Targeting

Number of pages: 47 Posted: 26 Jun 2017 Last Revised: 27 Aug 2017
Working Paper Series
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 398
16.

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
University of Lugano and Swiss Finance Institute, University of Toronto - Department of Economics and University of Bristol
Downloads 369
17.

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
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 356
18.

Forecasting Realised Volatility of Micex Index

Number of pages: 66 Posted: 12 Nov 2014
Working Paper Series
City University London
Downloads 348
19.

A Network Approach to Portfolio Selection

Number of pages: 62 Posted: 29 Apr 2014 Last Revised: 06 Apr 2016
Working Paper Series
CNMV and Universidad Carlos III de Madrid
Downloads 306
20.

Big Data or Big Lie

Number of pages: 5 Posted: 12 Nov 2014
Working Paper Series
Vistula University
Downloads 296
21.

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
Fordham University School of Law
Downloads 278
22.

Identifying and Pricing Adverse Selection Risk with VPIN

Number of pages: 34 Posted: 29 Apr 2015 Last Revised: 02 Mar 2016
Working Paper Series
University of Connecticut - School of Business and BGSU
Downloads 275
23.

Understanding Systematic Risk: A High-Frequency Approach

Number of pages: 61 Posted: 24 Aug 2015 Last Revised: 25 Aug 2015
Working Paper Series
Stanford University - Management Science & Engineering
Downloads 254
24.

Forecasting Stock Returns with Large Dimensional Factor Models

Number of pages: 46 Posted: 26 Apr 2017 Last Revised: 02 Apr 2018
Working Paper Series
University of Rome, Tor Vergata, Bank of England and Department of Economics, Lancaster University Management School
Downloads 246
25.

Community Detection in Partial Correlation Network Models

Number of pages: 51 Posted: 07 May 2016 Last Revised: 19 May 2018
Working Paper Series
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Universitat Pompeu Fabra - Department of Economics and Business and Universitat Pompeu Fabra - Department of Economics and Business (DEB)
Downloads 245
26.

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
The University of Melbourne - Melbourne Business School and Columbia University
Downloads 243
27.

Large-Dimensional Factor Modeling Based on High-Frequency Observations

Number of pages: 125 Posted: 25 Mar 2015 Last Revised: 12 May 2018
Working Paper Series
Stanford University - Management Science & Engineering
Downloads 240
28.

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
Heriot-Watt University - Department of Accountancy, Economics and Finance, University of Essex - Essex Business School and University of Glasgow - Adam Smith Business School
Downloads 240
29.

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
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 236
30.

Models of Financial Stability and Their Application in Stress Tests

Forthcoming, Handbook of Computational Economics (Blake LeBaron and Cars Hommes) , University of St.Gallen, School of Finance Research Paper No. 2018/5
Number of pages: 66 Posted: 22 Aug 2017 Last Revised: 29 Apr 2018
Accepted Paper Series
London School of Economics & Political Science (LSE) - London School of Economics, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Students and University of Oxford, Students
Downloads 211
31.

Econometric Estimation with High-Dimensional Moment Equalities

Number of pages: 50 Posted: 05 Sep 2014 Last Revised: 18 Jul 2016
Working Paper Series
Department of Economics, the Chinese University of Hong Kong
Downloads 202
32.

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

Multiple version iconThere are 2 versions of this paper

Downloads 201
33.

VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy

Number of pages: 49 Posted: 25 Jan 2018
Working Paper Series
Banca IMI, University of Pavia - Department of Economics and Business Sciences and University of Pavia - Department of Economics and Management
Downloads 197
34.

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 191
35.

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

Multiple version iconThere are 2 versions of this paper

Downloads 186
36.

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

Multiple version iconThere are 2 versions of this paper

Downloads 183
37.

Extracting Latent States from High Frequency Option Prices

Number of pages: 76 Posted: 30 May 2017
Working Paper Series
Wilfrid Laurier University, Simon Fraser University and HEC Montreal - Department of Decision Sciences
Downloads 181
38.

Sequence Classification of the Limit Order Book Using Recurrent Neural Networks

Number of pages: 20 Posted: 23 Jul 2017
Working Paper Series
Illinois Institute of Technology - Stuart School of Business, IIT
Downloads 176
39.

ICT Adoption by Micro and Small Scale Enterprises in Nigeria: A Case Study of the Federal Capital Territory, Abuja

Number of pages: 25 Posted: 13 Apr 2017 Last Revised: 01 May 2017
Working Paper Series
Covenant University and Covenant University
Downloads 172
40.

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
McGill University and McGill University - Department of Economics
Downloads 158
41.

Probabilistic Forecasting with Stationary VAR Models

Number of pages: 18 Posted: 04 Aug 2016
Working Paper Series
Monetary and Banking Research Institute (MBRI)
Downloads 152
42.

Big Data Analytics: A New Perspective

CESifo Working Paper Series No. 5824
Number of pages: 84 Posted: 21 Apr 2016
Working Paper Series
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

Multiple version iconThere are 3 versions of this paper

Downloads 149
43.

Credit Risk Analysis Using Machine and Deep Learning Models

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 08/WP/2018
Number of pages: 32 Posted: 17 Apr 2018
Working Paper Series
Labex ReFi, Universite Paris 1 Pantheon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads 149
44.

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
Michigan State University - Department of Economics and Michigan State University, Department of Economics
Downloads 149
45.

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: 61 Posted: 23 Feb 2017 Last Revised: 01 Nov 2017
Working Paper Series
University of Chicago - Booth School of Business, Princeton University and University of Chicago - Booth School of Business
Downloads 144
46.

Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models

Number of pages: 33 Posted: 20 Mar 2017 Last Revised: 28 Nov 2017
Working Paper Series
London School of Economics and Political Science, ECARES, Universite Libre de Bruxelles and Department of Economics, Lancaster University Management School
Downloads 143
47.

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

Number of pages: 47 Posted: 17 Sep 2015
Working Paper Series
University of Manchester - Alliance Manchester Business School and University of Reading - ICMA Centre
Downloads 140
48.

Is Industrial Production Still the Dominant Factor for the US Economy? Evidence from a New Class of Mixed Frequency (Group) Factor Models

Swiss Finance Institute Research Paper No. 16-11
Number of pages: 79 Posted: 13 Feb 2016 Last Revised: 16 Apr 2018
Working Paper Series
University of Cyprus - Department of Economics, University of Lugano and Swiss Finance Institute, University of North Carolina Kenan-Flagler Business School and University of Bristol

Multiple version iconThere are 2 versions of this paper

Downloads 138
49.

A Structural Topic Model of the Features and the Cultural Origins of Bacon's Ideas

Number of pages: 53 Posted: 03 Apr 2017 Last Revised: 22 Oct 2017
Working Paper Series
Washington and Lee University - Department of Economics and University of Maryland - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 134
50.

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

Handbook of Investors' Behavior during Financial Crises, Chapter 22, pp. 401-417, 2017, DOI: 10.1016/B978-0-12-811252-6.00022-0
Number of pages: 29 Posted: 16 Nov 2016 Last Revised: 30 Aug 2017
Accepted Paper Series
University of Liverpool - Department of Mathematical Sciences and Institute for Risk and Uncertainty, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 133