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JEL Code: C55

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1.

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 1,656
2.

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 697
3.

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
Texas A&M University School of Law
Downloads 547
4.

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 541
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
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 501
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
Princeton University - Bendheim Center for Finance, Lehigh University and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 444
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
University of Auckland - Department of Accounting and Finance
Downloads 432
8.

Instrumented Principal Component Analysis

Number of pages: 33 Posted: 09 Jun 2017 Last Revised: 11 Jun 2017
Working Paper Series
University of Chicago - Finance, Arizona State University (ASU) - Finance Department and University of Chicago, Booth School of Business, Students
Downloads 400
9.

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

Number of pages: 28 Posted: 16 Feb 2017 Last Revised: 08 Oct 2017
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 364
10.

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 360
11.

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 353
12.

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 293
13.

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 291
14.

Big Data or Big Lie

Number of pages: 5 Posted: 12 Nov 2014
Working Paper Series
Narxoz University
Downloads 288
15.

Forecasting Realised Volatility of Micex Index

Number of pages: 66 Posted: 12 Nov 2014
Working Paper Series
City University London
Downloads 280
16.

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 270
17.

Bigger Data Forecasting: A Computational Combinatorial Approach

Number of pages: 28 Posted: 25 Mar 2015 Last Revised: 29 Jun 2017
Working Paper Series
University of Oxford and University of Birmingham
Downloads 259
18.

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 246
19.

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 246
20.

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 232
21.

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 227
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
Stanford University - Management Science & Engineering
Downloads 218
23.

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 215
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
Melbourne Business School and Columbia University
Downloads 206
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
Heriot-Watt University - Department of Accountancy, Economics and Finance, University of Essex - Essex Business School and University of Glasgow - Adam Smith Business School
Downloads 206
26.

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 195
27.

Forecasting Stock Returns with Large Dimensional Factor Models

Number of pages: 46 Posted: 26 Apr 2017
Working Paper Series
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 189
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
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 172
29.

Community Detection in Partial Correlation Network Models

Number of pages: 50 Posted: 07 May 2016 Last Revised: 26 Jun 2017
Working Paper Series
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 165
30.

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 158
31.

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 157
32.

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 155
33.

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 138
34.

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 133
35.

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 131
36.

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 126
37.

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 124
38.

Sovereign Ratings Implied by Coupled CDS-Bond Market Data

Number of pages: 26 Posted: 25 Nov 2014
Working Paper Series
Scuola Normale Superiore, UniCredit Group and Scuola Normale Superiore
Downloads 120
39.

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
Al-Neelain University - Department of Economics
Downloads 114
40.

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 113
41.

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
University of Chicago - Booth School of Business, Princeton University and University of Chicago - Booth School of Business
Downloads 113
42.

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 109
43.

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
University of Cologne and Deutsche Bundesbank

Multiple version iconThere are 2 versions of this paper

Downloads 107
44.

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

Number of pages: 43 Posted: 18 Nov 2014
Working Paper Series
University of Essex - Department of Government, New York University (NYU) and University of Pittsburgh
Downloads 107
45.

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 105
46.

Probabilistic Forecasting with Stationary VAR Models

Number of pages: 18 Posted: 04 Aug 2016
Working Paper Series
Monetary and Banking Research Institute (MBRI)
Downloads 101
47.

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
Norges Bank, Free University of Bolzano and University of Glasgow - Adam Smith Business School
Downloads 99
48.

High-Frequency Price Discovery of Gold

Number of pages: 59 Posted: 21 Jun 2017
Working Paper Series
Grand Valley State University
Downloads 99
49.

Legal Protections for Personal Health Information in the Age of Big Data – A Proposal for Regulatory Framework

(2017) Ethics, Public Health and Medicine/Éthique, Médecine et Politiques Publiques vol 4, Deakin Law School Research Paper No. 17-19,
Number of pages: 20 Posted: 13 Feb 2017 Last Revised: 04 Sep 2017
Accepted Paper Series
Deakin University, Geelong, Australia - Deakin Law School and SYPAQ Systems Pty Ltd
Downloads 91
50.

Patterns of Sectoral Structural Change – Empirical Evidence from Similarity Networks

Number of pages: 56 Posted: 29 Apr 2016
Working Paper Series
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 89