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JEL Code: D52

170,641 Total downloads

Viewing: 1 - 50 of 655 papers

1.

The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading

The Journal of Portfolio Management, Vol. 37, No. 2, pp. 118-128, Winter 2011
Number of pages: 15 Posted: 22 Oct 2010 Last Revised: 31 Jan 2011
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 17,696
2.

Flow Toxicity and Liquidity in a High Frequency World

Review of Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012.
Number of pages: 71 Posted: 23 Oct 2010 Last Revised: 15 Apr 2012
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 15,862
3.

The Economics of Privacy

Journal of Economic Literature, Vol. 52, No. 2, 2016, Sloan Foundation Economics Research Paper No. 2580411
Number of pages: 64 Posted: 27 Mar 2015 Last Revised: 14 Jun 2016
Accepted Paper Series
Carnegie Mellon University - H. John Heinz III School of Public Policy and Management, Duke University - Department of Economics and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads 6,449
4.

Discerning Information from Trade Data

Journal of Financial Economics, 120(2), pp. 269-286. May 2016, Johnson School Research Paper Series No. 8-2012
Number of pages: 56 Posted: 23 Jan 2012 Last Revised: 16 May 2016
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 5,377
5.

Spam Works: Evidence from Stock Touts and Corresponding Market Activity

Berkman Center Research Publication No. 2006-11, Harvard Public Law Working Paper No. 135, Oxford Legal Studies Research Paper No. 43/2006
Number of pages: 44 Posted: 27 Jul 2006
Working Paper Series
Purdue University - Krannert School of Management and Harvard Law School and Harvard Kennedy School of Government
Downloads 5,124
6.

Advances in High Frequency Strategies

Doctoral Dissertation, Complutense University, Madrid, 2011
Number of pages: 42 Posted: 14 Jul 2012 Last Revised: 08 Aug 2015
Working Paper Series
AQR Capital Management, LLC
Downloads 3,590
7.

Low-Frequency Traders in a High-Frequency World: A Survival Guide

Number of pages: 41 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
AQR Capital Management, LLC
Downloads 3,373
8.

Optimal Execution Horizon

Mathematical Finance, 25(3), pp. 640-672. July 2015.
Number of pages: 43 Posted: 12 Apr 2012 Last Revised: 06 Jun 2015
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,188
9.

VPIN and the Flash Crash: A Comment

Journal of Financial Markets, Forthcoming, Johnson School Research Paper Series No. 25-2012
Number of pages: 8 Posted: 18 May 2012 Last Revised: 29 Sep 2013
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,735
10.

Ten Financial Applications of Machine Learning

Number of pages: 20 Posted: 18 Jun 2018 Last Revised: 24 Jan 2019
Working Paper Series
AQR Capital Management, LLC
Downloads 2,242
11.

Deconstructing Equity: Public Ownership, Agency Costs, and Complete Capital Markets

Columbia Law Review, Vol. 108, p. 231, 2008, ECGI - Law Working Paper No. 86/2007, Stanford Law and Economics Olin Working Paper No. 346, Columbia Law and Economics Working Paper No. 302, Boston Univ. School of Law Working Paper No. 07-25, Rock Center for Corporate Governance at Stanford University Working Paper No. 8
Number of pages: 47 Posted: 06 Jun 2007 Last Revised: 29 Sep 2009
Accepted Paper Series
Stanford Law School and Cornell Law School
Downloads 1,729
12.

Arbitrage-Based Pricing When Volatility is Stochastic

Caltech Social Science Working Paper 977
Number of pages: 41 Posted: 05 Sep 1996
Working Paper Series
University of Melbourne - Department of Finance, University of North Carolina Kenan-Flagler Business School and University of Toronto - Department of Economics
Downloads 1,693
13.

An Evolutionary Portfolio Theory

Working Paper No. 74
Number of pages: 27 Posted: 21 Jun 2001
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 1,657
14.

Incomplete Markets and Volatility

Harvard Institute of Economics Research Paper No. 1865
Number of pages: 46 Posted: 25 Sep 1998
Working Paper Series
EDHEC Business School - Department of Economics & Finance
Downloads 1,649
15.

Federal Market Information Technology in the Post Flash Crash Era: Roles for Supercomputing

Number of pages: 22 Posted: 07 Oct 2011
Working Paper Series
Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,595
16.

Incomplete Markets, Growth, and the Business Cycle

MIT Dept. of Economics Working Paper No. 00-33, Harvard Institute of Economic Research Paper No. 1910
Number of pages: 51 Posted: 19 Jan 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and EDHEC Business School - Department of Economics & Finance
Downloads 1,592
17.

A Big Data Approach to Analyzing Market Volatility

Algorithmic Finance (2013), 2:3-4, 241-267
Number of pages: 28 Posted: 07 Jun 2013
Working Paper Series
Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,458
18.

Liquidity as an Investment Style

Financial Analysts Journal, Vol. 69, No. 3, 2013
Number of pages: 34 Posted: 24 Apr 2011 Last Revised: 24 May 2013
Accepted Paper Series
Yale School of Management, University of Hong Kong, Sweetwater Digital Asset Consulting, LLC and Zebra Capital Management, LLC
Downloads 1,427
19.

CAPM Equilibria with Prospect Theory Preferences

Number of pages: 26 Posted: 21 Jul 2003 Last Revised: 06 Aug 2012
Working Paper Series
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,411
20.

Aggregation, Dividend Irrelevancy, and Earnings-Value Relations

Contemporary Accounting Research, Vol. 22, No. 2, pp. 453-480, Summer 2005
Number of pages: 47 Posted: 17 Feb 2005
Accepted Paper Series
Mellon Capital Management
Downloads 1,326
21.

Concealing the Trading Footprint: Optimal Execution Horizon

Number of pages: 45 Posted: 08 Nov 2012 Last Revised: 05 Jul 2015
Working Paper Series
AQR Capital Management, LLC
Downloads 1,282
22.

A Survey of Behavioral Finance

Journal of Banking and Finance in Austria, Vol. 1, No. 2, pp. 1-22, 2004
Number of pages: 25 Posted: 03 Sep 2010 Last Revised: 21 Mar 2012
Accepted Paper Series
Hanken School of Economics - Department of Accounting
Downloads 983
23.

Background Risk and University Endowment Funds

Number of pages: 36 Posted: 19 Feb 2007 Last Revised: 14 Feb 2010
Working Paper Series
Nanyang Technological University - Division of Finance
Downloads 980
24.

Making Markets: Network Effects and the Role of Law in the Creation of Strong Securities Markets

Southern California Law Review, Vol. 76, p. 277, 2003
Number of pages: 75 Posted: 28 Jan 2004
Accepted Paper Series
Texas A&M University School of Law
Downloads 921
25.

The Economic Trade-Offs in the Fair Value Debate

Chicago Booth Research Paper No. 09-35
Number of pages: 35 Posted: 02 Oct 2009 Last Revised: 27 Mar 2010
Working Paper Series
Booth School of Business, University of Chicago
Downloads 871
26.

Heterogeneous Beliefs, Speculation, and the Equity Premium

Journal of Finance, January 2008, EFA 2004 Maastricht Meetings Paper No. 3125, AFA 2005 Philadelphia Meetings
Number of pages: 49 Posted: 28 Jun 2004 Last Revised: 26 Nov 2008
Working Paper Series
University of Calgary - Haskayne School of Business
Downloads 849
27.

Market Microstructure in the Age of Machine Learning

Number of pages: 48 Posted: 11 Jun 2018
Working Paper Series
AQR Capital Management, LLC
Downloads 845
28.

The Role of Commercial Banks in Production of Small and Medium Enterprises (SMEs) in Pakistan

Number of pages: 21 Posted: 14 Sep 2014
Working Paper Series
Isra University, Mehran University Institute of Science, Technology and Development and Isra University
Downloads 823
29.

Liquidity, Default and Crashes: Endogenous Contracts in General Equilibrium

Cowles Foundation Discussion Paper No. 1316
Number of pages: 36 Posted: 27 Sep 2001
Working Paper Series
Yale University - Cowles Foundation
Downloads 788
30.

Exploring Irregular Time Series Through Non-Uniform Fast Fourier Transform

Proceedings of the International Conference for High Performance Computating, IEEE, 2014.
Number of pages: 26 Posted: 30 Aug 2014 Last Revised: 05 Mar 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory (Berkeley Lab), AQR Capital Management, LLC, Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 774
31.

Open End Real Estate Funds - Diamond or Danger?

Number of pages: 36 Posted: 30 Mar 2006
Working Paper Series
University of Regensburg - International Real Estate Business School (IREBS) and University of Frankfurt
Downloads 772
32.

Data Mining for Overreaction in Financial Markets

PROCEEDINGS OF THE IASTED INTERNATIONAL CONFERENCE ON SOFTWARE ENGINEERING AND APPLICATIONS (SEA), Phoenix, AZ, November 14-16, 2005, W.-T. Tsai and M.H. Hamza, eds., Vol. 467, pp. 28-35, ACTA Press, 2005
Number of pages: 8 Posted: 01 Jun 2009 Last Revised: 05 Jun 2009
Accepted Paper Series
Istanbul Technical University, Department of Mathematical Engineering and University of Pittsburgh - Department of Mathematics
Downloads 754
33.

Some Economic Consequences of the GDPR

Number of pages: 9 Posted: 29 Apr 2018 Last Revised: 27 May 2018
Working Paper Series
RMIT University, RMIT University - School of Economics, Finance and Marketing, RMIT University - School of Economics, Finance and Marketing, University of Queensland - School of Economics and RMIT University
Downloads 743
34.

Do Accounting Measurement Regimes Matter? A Discussion of Mark-to-Market Accounting and Liquidity Pricing

Journal of Accounting & Economics (JAE), Vol. 45, No. 2 & 3, pp. 379-387, 2008
Number of pages: 17 Posted: 30 Jul 2008 Last Revised: 21 Sep 2008
Working Paper Series
Booth School of Business, University of Chicago
Downloads 737
35.

Financial System - Definition and Functions

Bank i Kredyt, No. 10/2007
Number of pages: 13 Posted: 01 Apr 2008
Working Paper Series
Poznan University of Economics
Downloads 726
36.

Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?

Number of pages: 32 Posted: 13 Aug 2003 Last Revised: 15 May 2011
Working Paper Series
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration

Multiple version iconThere are 2 versions of this paper

Downloads 711
37.

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

EFA 0278
Number of pages: 63 Posted: 24 Aug 2000
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School

Multiple version iconThere are 3 versions of this paper

Downloads 705
38.

Rise in German Wholesale Electricity Prices: Fundamental Factors, Exercise of Market Power, or Both?

IWE Working Paper No. 02
Number of pages: 23 Posted: 30 Aug 2006
Working Paper Series
University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - Institute of Economics
Downloads 683
39.

Multiplicity in General Financial Equilibrium with Portfolio Constraints

PIER Working Paper No. 06-012
Number of pages: 35 Posted: 27 Mar 2006
Working Paper Series
London Business School, London Business School, University of Pennsylvania, School of Arts & Sciences, Department of Economics (deceased) and University of Pennsylvania - Department of Economics

Multiple version iconThere are 3 versions of this paper

Downloads 678
40.

Dynamic Efficiency, the Riskless Rate and Debt Ponzi Games Under Uncertainty

MIT Department of Economics Working Paper No. 01-41
Number of pages: 22 Posted: 17 Nov 2001
Working Paper Series
National Bureau of Economic Research (NBER) and Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)

Multiple version iconThere are 2 versions of this paper

Downloads 662
41.

A Model to Analyse Financial Fragility

Economic Theory, Forthcoming
Number of pages: 33 Posted: 11 Mar 2005
Accepted Paper Series
London School of Economics & Political Science (LSE) - Financial Markets Group, London School of Economics & Political Science (LSE) - Department of Economics and University of Oxford - Said Business School and St. Edmund Hall
Downloads 652
42.

Approximating Equilibria with Ex-Post Heterogeneity and Aggregate Risk

Swiss Finance Institute Research Paper No. 17-63
Number of pages: 45 Posted: 21 Jun 2015 Last Revised: 13 Feb 2019
Working Paper Series
University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 652
43.

An Evolutionary Approach to Financial Innovation

Zurich IEER Working Paper No. 35
Number of pages: 39 Posted: 26 Jul 2000
Working Paper Series
University of Zurich - Department of Economics and University of Zurich - Department of Banking and Finance
Downloads 643
44.

Some Aspects of the Economics of Catastrophe Risk Insurance

CESifo Working Paper Series No. 1409
Number of pages: 26 Posted: 17 Feb 2005
Working Paper Series
University of Toulouse 1 - Industrial Economic Institute (IDEI)
Downloads 623
45.

Market Selection and Survival of Investment Strategies

Zurich IEER Working Paper No. 91
Number of pages: 23 Posted: 14 Nov 2001
Working Paper Series
University of Arizona - Department of Economics, University of Manchester - Department of Economics, University of Manchester - Economics, School of Social Sciences and University of Zurich - Department of Banking and Finance
Downloads 610
46.

Collateral Constraints and Asset Prices

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 63 Posted: 14 Nov 2015 Last Revised: 21 Jan 2019
Working Paper Series
London School of Economics and Political Science and London School of Economics and Political Science
Downloads 604
47.

Asset Pricing with Heterogeneous Investors and Portfolio Constraints

Number of pages: 36 Posted: 18 Mar 2010 Last Revised: 09 Dec 2014
Working Paper Series
London School of Economics and Political Science
Downloads 568
48.

The Equity Premium and the One Percent

Number of pages: 65 Posted: 17 Mar 2014 Last Revised: 31 May 2018
Working Paper Series
University of California, San Diego (UCSD) - Department of Economics and University of Virginia - Darden School of Business
Downloads 568
49.

Financial Innovation, Market Participation and Asset Prices

Harvard Institute of Economic Research Paper No. 1928
Number of pages: 47 Posted: 04 Oct 2001
Working Paper Series
EDHEC Business School - Department of Economics & Finance, University of San Andres (UMSA) - Department of Economics and Stockholm School of Economics - Department of Finance

Multiple version iconThere are 4 versions of this paper

Downloads 565
50.

The Co-evolution of Capabilities and Transaction Costs: Explaining the Institutional Structure of Production

Strategic Management Journal, Forthcoming
Number of pages: 38 Posted: 21 May 2005
Accepted Paper Series
London Business School and University of Pennsylvania - Management Department
Downloads 544