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JEL Code: D5

776,979 Total downloads

Viewing: 1 - 50 of 4,017 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: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 18,651
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, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 16,989
3.

The Sharpe Ratio Efficient Frontier

Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of pages: 36 Posted: 24 Apr 2011 Last Revised: 07 May 2020
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 14,012
4.

The Economics of Privacy

Journal of Economic Literature, 54(2): 442-492 (2016), Sloan Foundation Economics Research Paper No. 2580411
Number of pages: 53 Posted: 07 Feb 2020 Last Revised: 05 Nov 2021
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 9,137
5.

Games, Fixed Points and Mathematical Economics

Number of pages: 134 Posted: 29 Mar 2007
Working Paper Series
University of Glasgow
Downloads 8,305
6.

Explainable AI Models of Stock Crashes: A Machine-Learning Explanation of the Covid March 2020 Equity Meltdown

Université Paris-Dauphine Research Paper No. 3809308
Number of pages: 18 Posted: 22 Mar 2021 Last Revised: 22 Feb 2022
Working Paper Series
AI For Alpha, affiliation not provided to SSRN, Université Paris Dauphine, Université Paris Dauphine and AI For Alpha
Downloads 7,377
7.

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, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 7,105
8.

An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization

Algorithms, 6(1), pp.169-196, 2013
Number of pages: 29 Posted: 08 Jan 2013 Last Revised: 02 Jan 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 6,714
9.

Adaptive Learning for Financial Markets Mixing Model-Based and Model-Free RL for Volatility Targeting

Forthcoming in AAMAS ALA 2021 workshop, Machine Learning Group, LAMSADE, Dauphine University, MILES Working paper
Number of pages: 10 Posted: 30 Apr 2021 Last Revised: 14 Jun 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, Lombard Odier Investment Management and Lombard Odier Investment Managers
Downloads 6,624
10.

Ten Financial Applications of Machine Learning (Seminar Slides)

Number of pages: 27 Posted: 18 Jun 2018 Last Revised: 27 Feb 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 6,400
11.

Advances in Cointegration and Subset Correlation Hedging Methods

Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37 Posted: 08 Aug 2011 Last Revised: 31 Jan 2014
Accepted Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 6,250
12.

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 5,274
13.

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
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,794
14.

A Model of Credit Risk, Optimal Policies, and Asset Prices

Number of pages: 45 Posted: 21 Mar 2001
Working Paper Series
London Business School and New York University (NYU) - Department of Finance

Multiple version iconThere are 5 versions of this paper

Downloads 4,435
15.

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
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,269
16.

Balanced Baskets: A New Approach to Trading and Hedging Risks

Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44 Posted: 24 May 2012 Last Revised: 08 Sep 2012
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,164
17.

A Comparative Study of Portfolio Insurance

London Business School Working Paper IFA 344
Number of pages: 24 Posted: 22 Dec 2001
Working Paper Series
London Business School
Downloads 4,101
18.

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, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,948
19.

Gcapm (I): A Microeconomic Theory of Investments

Number of pages: 40 Posted: 26 Mar 2003
Working Paper Series
Fan Asset Management
Downloads 3,871
20.

Credit Scoring with Social Network Data

Yanhao Wei, Pinar Yildirim, Christophe Van den Bulte, Chrysanthos Dellarocas (2016) Credit Scoring with Social Network Data. Marketing Science 35(2):234-258.
Number of pages: 26 Posted: 03 Aug 2014 Last Revised: 02 Mar 2018
Accepted Paper Series
University of Southern California - Marshall School of Business, University of Pennsylvania - The Wharton School, University of Pennsylvania - Marketing Department and Boston University, Questrom School of Business - Department of Information Systems
Downloads 3,828
21.

Managing Risks in a Risk-On/Risk-Off Environment

Number of pages: 50 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,483
22.

IFRS and Environmental Accounting

Number of pages: 34 Posted: 04 Dec 2009
Working Paper Series
Metropolitan State University of Denver
Downloads 3,246
23.

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, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 3,130
24.

Financial Statement Analysis: A Data Envelopment Analysis Approach

Number of pages: 11 Posted: 08 Aug 2008 Last Revised: 28 Nov 2018
Accepted Paper Series
University of Washington Tacoma, Milgard School of Business-Accounting, Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)
Downloads 3,107
25.

Asset Pricing with Heterogeneous Beliefs

Number of pages: 35 Posted: 30 Nov 2003
Working Paper Series
London Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,964
26.

What Factors Give Cryptocurrencies Their Value: An Empirical Analysis

Number of pages: 6 Posted: 18 Mar 2015 Last Revised: 25 Mar 2021
Working Paper Series
University of Wisconsin - Madison - Department of Sociology
Downloads 2,938
27.

Microstructure in the Machine Age

Number of pages: 63 Posted: 25 Mar 2019
Working Paper Series
Cornell University - Department of Economics, Harvard University, Cornell University - Samuel Curtis Johnson Graduate School of Management and New York University (NYU) - NYU Tandon School of Engineering
Downloads 2,835
28.

The Foundations of Securities Law

Number of pages: 30 Posted: 06 Feb 2008 Last Revised: 13 Feb 2009
Working Paper Series
European University Institute (EUI)
Downloads 2,788
29.

Sustainable and Unchallenged Algorithmic Tacit Collusion

University of Tennessee Legal Studies Research Paper No. 366, Oxford Legal Studies Research Paper No. 16/2019, 17 Northwestern Journal of Technology and Intellectual Property 217 (2020)
Number of pages: 47 Posted: 06 Dec 2018 Last Revised: 09 Mar 2020
Accepted Paper Series
University of Oxford - Faculty of Law and University of Tennessee College of Law
Downloads 2,765
30.

The Strategy Approval Decision: A Sharpe Ratio Indifference Curve Approach

Algorithmic Finance, (2013) 2:1, 99-109
Number of pages: 12 Posted: 15 Feb 2012 Last Revised: 20 Jan 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Universidad Complutense de Madrid (UCM)
Downloads 2,739
31.

Estimação da Matriz Insumo-Produto Utilizando Dados Preliminares das Contas Nacionais: Aplicação e Análise de Indicadores Econômicos para o Brasil em 2005 (Using Data from the System of National Accounts to Estimate Input-Output Matrices: An Application Using Brazilian Data for 2005)

Number of pages: 10 Posted: 11 May 2011 Last Revised: 03 Aug 2011
Working Paper Series
University of Sao PauloOrganization for Economic Co-Operation and Development (OECD) - Directorate for Science, Technology and Industry (STI) and Universidade Estadual de Londrina
Downloads 2,660
32.

Screening in New Credit Markets: Can Individual Lenders Infer Borrower Creditworthiness in Peer-to-Peer Lending?

AFA 2011 Denver Meetings Paper
Number of pages: 42 Posted: 15 Mar 2010
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Harvard University - Harvard Kennedy School (HKS), Dartmouth College and Yale School of Management
Downloads 2,600
33.

An Equilibrium Model of Blockchain-Based Cryptocurrencies

Number of pages: 36 Posted: 11 Apr 2018 Last Revised: 09 Jun 2020
Working Paper Series
SKEMA Business School - Univ Cote d'Azur
Downloads 2,596
34.

Do Social Networks Solve Information Problems for Peer-to-Peer Lending? Evidence from Prosper.com

NET Institute Working Paper No. 08-43, Indiana University, Bloomington: School of Public & Environmental Affairs Research Paper No. 2008-11-06
Number of pages: 65 Posted: 01 Oct 2011
Working Paper Series
Indiana University Bloomington - School of Public & Environmental Affairs (SPEA) and University of Maryland - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 2,490
35.

Credit Cards and Inflation

Cowles Foundation Discussion Paper No. 1709
Number of pages: 51 Posted: 18 Jun 2009
Working Paper Series
Yale University and SUNY Stony Brook - Center for Game Theory in Economics
Downloads 2,471
36.

Perspectives in ESG equity investing

Number of pages: 81 Posted: 13 Nov 2020 Last Revised: 10 Mar 2021
Working Paper Series
EMLYON Business School
Downloads 2,444
37.

Reintermediation in FinTech: Evidence from Online Lending

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-17, 31st Australasian Finance and Banking Conference 2018
Number of pages: 60 Posted: 18 Jun 2018 Last Revised: 11 Aug 2019
Working Paper Series
Emory University - Goizueta Business School and University of Toronto - Finance Area
Downloads 2,426
38.

The Institutional Nature of Price Bubbles

Number of pages: 24 Posted: 01 Feb 2007 Last Revised: 28 Jan 2008
Working Paper Series
University of Texas at Dallas and Northwestern University - Kellogg School of Business
Downloads 2,400
39.

Market Microstructure in the Age of Machine Learning

Number of pages: 48 Posted: 11 Jun 2018
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,392
40.

The Perception of Time, Risk and Return During Periods of Speculation

Number of pages: 37 Posted: 11 Jan 2002
Working Paper Series
Columbia University
Downloads 2,303
41.

Risk Analysis of Accounting Information System Infrastructure

Number of pages: 12 Posted: 15 Feb 2011
Working Paper Series
"Alexandru Ioan Cuza" University - Ia?i, România - Faculty of Economics and Business Administration - Doctoral School of Economics
Downloads 2,262
42.

Equity Valuation: A Survey of Professional Practice

Number of pages: 26 Posted: 09 Sep 2015
Working Paper Series
CFA Institute, AACSB International and Ohio University
Downloads 2,250
43.

Endogenous Uncertainty in a General Equilibrium Model with Price Contingent Contracts

Number of pages: 56 Posted: 01 Feb 1997
Working Paper Series
Stanford University - Department of Economics and National Taiwan University - Department of International Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,188
44.

Price Pressures

Journal of Financial Economics, 2014, Vol 114, p. 405-423.
Number of pages: 33 Posted: 31 May 2009 Last Revised: 18 Feb 2015
Accepted Paper Series
University of California, Berkeley - Haas School of Business and Vrije Universiteit Amsterdam
Downloads 2,168
45.

Why Markets Are Inefficient: A Gambling ‘Theory’ of Financial Markets for Practitioners and Theorists

Number of pages: 29 Posted: 03 Mar 2017 Last Revised: 06 Jul 2021
Working Paper Series
Stuart School of Business, Illinois Institute of Technology
Downloads 2,123
46.
Downloads 2,110
47.

A Journey Through the 'Mathematical Underworld' of Portfolio Optimization

Number of pages: 26 Posted: 11 Feb 2013 Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,101
48.

Gmos, Trade Policy, and Welfare in Rich and Poor Countries

CIES Working Paper No. 21
Number of pages: 43 Posted: 14 Jul 2000
Working Paper Series
Danish Research Institute of Food Economics (FOI) - Agricultural Policy Division and University of Adelaide - Centre for International Economic Studies (CIES)
Downloads 2,075
49.

Real Anomalies

Journal of Finance, August 2019, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74 Posted: 16 Mar 2016 Last Revised: 11 Aug 2020
Accepted Paper Series
University of Pennsylvania - The Wharton School and University of Rochester - Simon Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,059
50.

Some Economic Consequences of the GDPR

Allen DWE, Berg A, Berg C, Markey-Towler B and Potts J (2019) ‘Some Economic Consequences of the GDPR’, Economics Bulletin, vol. 39, no. 2, pp. 785-797.
Number of pages: 14 Posted: 29 Apr 2018 Last Revised: 18 May 2020
Accepted Paper Series
RMIT University, RMIT University, RMIT University, Evidn and RMIT University
Downloads 2,016