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JEL Code: D5

636,368 Total downloads

Viewing: 1 - 50 of 3,630 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 Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 18,284
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 Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 16,486
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 Engineering
Downloads 10,506
4.

Games, Fixed Points and Mathematical Economics

Number of pages: 134 Posted: 29 Mar 2007
Working Paper Series
University of Glasgow
Downloads 8,070
5.

The Economics of Privacy

Journal of Economic Literature, Vol. 52, No. 2, 2016
Number of pages: 64 Posted: 07 Feb 2020 Last Revised: 07 Feb 2020
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 7,580
6.

Discerning Information from Trade Data

Journal of Financial Economics, 120(2), pp. 269-286. May 2016
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 Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,057
7.

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 Engineering and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 5,553
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 Engineering
Downloads 5,248
9.

Spam Works: Evidence from Stock Touts and Corresponding Market Activity

Berkman Center Research Publication No. 2006-11
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 5,176
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 Engineering
Downloads 4,482
11.

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

AFA 2002 Atlanta Meetings; NYU Finance Working Paper
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 4,414
12.

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 4,062
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 Engineering
Downloads 4,052
14.

Gcapm (I): A Microeconomic Theory of Investments

Number of pages: 40 Posted: 26 Mar 2003
Working Paper Series
Fan Asset Management
Downloads 3,829
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 Engineering
Downloads 3,749
16.

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 Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,484
17.

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 Engineering
Downloads 3,442
18.

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 3,357
19.

IFRS and Environmental Accounting

Number of pages: 34 Posted: 04 Dec 2009
Working Paper Series
Metropolitan State University of Denver
Downloads 3,097
20.

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, Milgard School of Business-Accounting, Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)
Downloads 2,966
21.

VPIN and the Flash Crash: A Comment

Journal of Financial Markets, Forthcoming
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 Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,897
22.

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 2,856
23.

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 Engineering
Downloads 2,682
24.

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 2,560
25.

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 Engineering and Universidad Complutense de Madrid (UCM)
Downloads 2,493
26.

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 2,378
27.

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 2,343
28.

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
Downloads 2,322
29.

What Factors Give Cryptocurrencies Their Value: An Empirical Analysis

Number of pages: 6 Posted: 18 Mar 2015 Last Revised: 04 Jan 2016
Working Paper Series
University of Wisconsin - Madison - Department of Sociology
Downloads 2,279
30.

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 2,272
31.

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 2,256
32.

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

NET Institute Working Paper No. 08-43
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 2,226
33.

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 2,177
34.

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 2,164
35.

Monopoly Power and the Firm's Valuation: A Dynamic Analysis of Short Versus Long-Term Policies

MIT Sloan Working Paper No. 4234-01; EFA 2001 Barcelona Meetings; AFA 2001 New Orleans Meetings
Number of pages: 32 Posted: 16 Sep 2000
Working Paper Series
London Business School and London Business School

Multiple version iconThere are 3 versions of this paper

Downloads 2,075
36.

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 VU Amsterdam
Downloads 2,004
37.

Sustainable and Unchallenged Algorithmic Tacit Collusion

University of Tennessee Legal Studies Research Paper No. 366
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 2,001
38.

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

Number of pages: 30 Posted: 03 Mar 2017 Last Revised: 31 Aug 2017
Working Paper Series
Stuart School of Business, Illinois Institute of Technology
Downloads 1,990
39.

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 1,985
40.

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 1,975
41.

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
Organization for Economic Co-Operation and Development (OECD) - Directorate for Science, Technology and Industry (STI) and Universidade Estadual de Londrina
Downloads 1,921
42.

Real Anomalies

Journal of Finance, August 2019
Number of pages: 74 Posted: 16 Mar 2016 Last Revised: 25 Sep 2019
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 1,877
43.

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 Engineering
Downloads 1,870
44.

The CAPM and Beta in an Imperfect Market

Number of pages: 5 Posted: 07 Apr 2003
Working Paper Series
University of Tennessee, Knoxville - Department of Finance and University of Massachusetts Lowell - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,840
45.

The Illusion of the Perpetual Money Machine

Swiss Finance Institute Research Paper No. 12-40
Number of pages: 30 Posted: 21 Dec 2012
Working Paper Series
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,785
46.

Functional Forms for Tractable Economic Models and the Cost Structure of International Trade

Number of pages: 61 Posted: 26 Sep 2018 Last Revised: 26 Sep 2018
Working Paper Series
University of Tokyo - Graduate School of Economics and Microsoft
Downloads 1,773
47.

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

Columbia Law Review, Vol. 108, p. 231, 2008
Number of pages: 47 Posted: 06 Jun 2007 Last Revised: 29 Sep 2009
Accepted Paper Series
Stanford Law School and Cornell Law School
Downloads 1,752
48.

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 1,707
49.

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 1,675
50.

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 1,651