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NYU Tandon School of Engineering - Department of Finance & Risk Engineering Research Paper Series

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Viewing: 1 - 50 of 103 papers

1.

Option Traders Use (very) Sophisticated Heuristics, Never the Black–Scholes–Merton Formula

Journal of Economic Behavior and Organization, Vol. 77, No. 2, 2011
Number of pages: 11 Posted: 11 Sep 2007 Last Revised: 16 Nov 2012
Accepted Paper Series
affiliation not provided to SSRN and NYU-Tandon School of Engineering
Downloads 55,326
2.

We Don't Quite Know What We are Talking About When We Talk About Volatility

Journal of Portfolio Management, Vol. 33, No. 4, 2007
Number of pages: 8 Posted: 14 Mar 2007 Last Revised: 16 Nov 2012
Accepted Paper Series
Microsoft Research New York City and NYU-Tandon School of Engineering
Downloads 34,648
3.

The Skin In The Game Heuristic for Protection Against Tail Events

Review of Behavioral Economics, 2014, 1: 1–21, NYU Tandon Research Paper No. 2298292,
Number of pages: 12 Posted: 26 Jul 2013 Last Revised: 27 Jun 2017
Accepted Paper Series
NYU-Tandon School of Engineering and Oxford Brookes University
Downloads 9,763
4.

The Illusions of Dynamic Replication

Quantitative Finance, Vol. 5, No. 4, pp. 323-326, August 2005
Number of pages: 5 Posted: 09 May 2005 Last Revised: 16 Nov 2012
Accepted Paper Series
Columbia University and NYU-Tandon School of Engineering
Downloads 9,576
5.

Finiteness of Variance is Irrelevant in the Practice of Quantitative Finance

Complexity, Vol. 14, Issue 3, pp. 66–76, January/February 2009,
Number of pages: 12 Posted: 09 Jun 2008 Last Revised: 16 Nov 2012
Working Paper Series
NYU-Tandon School of Engineering
Downloads 7,266
6.

Errors, Robustness, and the Fourth Quadrant

International Journal of Forecasting, Vol. 25, No. 4, 2009
Number of pages: 16 Posted: 14 Feb 2009 Last Revised: 16 Nov 2012
Accepted Paper Series
NYU-Tandon School of Engineering
Downloads 7,077
7.

Markets are Efficient if and Only if P = NP

Algorithmic Finance, Vol. 1, No. 1, 2011, NYU Poly Research Paper
Number of pages: 12 Posted: 01 Mar 2011
Accepted Paper Series
University of Bridgeport - School of Business
Downloads 5,811
8.

Statistical Undecidability

Number of pages: 3 Posted: 14 Oct 2010 Last Revised: 28 Dec 2015
Working Paper Series
Riskdata and NYU-Tandon School of Engineering
Downloads 5,760
9.

Mathematical Definition, Mapping, and Detection of (Anti)Fragility

Quantitative Finance, Forthcoming
Number of pages: 19 Posted: 06 Aug 2012 Last Revised: 04 Apr 2014
Accepted Paper Series
NYU-Tandon School of Engineering and Riskdata
Downloads 5,654
10.

Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory

NYU Tandon Research Paper No. 1701685
Number of pages: 56 Posted: 03 Nov 2010 Last Revised: 26 Jun 2017
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 3,598
11.

The Risk Externalities of Too Big to Fail

Physica A: Statistical Mechanics and its Applications 389 (17), 3503-3507
Number of pages: 8 Posted: 01 Nov 2009 Last Revised: 26 Jun 2017
Accepted Paper Series
NYU-Tandon School of Engineering and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Downloads 3,008
12.

The Problem is Beyond Psychology: The Real World is More Random than Regression Analyses

International Journal of Forecasting, Forthcoming
Number of pages: 4 Posted: 10 Oct 2011
Accepted Paper Series
NYU-Tandon School of Engineering and Microsoft Research New York City
Downloads 2,889
13.

The Decline of Violent Conflicts: What Do the Data Really Say?

The Nobel Foundation, Causes of Peace, Forthcoming, NYU Tandon Research Paper No. 2876315
Number of pages: 26 Posted: 30 Nov 2016
Working Paper Series
Delft University of Technology and NYU-Tandon School of Engineering
Downloads 2,310
14.

Static Hedging of Standard Options

NYU Tandon Research Paper No. 585451
Number of pages: 61 Posted: 02 Sep 2004
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 2,073
15.

Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions

Bloomberg Portfolio Research Paper No. 2009-03-FRONTIERS, AFA 2011 Denver Meetings Paper, NYU Tandon Research Paper No. 1306495
Number of pages: 66 Posted: 25 Nov 2008 Last Revised: 26 Jun 2017
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,879
16.

Music and the Market: Song and Stock Volatility

Number of pages: 29 Posted: 05 Nov 2008 Last Revised: 12 Oct 2011
Working Paper Series
University of Bridgeport - School of Business
Downloads 1,704
17.

On the Super-Additivity and Estimation Biases of Quantile Contributions

Physica A: Statistical Mechanics and Applications, Forthcoming, NYU Tandon Research Paper No. 2434363
Number of pages: 6 Posted: 09 May 2014 Last Revised: 27 Jun 2017
Accepted Paper Series
NYU-Tandon School of Engineering and Riskdata
Downloads 1,599
18.

Calendar Spreads in China Stock Index Futures

Journal of Indexes, pp. 42-48, May/June 2011, NYU Poly Research Paper
Number of pages: 12 Posted: 25 Apr 2011 Last Revised: 14 May 2016
Accepted Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, International Monetary Fund (IMF) and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Downloads 1,256
19.

Dynamic Pairs Trading Using the Stochastic Control Approach

Journal of Economic Dynamics and Control, 2013
Number of pages: 20 Posted: 09 Mar 2012 Last Revised: 07 Feb 2014
Accepted Paper Series
NYU Tandon - Department of Finance and Risk Engineering and BlackRock, Inc
Downloads 1,240
20.

Index Arbitrage in China

Journal of Indexes Europe, January/February 2012
Number of pages: 11 Posted: 03 Nov 2011 Last Revised: 07 Feb 2012
Accepted Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and New York University (NYU) - NYU Polytechnic School of Engineering
Downloads 1,218
21.

How to Prevent Other Financial Crises

School of Advanced International Studies Review, Forthcoming
Number of pages: 7 Posted: 27 Mar 2012
Accepted Paper Series
NYU-Tandon School of Engineering and affiliation not provided to SSRN
Downloads 1,077
22.

Unique Option Pricing Measure with Neither Dynamic Hedging nor Complete Markets

European Financial Management, Forthcoming , NYU Tandon Research Paper No. 2435916
Number of pages: 8 Posted: 14 May 2014 Last Revised: 27 Jun 2017
Accepted Paper Series
NYU-Tandon School of Engineering
Downloads 936
23.

Arbitrage of Single Stocks Versus Futures in India

Number of pages: 12 Posted: 03 Nov 2011 Last Revised: 08 Feb 2012
Working Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, New York University (NYU) - NYU Polytechnic School of Engineering and New York University (NYU) - NYU Polytechnic School of Engineering
Downloads 919
24.

CDO and Structured Financial Products: A Modeling Perspective

NYU Poly Research Paper Forthcoming
Number of pages: 51 Posted: 13 Jul 2010
Working Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and BNP Paribas
Downloads 901
25.

The Future of Financial Risk Management

Third Annual Conference of the Cass-Capco Institute Paper Series on Risk, London, April 19, 2010
Number of pages: 20 Posted: 04 Mar 2010
Working Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Downloads 896
26.

The Future of Financial Engineering

NYU Poly Research Paper
Number of pages: 23 Posted: 03 May 2013 Last Revised: 05 May 2013
Working Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Downloads 873
27.

NBA Chemistry: Positive and Negative Synergies in Basketball

International Journal of Computer Science in Sport, December 2013
Number of pages: 20 Posted: 30 Sep 2011 Last Revised: 11 Feb 2016
Accepted Paper Series
AllianceBernstein, University of Bridgeport - School of Business and AllianceBernstein
Downloads 853
28.

How Much Trouble is Early Foul Trouble? Strategically Idling Resources in the NBA

NYU Poly Research Paper
Number of pages: 24 Posted: 08 Jan 2011 Last Revised: 22 Feb 2012
Working Paper Series
AllianceBernstein, University of Bridgeport - School of Business and AllianceBernstein
Downloads 850
29.

Securities Transaction Tax Reduction and Stock-Futures Arbitrage in India

NYU Poly Research Paper No. 1989539
Number of pages: 14 Posted: 23 Jan 2012 Last Revised: 07 May 2012
Working Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, New York University (NYU) - NYU Polytechnic School of Engineering, New York University (NYU) - NYU Polytechnic School of Engineering and New York University (NYU) - NYU Polytechnic School of Engineering
Downloads 834
30.

Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer

IEEE Journal of Selected Topics in Signal Processing, Forthcoming, 2016, NYU Tandon Research Paper No. 2649376
Number of pages: 12 Posted: 24 Aug 2015 Last Revised: 26 Jun 2017
Accepted Paper Series
1QBit, 1QBit, 1QBit, New York University (NYU) - Courant Institute of Mathematical Sciences, Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 829
31.

Momentum's Hidden Sensitivity to the Starting Day

Journal of Investing, Forthcoming
Number of pages: 16 Posted: 31 Jul 2011 Last Revised: 17 Jun 2013
Accepted Paper Series
University of Bridgeport - School of Business, Independent and Gerstein Fisher
Downloads 755
32.

Hedging and Synthetic Funds Creation in the China Market

Journal of Indexes, pp. 50-55, September/October 2010, NYU Poly Research Paper
Number of pages: 9 Posted: 27 Aug 2010 Last Revised: 23 Jan 2012
Accepted Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and International Monetary Fund (IMF)
Downloads 731
33.

Quality, Risk and the Taleb Quadrants

IBM Quality & Productivity Research Conference, 2009
Number of pages: 20 Posted: 16 Jul 2009 Last Revised: 07 Oct 2009
Working Paper Series
KPA Ltd. and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Downloads 668
34.

On the Statistical Properties and Tail Risk of Violent Conflicts

Physica A., Forthcoming, NYU Tandon Research Paper No. 2675355
Number of pages: 13 Posted: 18 Oct 2015 Last Revised: 27 Jun 2017
Accepted Paper Series
Delft University of Technology and NYU-Tandon School of Engineering
Downloads 624
35.

Past Performance is Indicative of Future Beliefs

Risk and Decision Analysis, Forthcoming, NYU Poly Research Paper
Number of pages: 12 Posted: 26 Jan 2011 Last Revised: 29 Apr 2011
Accepted Paper Series
University of Bridgeport - School of Business and Gerstein Fisher
Downloads 612
36.

Covered Call ETFs for BRIC Markets

Number of pages: 13 Posted: 01 Mar 2013
Working Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, New York University (NYU) - NYU Polytechnic School of Engineering and New York University (NYU) - NYU Polytechnic School of Engineering
Downloads 589
37.

Constructing the Best Trading Strategy: A New General Framework

Number of pages: 33 Posted: 28 Jul 2011 Last Revised: 12 Oct 2011
Working Paper Series
University of Bridgeport - School of Business and Independent
Downloads 568
38.

Trend Following Algorithms on India's Nifty Index

Indian Journal of Finance, Vol.8, No. 1, January 2014, pp. 1-14
Number of pages: 15 Posted: 20 Jan 2014
Accepted Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, Polytechnic Institute of NYU and Polytechnic Institute of NYU
Downloads 556
39.

Any Regulation of Risk Increases Risk

Financial Markets and Portfolio Management, Forthcoming
Number of pages: 25 Posted: 11 Apr 2010 Last Revised: 22 Apr 2012
Accepted Paper Series
University of Bridgeport - School of Business and Independent
Downloads 517
40.

Why Do Some Firms Go Debt-Free?

Asia-Pacific Journal of Financial Studies 41, 2013
Number of pages: 39 Posted: 18 Mar 2006 Last Revised: 26 Jun 2017
Accepted Paper Series
Baylor University and New York University (NYU) - NYU Tandon School of Engineering
Downloads 444
41.

Boundedly Rational Exuberance on Commodity Markets

NYU Poly Research Paper No. 09-11
Number of pages: 31 Posted: 19 Nov 2009
Working Paper Series
affiliation not provided to SSRN
Downloads 388
42.

Prospect Theory and Fat Tails

Risk and Decision Analysis, Vol. 1, No. 3, pp. 187-195, 2009
Number of pages: 21 Posted: 08 May 2009 Last Revised: 30 Jun 2009
Accepted Paper Series
University of Bridgeport - School of Business
Downloads 368
43.

Preventing Emotional Investing: An Added Value of an Investment Advisor

Journal of Wealth Management, Spring 2011, Forthcoming, NYU Poly Research Paper
Number of pages: 14 Posted: 11 Sep 2010 Last Revised: 02 Jan 2011
Accepted Paper Series
University of Bridgeport - School of Business and Gerstein Fisher
Downloads 341
44.

The Hazards of Propping Up: Bubbles and Chaos

The International Journal of Business and Finance Research, Vol. 3, No. 2, pp. 83-93, 2009
Number of pages: 11 Posted: 12 Oct 2008 Last Revised: 30 Jan 2010
Accepted Paper Series
University of Bridgeport - School of Business
Downloads 322
45.

Self-Imposed Limits to Arbitrage

Journal of Applied Finance, Forthcoming
Number of pages: 50 Posted: 01 Feb 2008 Last Revised: 13 Apr 2011
Accepted Paper Series
University of Bridgeport - School of Business
Downloads 305
46.

Who Smoothes Dividends?

Second Singapore International Conference on Finance 2008, NYU Poly Research Paper
Number of pages: 29 Posted: 04 Feb 2008 Last Revised: 20 Jun 2011
Working Paper Series
University of Toronto - Rotman School of Management and New York University (NYU) - NYU Tandon School of Engineering
Downloads 288
47.

Energy Consumption and Environmental Pollution: A Stochastic Model

IMA Journal of Management Mathematics, Vol. 20, No. 3, pp. 263-273, 2009
Number of pages: 17 Posted: 17 Jul 2009
Accepted Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Downloads 267
48.

Analysis of VIX Markets with a Time-Spread Portfolio

Applied Mathematical Finance, (2016) Vol. 23, No. 5, pp. 374-408, NYU Poly Research Paper
Number of pages: 33 Posted: 16 Jun 2015 Last Revised: 05 Jun 2017
Accepted Paper Series
NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 263
49.

Complex Ownership and Capital Structure

Journal of Corporate Finance Forthcoming
Number of pages: 44 Posted: 18 Mar 2009 Last Revised: 04 May 2012
Accepted Paper Series
Bank of Canada and New York University (NYU) - NYU Tandon School of Engineering
Downloads 239
50.

Contracts, Governance, and Country Risk in Project Finance: Theory and Evidence

Journal of Corporate Finance, Forthcoming
Number of pages: 56 Posted: 07 Mar 2014
Accepted Paper Series
Baylor University and New York University (NYU) - NYU Tandon School of Engineering
Downloads 235