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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 87 papers

1.

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: 14 Dec 2017
Accepted Paper Series
Microsoft Research New York City and New York University (NYU) - Tandon School of Engineering
Downloads 35,362
2.

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 5,954
3.

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 Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 3,802
4.

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 New York University (NYU) - Tandon School of Engineering
Downloads 3,560
5.

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 Last Revised: 14 Dec 2017
Accepted Paper Series
New York University (NYU) - Tandon School of Engineering and Microsoft Research New York City
Downloads 2,952
6.

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 Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 2,119
7.

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 Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,966
8.

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 1,740
9.

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 1,369
10.

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 1,357
11.

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 1,333
12.

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 Finance and Risk Engineering, Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory
Downloads 1,165
13.

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 1,013
14.

The Future of Financial Engineering

NYU Poly Research Paper
Number of pages: 23 Posted: 03 May 2013 Last Revised: 07 Nov 2017
Working Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Downloads 922
15.

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 919
16.

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 910
17.

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 906
18.

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 893
19.

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 867
20.

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 843
21.

Momentum's Hidden Sensitivity to the Starting Day

Journal of Investing, Summer 2014, Vol. 23, Number 2
Number of pages: 11 Posted: 31 Jul 2011 Last Revised: 18 Jan 2018
Accepted Paper Series
University of Bridgeport - School of Business, Independent and Gerstein Fisher
Downloads 789
22.

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 681
23.

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 New York University (NYU) - Tandon School of Engineering
Downloads 664
24.

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 662
25.

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 626
26.

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 606
27.

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 584
28.

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 520
29.

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 UNSW Australia Business School, School of Banking and Finance
Downloads 456
30.

Boundedly Rational Exuberance on Commodity Markets

NYU Poly Research Paper No. 09-11
Number of pages: 31 Posted: 19 Nov 2009
Working Paper Series
IAE Sorbonne's Business School, University of Paris1
Downloads 389
31.

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 375
32.

Preventing Emotional Investing: An Added Value of an Investment Advisor

Journal of Wealth Management, Spring 2011, Forthcoming, NYU Poly Research Paper
Number of pages: 11 Posted: 11 Sep 2010 Last Revised: 18 Jan 2018
Accepted Paper Series
University of Bridgeport - School of Business and Gerstein Fisher
Downloads 352
33.

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 324
34.

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 310
35.

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 303
36.

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 UNSW Australia Business School, School of Banking and Finance
Downloads 302
37.

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 271
38.

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 UNSW Australia Business School, School of Banking and Finance
Downloads 253
39.

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 UNSW Australia Business School, School of Banking and Finance
Downloads 244
40.

Pairs Trading of Two Assets with Uncertainty in Co-Integration's Level of Mean Reversion

International Journal of Theoretical and Applied Finance, Forthcoming, NYU Tandon Research Paper No. 2762512
Number of pages: 31 Posted: 18 Apr 2016 Last Revised: 27 Jun 2017
Accepted Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 243
41.

Understanding the Complexity of Financial Systems of Systems

NYU Tandon Research Paper No. 2512307
Number of pages: 18 Posted: 22 Oct 2014 Last Revised: 27 Jun 2017
Working Paper Series
Inductive Solutions, Inc.
Downloads 237
42.

The Minimal Model of Financial Complexity

Quantitative Finance, Forthcoming
Number of pages: 16 Posted: 17 Mar 2008 Last Revised: 15 Jun 2016
Accepted Paper Series
University of Bridgeport - School of Business
Downloads 227
43.

Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions

SIAM J. Control Optim., 55(3), (2017) pp. 1534–1566., NYU Tandon Research Paper No. 2532051,
Number of pages: 32 Posted: 30 Nov 2014 Last Revised: 26 Jun 2017
Accepted Paper Series
NYU Tandon School of Engineering, Department of Finance and Risk Engineering, Princeton University - Department of Operations Research and Financial Engineering and University of California, Santa Barbara - Statistics & Applied Probablity
Downloads 214
44.

Price Impact of Large Orders Using Hawkes Processes

NYU Tandon Research Paper No. 2874042
Number of pages: 31 Posted: 26 Nov 2016 Last Revised: 26 Feb 2017
Working Paper Series
NYU Tandon School Of Engineering and NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Downloads 211
45.

Maimonides Risk Parity

Quantitative Finance Letters, Forthcoming
Number of pages: 10 Posted: 20 Oct 2013
Accepted Paper Series
University of Bridgeport - School of Business and Independent
Downloads 203
46.

Optimal Bank Management Under Capital and Liquidity Constraints

Journal of Financial Engineering, Forthcoming, NYU Tandon Research Paper No. 2279627
Number of pages: 37 Posted: 16 Jun 2013 Last Revised: 26 Jun 2017
Accepted Paper Series
Moody's Investors Service and NYU Tandon - Department of Finance and Risk Engineering
Downloads 202
47.

Data Intensive Technologies for Financial Regulatory Systems

NYU Tandon Research Paper No. 2512321
Number of pages: 13 Posted: 22 Oct 2014
Working Paper Series
Inductive Solutions, Inc.
Downloads 191
48.

On the Credit Risk of Secured Loans with Maximum Loan-to-Value Covenants

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 21 Posted: 27 Oct 2011 Last Revised: 07 Aug 2014
Accepted Paper Series
Moody's Investors Service and NYU Tandon - Department of Finance and Risk Engineering
Downloads 188
49.

Stock Index Arbitrage in the Turkish Market

Indian Journal of Finance, Vol.9, No. 11, November, 2015, pp. 7-18
Number of pages: 14 Posted: 14 Nov 2015 Last Revised: 14 Jun 2016
Working Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Downloads 188
50.

Metanoia and the Market

Advances in Behavioral Finance and Economics, Vol. 1, No. 1, pp. 27-42, Winter 2011
Number of pages: 25 Posted: 14 Oct 2008 Last Revised: 07 Mar 2011
Accepted Paper Series
University of Bridgeport - School of Business
Downloads 182