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Stevens Institute of Technology School of Business

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Viewing: 1 - 50 of 268 papers

1.

A Closed-form Model-free Implied Volatility Formula through Delta Sequences

Number of pages: 23 Posted: 06 May 2020
Working Paper Series
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and New Jersey Institute of Technology
Downloads 40
2.

COVID-19 and the Equity Market. A March 2020 Tale

Number of pages: 13 Posted: 03 Apr 2020
Working Paper Series
Stevens Institute of Technology and Stevens Institute of Technology - School of Business
Downloads 174
3.

A Panel Data Study to Understand the Factors Affecting HDI in BRICS Nations

Number of pages: 50 Posted: 23 Mar 2020 Last Revised: 29 Apr 2020
Working Paper Series
University of Delhi, College of Vocational Studies and College of Vocational Studies
Downloads 7
4.

SHIFT: A Highly Realistic Financial Market Simulation Platform

6th International Symposium in Computational Economics and Finance, Paris, October 29-31, 2020
Number of pages: 23 Posted: 20 Mar 2020 Last Revised: 18 May 2020
Working Paper Series
Stevens Institute of Technology, Stevens Institute of Technology - School of Business, affiliation not provided to SSRN and Stevens Institute of Technology
Downloads 53
5.

Extracting Information From the Limit Order Book: New Measures to Evaluate Equity Data Flow

Ye, Ziwen, and Ionuţ Florescu. "Extracting information from the limit order book: New measures to evaluate equity data flow." High Frequency 2.1: 37-47, 2019,
Number of pages: 20 Posted: 20 Mar 2020
Accepted Paper Series
Stevens Institute of Technology and Stevens Institute of Technology - School of Business
Downloads 14
6.

Decentralized Governance of Blockchain Platforms

Stevens Institute of Technology School of Business Research Paper
Number of pages: 58 Posted: 19 Mar 2020
Accepted Paper Series
Stevens Institute of Technology - School of Business, Florida State University - College of Business and Villanova University - School of Business
Downloads 29
7.

Crowds and Machines: Systems for Social Creativity

Nickerson J.V. and Yu, L. Crowds and Machines: Systems for Social Creativity. In the Workshop on Semi-Automated Creativity: Software as a Creative Collaborator at the ACM SIGCHI Conference on Creativity and Cognition, 2011
Number of pages: 4 Posted: 22 Jan 2020
Accepted Paper Series
Stevens Institute of Technology - School of Business and Carnegie Mellon University
Downloads 66
8.

Going Meta: Design Space and Evaluation Space in Software Design

Nickerson, J.V. and Yu, L. Going Meta: Design Space and Evaluation Space in Software Design, Petre, M. and van der Hoek, A. (eds.). Software Designers in Action, CRC Press, 2012
Number of pages: 34 Posted: 22 Jan 2020
Accepted Paper Series
Stevens Institute of Technology - School of Business and Carnegie Mellon University
Downloads 84
9.

An Internet-Scale Idea Generation System

ACM Transactions on Interactive Intelligent Systems, 3(1), Article 2, 2013
Number of pages: 26 Posted: 22 Jan 2020 Last Revised: 22 Jan 2020
Accepted Paper Series
Carnegie Mellon University and Stevens Institute of Technology - School of Business
Downloads 178
10.

Cognitive Tools Shape Thought: Diagrams in Design

Cognitive Processing, Volume 14, Issue 3 (2013), pp. 255-272, Howe School Research Paper No. 2013–7,
Number of pages: 50 Posted: 22 Jan 2020 Last Revised: 22 Jan 2020
Accepted Paper Series
Stevens Institute of Technology - School of Business, Columbia University - Teachers' College, Columbia University - Teachers' College, Pearson Education, Council for Aid to Education (CAE) and Carnegie Mellon University
Downloads 203
11.

Toward a Social-Technological System that Inactivates False Rumors Through the Critical Thinking of Crowds

Proceedings of the 46th Hawaii International Conference on System Sciences (HICSS-46), 649-658
Number of pages: 10 Posted: 22 Jan 2020 Last Revised: 22 Jan 2020
Accepted Paper Series
National Institute of Informatics, AXA Direct Japan and Chiba University
Downloads 734
12.

Information and Loyalty in Sequential Agency

Stevens Institute of Technology School of Business Research Paper
Number of pages: 31 Posted: 24 Dec 2019 Last Revised: 12 Feb 2020
Working Paper Series
Stevens Institute of Technology - School of Business and Santa Clara University - Leavey School of Business
Downloads 19
13.

Buying Manipulation around Seasoned Equity Offerings

Stevens Institute of Technology School of Business Research Paper
Number of pages: 50 Posted: 25 Nov 2019
Working Paper Series
Stevens Institute of Technology, University of Oxford - Said Business School and Stevens Institute of Technology - School of Business
Downloads 44
14.

Blockchain Disruption and Decentralized Finance: The Rise of Decentralized Business Models

Journal of Business Venturing Insights, Forthcoming, Stevens Institute of Technology School of Business Research Paper
Number of pages: 22 Posted: 19 Nov 2019
Working Paper Series
Stevens Institute of Technology - School of Business and Auckland Business School, Management and International Business
Downloads 104
15.

The Effect of Lean Operations on Financial Distress: A Dynamic Perspective

Stevens Institute of Technology School of Business Research Paper
Posted: 18 Nov 2019
Working Paper Series
Istanbul Sehir University, Stevens Institute of Technology and University of Notre Dame
16.

Direct and Indirect Benefits of Introducing Purchase Verification in E-commerce Platforms: Evidence from a Natural Experiment

Stevens Institute of Technology School of Business Research Paper
Number of pages: 39 Posted: 11 Nov 2019 Last Revised: 26 May 2020
Working Paper Series
Boston College, Stevens Institute of Technology - School of Business and Boston College
Downloads 32
17.

From Lurkers to Workers: Predicting Voluntary Contribution and Community Welfare

Information Systems Research (Forthcoming), Stevens Institute of Technology School of Business Research Paper
Number of pages: 48 Posted: 20 Oct 2019
Working Paper Series
Boston College, Stevens Institute of Technology - School of Business and Boston College - Carroll School of Management
Downloads 67
18.

Variance Risk Premium and Return Predictability: Evidence from the Chinese SSE 50 ETF Options

Stevens Institute of Technology School of Business Research Paper
Number of pages: 23 Posted: 26 Jul 2019 Last Revised: 09 Dec 2019
Working Paper Series
Stevens Institute of Technology - School of Business, University of International Business and Economics (UIBE), Stevens Institute of Technology - School of Business and University of International Business and Economics (UIBE)
Downloads 90
19.

Decentralized Finance: Blockchain Technology and the Quest for an Open Financial System

Stevens Institute of Technology School of Business Research Paper
Number of pages: 27 Posted: 12 Jul 2019 Last Revised: 09 Dec 2019
Working Paper Series
Stevens Institute of Technology - School of Business and Auckland Business School, Management and International Business
Downloads 429
20.

A Markov Chain Approximation Scheme for Option Pricing Under Skew Diffusions

Stevens Institute of Technology School of Business Research Paper
Number of pages: 31 Posted: 25 Jun 2019
Working Paper Series
Nankai University - School of Mathematical Sciences, Stevens Institute of Technology - School of Business and Nankai University - Business School
Downloads 33
21.

Pricing Discretely Monitored Barrier Options Under Markov Processes Using a Markov Chain Approximation

Stevens Institute of Technology School of Business Research Paper
Number of pages: 44 Posted: 29 May 2019
Working Paper Series
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 27
22.

Pricing Variance, Gamma and Corridor Swaps Using Multinomial Trees

Journal of Derivatives, Vol. 25, No. 2, 2017, Stevens Institute of Technology School of Business Research Paper, https://doi.org/10.3905/jod.2017.25.2.007
Posted: 20 May 2019 Last Revised: 20 May 2019
Working Paper Series
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology - School of Business
23.

On the Optimal Design of the Randomized Unbiased Monte Carlo Estimators

Stevens Institute of Technology School of Business Research Paper
Number of pages: 26 Posted: 01 May 2019
Working Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, University of Minnesota - Minneapolis and Stevens Institute of Technology - School of Business
Downloads 30
24.

Nonparametric Density Estimation by B-spline Duality

Stevens Institute of Technology School of Business Research Paper
Number of pages: 39 Posted: 08 Apr 2019
Working Paper Series
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 31
25.

Full-fledged SABR through Markov Chains

Stevens Institute of Technology School of Business Research Paper
Number of pages: 13 Posted: 14 Mar 2019
Working Paper Series
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 27
26.

Transform Analysis for Markov Processes and Applications: An Operator-based Approach

Stevens Institute of Technology School of Business Research Paper
Number of pages: 27 Posted: 07 Mar 2019
Working Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and University of Minnesota - Minneapolis
Downloads 36
27.

The Role of Product Design in Developing Brand Association

Number of pages: 15 Posted: 12 Feb 2019
Working Paper Series
Comsats University Islamabad, Department of Management Sciences, Students
Downloads 7
28.

An Insights on Talent Management and Its Prospects

Number of pages: 14 Posted: 30 Jan 2019
Working Paper Series
Rashtrasant Tukdoji Maharaj Nagpur University
Downloads 22
29.

Convergence Rate Analysis for the Continuous-Time Markov Chain Approximation of Occupation Time Derivatives and Asian Option Greeks

Stevens Institute of Technology School of Business Research Paper
Number of pages: 43 Posted: 09 Jan 2019 Last Revised: 08 May 2019
Working Paper Series
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, School of Economic Mathematics, SWUFE and Stevens Institute of Technology - School of Business
Downloads 31
30.

Double Sampling Kalman Filter with Applications in Investment Fund Reconstruction Problems

Posted: 09 Dec 2018 Last Revised: 27 Feb 2020
Working Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and Stevens Institute of Technology - School of Business
31.

Foreign Exchange Shocks and Gasoline Consumption

Energy Economics, Vol. 84, 2019
Number of pages: 36 Posted: 12 Nov 2018 Last Revised: 29 Oct 2019
Accepted Paper Series
Stevens Institute of Technology - School of Business, Khatam University and Tehran Institute for Advanced Studies (TeIAS), Khatam University
Downloads 619
32.

Circular Arbitrage Detection Using Graphs

Stevens Institute of Technology School of Business Research Paper
Number of pages: 8 Posted: 07 Nov 2018
Working Paper Series
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 146
33.

An Analytic Formula for European Options; Jump Diffusion Models with a Log Mixture Normal Jump Distribution

Stevens Institute of Technology School of Business Research Paper
Number of pages: 35 Posted: 06 Nov 2018
Working Paper Series
Stevens Institute of Technology and Stevens Institute of Technology - School of Business
Downloads 13
34.

Writing Styles Social Conformity, Firm Performance, and Earnings Persistence – A Deep Learning Approach

Stevens Institute of Technology School of Business Research Paper
Posted: 12 Sep 2018 Last Revised: 21 Nov 2018
Working Paper Series
Stevens Institute of Technology - School of Business and Xi'an Jiaotong University (XJTU) - School of Management

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35.

Learning from Failures: Optimal Contract for Experimentation and Production

Stevens Institute of Technology School of Business Research Paper
Number of pages: 55 Posted: 03 Sep 2018
Working Paper Series
University of Washington - Department of Economics, University of Washington - Department of Economics and Stevens Institute of Technology - School of Business
Downloads 142
36.

A General Framework for Time-Changed Markov Processes and Applications

Stevens Institute of Technology School of Business Research Paper
Number of pages: 34 Posted: 29 Aug 2018
Working Paper Series
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 29
37.

A Study on Brexit: Correlations and Tail Events Distribution of Liquidity Measures

"A Study on Brexit: Correlations and Tail Events Distribution of Liquidity Measures", M. Kong, A. Salighehdar and D. Bozdog, Journal of Management Science and Business Intelligence (JMSBI), Vol. 3, No. 1, July 2018, Stevens Institute of Technology School of Business Research Paper
Number of pages: 9 Posted: 02 Jul 2018
Accepted Paper Series
Zicklin School of Business, Baruch College - The City University of New York, Stevens Institute of Technology - School of Business and Stevens Institute of Technology
Downloads 47
38.

Detecting Arbitrage in the Foreign Exchange Market

Stevens Institute of Technology School of Business Research Paper
Number of pages: 24 Posted: 05 May 2018
Working Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, New Jersey Institute of Technology and University of Minnesota - Minneapolis
Downloads 201
39.

Optimal Unbiased Estimation for Expected Cumulative Cost

Stevens Institute of Technology School of Business Research Paper
Number of pages: 13 Posted: 30 Apr 2018
Working Paper Series
Stevens Institute of Technology - School of Business, University of Maryland - College Park, Department of Industrial Engineering and Management, Peking University and University of Minnesota - Minneapolis
Downloads 19
40.

Does Financial Statement Structural Comparability Affect Analysts' Forecasts?

Stevens Institute of Technology School of Business Research Paper
Number of pages: 52 Posted: 08 Mar 2018 Last Revised: 05 Feb 2020
Working Paper Series
Stevens Institute of Technology - School of Business, University of South Florida St. Petersburg, Stevens Institute of Technology and New Jersey City University
Downloads 230
41.

Epistemology Diagrams: Geometric Representation of Knowledge Management of Financial Engineering

Stevens Institute of Technology School of Business Research Paper
Posted: 08 Mar 2018
Working Paper Series
Stevens Institute of Technology
42.

Earnings-Announcement Narrative and Investor Judgment

Stevens Institute of Technology School of Business Research Paper
Number of pages: 43 Posted: 08 Mar 2018
Working Paper Series
Stevens Institute of Technology - School of Business and Lehigh University
Downloads 87
43.

Crude or Refined? Rationality of Downstream Investment for Oil-Rich Economies

Stevens Institute of Technology School of Business Research Paper
Number of pages: 49 Posted: 13 Feb 2018 Last Revised: 06 Oct 2018
Working Paper Series
Stevens Institute of Technology - School of Business and University of Vienna - Institute of Business Administration
Downloads 186
44.

On a New Parametrization Class of Solvable Diffusion Models and Transition Probability Kernels

Stevens Institute of Technology School of Business Research Paper
Number of pages: 32 Posted: 31 Jan 2018
Working Paper Series
School of Business, Stevens Institute of Technology - School of Business and Citigroup, Inc. - Citigroup Global Markets
Downloads 30
45.

Equity-Linked Annuity Pricing with Cliquet-Style Guarantees in Regime-Switching and Stochastic Volatility Models with Jumps

Insurance: Mathematics and Economics, Vol. 74, 2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 36 Posted: 05 Jan 2018
Accepted Paper Series
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 33
46.

A General Framework for Discretely Sampled Realized Variance Derivatives in Stochastic Volatility Models with Jumps

European Journal of Operational Research, 262(1), 2017, pg. 381-400, Stevens Institute of Technology School of Business Research Paper
Number of pages: 43 Posted: 05 Jan 2018
Accepted Paper Series
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 31
47.

A Unified Approach to Bermudan and Barrier Options Under Stochastic Volatility Models with Jumps

Journal of Economic Dynamics and Control, Vol. 80, 2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 41 Posted: 05 Jan 2018
Accepted Paper Series
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and Stevens Institute of Technology - School of Business
Downloads 29
48.

Watch Your Words: An Experimental Study on Communication and the Opportunity Cost of Delegation

University of Verona, Working Paper Series 18/2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 65 Posted: 20 Dec 2017 Last Revised: 30 Oct 2019
Working Paper Series
Wenlan School of Business, Ca Foscari University of Venice - Dipartimento di Economia, University of Messina and Università Carlo Cattaneo (LIUC) - Institute of Economics
Downloads 31
49.

Revenue Recognition: A Brave New World

Stevens Institute of Technology School of Business Research Paper, Fox School of Business Research Paper No. 18-007
Number of pages: 53 Posted: 19 Dec 2017 Last Revised: 10 May 2018
Working Paper Series
Temple University - Department of Accounting, Stevens Institute of Technology - School of Business and Texas A&M University - Corpus Christi
Downloads 439
50.

Cluster Analysis of Liquidity Measures in a Stock Market Using High Frequency Data

Stevens Institute of Technology School of Business Research Paper
Posted: 26 Oct 2017 Last Revised: 23 Mar 2018
Working Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, Stevens Institute of Technology and Stevens Institute of Technology - School of Business