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NYU Tandon School of Engineering - Department of Finance & Risk Engineering Research Paper Series
155,827 Total downloads | Link to this page

NYU Tandon School of Engineering - Department of Finance & Risk Engineering Logo
Showing Papers 1 - 50 of 73
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Incl. Electronic Paper Price Impact of Large Orders Using Hawkes Processes
NYU Tandon Research Paper No. 2874042
Lucas R. Amaral and Andrew Papanicolaou
NYU Tandon School Of Engineering and NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Date Posted: November 26, 2016
Last Revised: February 26, 2017
Working Paper Series
120 downloads

Incl. Electronic Paper Stock Index Arbitrage in the Turkish Market
Indian Journal of Finance, Vol.9, No. 11, November, 2015, pp. 7-18
Ronald T. Slivka and Canel Biryol
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Date Posted: November 14, 2015
Last Revised: June 14, 2016
Working Paper Series
105 downloads

Incl. Electronic Paper An Empirical Model of India's Nifty VIX Index
Indian Journal of Finance, Vol. 9, No. 8, pp. 7-18, NYU Poly Research Paper
Ronald T. Slivka, Shuang Gao and Jie Ren
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Date Posted: July 31, 2015
Last Revised: June 14, 2016
Accepted Paper Series
34 downloads

Incl. Electronic Paper Analysis of VIX Markets with a Time-Spread Portfolio
Applied Mathematical Finance, (2016) Vol. 23, No. 5, pp. 374-408, NYU Poly Research Paper
Andrew Papanicolaou
NYU Tandon School of Engineering, Department of Finance and Risk Engineering
Date Posted: June 16, 2015
Last Revised: March 03, 2017
Accepted Paper Series
244 downloads

Incl. Electronic Paper The Price of Granularity and Fractional Finance
NYU Poly Research Paper
Charles S. Tapiero, Oren Tapiero and Guy Jumarie
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, Concordia University, Quebec - John Molson School of Business and University of Quebec at Montreal (UQAM)
Date Posted: March 27, 2015
Working Paper Series
76 downloads

Incl. Electronic Paper Self-Serving Altruistic Consumption and International Prices
NYU Poly Research Paper
Charles S. Tapiero and Unurjargal Nyambuu
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Date Posted: January 30, 2015
Working Paper Series
29 downloads

Derivatives Within Frontier Markets
Journal of Investing, Vol. 23, No. 4, pp. 47-55, Winter 2014, DOI: 10.3905/joi.2014.23.4.047
Ronald T. Slivka and Jiayun Zhang
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and NYU Polytechnic School of Engineering
Date Posted: December 13, 2014
Accepted Paper Series

Incl. Electronic Paper Fourier Analysis of India's Implied Volatility Index
Indian Journal of Finance, Vol.8, No. 10, October 2014, pp. 7-19
Ronald T. Slivka, Chun Ho Chang and Sharon Yu
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
Date Posted: October 25, 2014
Last Revised: June 14, 2016
Accepted Paper Series
28 downloads

Incl. Electronic Paper A Financial CCAPM and Economic Inequalities
Charles S. Tapiero
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Date Posted: May 25, 2014
Working Paper Series
85 downloads

Incl. Electronic Paper Trend Following Algorithms on India's Nifty Index
Indian Journal of Finance, Vol.8, No. 1, January 2014, pp. 1-14
Ronald T. Slivka, Vishal Keswani and Xuxiang Li
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering, Polytechnic Institute of NYU and Polytechnic Institute of NYU
Date Posted: January 20, 2014
Accepted Paper Series
547 downloads

Incl. Electronic Paper Multifractional Processes in Finance
Sergio Bianchi and Augusto Pianese
University of Cassino and University of Cassino
Date Posted: September 27, 2013
Working Paper Series
120 downloads

Incl. Electronic Paper The Future of Financial Engineering
NYU Poly Research Paper
Charles S. Tapiero
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Date Posted: May 03, 2013
Last Revised: May 05, 2013
Working Paper Series
855 downloads

Incl. Electronic Paper Covered Call ETFs for BRIC Markets
Ronald T. Slivka, Sharad S. Bhat and Sridhar Nonabuhr Srinivasamurthy
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
Date Posted: March 01, 2013
Working Paper Series
587 downloads

Incl. Electronic Paper Mathematical Definition, Mapping, and Detection of (Anti)Fragility
Quantitative Finance, Forthcoming
Nassim Nicholas Taleb and Raphael Douady
NYU-Tandon School of Engineering and Riskdata
Date Posted: August 06, 2012
Last Revised: April 04, 2014
Accepted Paper Series
5612 downloads

Incl. Electronic Paper Price as a Choice Under Nonstochastic Randomness in Finance
NYU Poly Research Paper
Yaroslav Ivanenko and Bertrand Munier
Banque de France and affiliation not provided to SSRN
Date Posted: April 14, 2012
Working Paper Series
75 downloads

Incl. Electronic Paper How to Prevent Other Financial Crises
School of Advanced International Studies Review, Forthcoming
Nassim Nicholas Taleb and George A. Martin
NYU-Tandon School of Engineering and affiliation not provided to SSRN
Date Posted: March 27, 2012
Accepted Paper Series
1062 downloads

Incl. Electronic Paper Dynamic Pairs Trading Using the Stochastic Control Approach
Journal of Economic Dynamics and Control, 2013
Agnes Tourin and Raphael Yan
NYU Tandon - Department of Finance and Risk Engineering and BlackRock, Inc
Date Posted: March 09, 2012
Last Revised: February 07, 2014
Accepted Paper Series
1233 downloads

Incl. Electronic Paper Securities Transaction Tax Reduction and Stock-Futures Arbitrage in India
NYU Poly Research Paper No. 1989539
Ronald T. Slivka, Pankaj Aggarwal, Kunal K. Shastri and Raghvendra Sisodia
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
Date Posted: January 23, 2012
Last Revised: May 07, 2012
Working Paper Series
832 downloads

The Illusion of Thin-Tails Under Aggregation
Journal of Investment Management, Forthcoming
Nassim Nicholas Taleb and George A. Martin
NYU-Tandon School of Engineering and affiliation not provided to SSRN
Date Posted: January 19, 2012
Last Revised: February 02, 2015
Accepted Paper Series

Incl. Electronic Paper Arbitrage of Single Stocks Versus Futures in India
Ronald T. Slivka, Vikram Shah and Jiawei Wu
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
Date Posted: November 03, 2011
Last Revised: February 08, 2012
Working Paper Series
913 downloads

Incl. Electronic Paper Index Arbitrage in China
Journal of Indexes Europe, January/February 2012
Ronald T. Slivka, Yikai Zhang and Wenwen Zhang
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
Date Posted: November 03, 2011
Last Revised: February 07, 2012
Accepted Paper Series
1203 downloads

Incl. Electronic Paper On the Credit Risk of Secured Loans with Maximum Loan-to-Value Covenants
International Journal of Theoretical and Applied Finance, Forthcoming
Fabian Astic and Agnes Tourin
Moody's Investors Service and NYU Tandon - Department of Finance and Risk Engineering
Date Posted: October 27, 2011
Last Revised: August 07, 2014
Accepted Paper Series
182 downloads

Incl. Electronic Paper The Problem is Beyond Psychology: The Real World is More Random than Regression Analyses
International Journal of Forecasting, Forthcoming
Nassim Nicholas Taleb and Daniel G. Goldstein
NYU-Tandon School of Engineering and Microsoft Research New York City
Date Posted: October 10, 2011
Accepted Paper Series
2873 downloads

Incl. Electronic Paper NBA Chemistry: Positive and Negative Synergies in Basketball
International Journal of Computer Science in Sport, December 2013
Allan Maymin, Philip Maymin and Eugene Shen
AllianceBernstein, University of Bridgeport - School of Business and AllianceBernstein
Date Posted: September 30, 2011
Last Revised: February 11, 2016
Accepted Paper Series
847 downloads

Incl. Electronic Paper Momentum's Hidden Sensitivity to the Starting Day
Journal of Investing, Forthcoming
Philip Maymin, Zakhar Maymin and Gregg S. Fisher
University of Bridgeport - School of Business, Independent and Gerstein Fisher
Date Posted: July 31, 2011
Last Revised: June 17, 2013
Accepted Paper Series
746 downloads

Incl. Electronic Paper Constructing the Best Trading Strategy: A New General Framework
Philip Maymin and Zakhar Maymin
University of Bridgeport - School of Business and Independent
Date Posted: July 28, 2011
Last Revised: October 12, 2011
Working Paper Series
563 downloads

Incl. Electronic Paper The Iron Fist versus The Invisible Hand: Interventionism and Libertarianism in Environmental Economic Discourses
World Review of Entrepreneurship, Management and Sustainable Development, Forthcoming, NYU Poly Research Paper
Philip Maymin and Tai Wei Lim
University of Bridgeport - School of Business and National University of Singapore (NUS)
Date Posted: June 10, 2011
Last Revised: June 17, 2011
Accepted Paper Series
109 downloads

The Future Has Thicker Tails than the Past: Model Error as Branching Counterfactuals
NYU Poly Research Paper
Nassim Nicholas Taleb
NYU-Tandon School of Engineering
Date Posted: May 24, 2011
Working Paper Series

Incl. Electronic Paper Calendar Spreads in China Stock Index Futures
Journal of Indexes, pp. 42-48, May/June 2011, NYU Poly Research Paper
Ronald T. Slivka, Xin Li and Yikai Zhang
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
Date Posted: April 25, 2011
Last Revised: May 14, 2016
Accepted Paper Series
1245 downloads

Capital Allocation and Product Market Competition During a Financial Crisis
AFA 2012 Chicago Meetings Paper, NYU Poly Research Paper
Soku Byoun and Zhaoxia Xu
Baylor University and New York University
Date Posted: March 20, 2011
Last Revised: February 17, 2012
Working Paper Series

Incl. Electronic Paper Inter-Temporal Inventory Competition and the Effects of Capacity Constraints
International Journal of Production Economics, Forthcoming
Konstantin Kogan and Charles S. Tapiero
Bar-Ilan University - Department of Management and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Date Posted: March 08, 2011
Accepted Paper Series
39 downloads

Incl. Electronic Paper Markets are Efficient if and Only if P = NP
Algorithmic Finance, Vol. 1, No. 1, 2011, NYU Poly Research Paper
Philip Maymin
University of Bridgeport - School of Business
Date Posted: March 01, 2011
Accepted Paper Series
5773 downloads

Incl. Electronic Paper Past Performance is Indicative of Future Beliefs
Risk and Decision Analysis, Forthcoming, NYU Poly Research Paper
Philip Maymin and Gregg S. Fisher
University of Bridgeport - School of Business and Gerstein Fisher
Date Posted: January 26, 2011
Last Revised: April 29, 2011
Accepted Paper Series
609 downloads

Incl. Electronic Paper How Much Trouble is Early Foul Trouble? Strategically Idling Resources in the NBA
NYU Poly Research Paper
Allan Maymin, Philip Maymin and Eugene Shen
AllianceBernstein, University of Bridgeport - School of Business and AllianceBernstein
Date Posted: January 08, 2011
Last Revised: February 22, 2012
Working Paper Series
846 downloads

Incl. Electronic Paper Strategic Naval Inspection for Port Safety and Security
Kevin X. Li and Charles S. Tapiero
Hong Kong Polytechnic University - Department of Logistics and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Date Posted: December 31, 2010
Working Paper Series
57 downloads

Incl. Electronic Paper Insurance and Finance: Competition and/or Convergence
Risk and Decision Analysis, Forthcoming, NYU Poly Research Paper
Charles S. Tapiero
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Date Posted: December 29, 2010
Last Revised: March 20, 2011
Accepted Paper Series
154 downloads

Water Supply Risk, Demand Uncertainty and the Implied Price of Water Shortfall
NYU Poly Research Paper
Mirela Ivan and Charles S. Tapiero
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Date Posted: November 03, 2010
Working Paper Series

Incl. Electronic Paper Statistical Undecidability
Raphael Douady and Nassim Nicholas Taleb
Riskdata and NYU-Tandon School of Engineering
Date Posted: October 14, 2010
Last Revised: December 28, 2015
Working Paper Series
5681 downloads

Incl. Electronic Paper Long‐Term Dependency and Average Return Forecast Under MMAR (Multifractal Model of Asset Returns)
NYU Poly Research Paper
George Xiao Han
George Xiao Han
Date Posted: September 19, 2010
Working Paper Series
165 downloads

Incl. Electronic Paper Preventing Emotional Investing: An Added Value of an Investment Advisor
Journal of Wealth Management, Spring 2011, Forthcoming, NYU Poly Research Paper
Philip Maymin and Gregg S. Fisher
University of Bridgeport - School of Business and Gerstein Fisher
Date Posted: September 11, 2010
Last Revised: January 02, 2011
Accepted Paper Series
338 downloads

Why did the Crisis of 2008 Happen?
Nassim Nicholas Taleb
NYU-Tandon School of Engineering
Date Posted: August 29, 2010
Last Revised: February 02, 2015
Working Paper Series

Incl. Electronic Paper Hedging and Synthetic Funds Creation in the China Market
Journal of Indexes, pp. 50-55, September/October 2010, NYU Poly Research Paper
Ronald T. Slivka and Xin Li
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and International Monetary Fund (IMF)
Date Posted: August 27, 2010
Last Revised: January 23, 2012
Accepted Paper Series
730 downloads

Incl. Electronic Paper CDO and Structured Financial Products: A Modeling Perspective
NYU Poly Research Paper Forthcoming
Charles S. Tapiero and Daniel Totouom
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and BNP Paribas
Date Posted: July 13, 2010
Working Paper Series
893 downloads

Incl. Electronic Paper Schizophrenic Representative Investors
Complex Systems (2013), Vol. 22, No. 1, pp. 61-73
Philip Maymin
University of Bridgeport - School of Business
Date Posted: April 27, 2010
Last Revised: July 14, 2013
Accepted Paper Series
70 downloads

Incl. Electronic Paper Discrete Versus Continuous Parametrization of Bank Credit Rating Systems Optimization Using Differential Evolution
Genetic and Evolutionary Computation Conference (GECCO-2010)
K. Ming Leung and Xi Zhang
NYU-Poly and New York University (NYU) - NYU Polytechnic School of Engineering
Date Posted: April 19, 2010
Last Revised: May 13, 2010
Working Paper Series
107 downloads

Incl. Electronic Paper Any Regulation of Risk Increases Risk
Financial Markets and Portfolio Management, Forthcoming
Philip Maymin and Zakhar Maymin
University of Bridgeport - School of Business and Independent
Date Posted: April 11, 2010
Last Revised: April 22, 2012
Accepted Paper Series
516 downloads

Incl. Electronic Paper The Future of Financial Risk Management
Third Annual Conference of the Cass-Capco Institute Paper Series on Risk, London, April 19, 2010
Charles S. Tapiero
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Date Posted: March 04, 2010
Working Paper Series
894 downloads

Incl. Electronic Paper Suppliers-Led Outsourcing: An Intertemporal Hierarchical Framework
IMA Journal of Management Mathematics, Forthcoming
Konstantin Kogan and Charles S. Tapiero
Bar-Ilan University - Department of Management and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Date Posted: March 03, 2010
Accepted Paper Series
33 downloads

Incl. Electronic Paper Water Supply and Consumption Uncertainty: A Conflict-Equilibrium
Annals of Operation Research, Forthcoming
Konstantin Kogan and Charles S. Tapiero
Bar-Ilan University - Department of Management and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Date Posted: March 03, 2010
Accepted Paper Series
70 downloads

Incl. Electronic Paper Invention, Entrepreneurship and Prosperity: The Dutch Golden Age
Thijs ten Raa, Pierre Mohnen, Jan Luiten van Zanden and Bas van Leeuwen
Tilburg University - Center for Economic Research (CentER), Maastricht University - UNU-MERIT, University of Utrecht and Utrecht University, Humanities
Date Posted: December 26, 2009
Working Paper Series
94 downloads


 

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