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SSRN eLibrary Search Results
JEL Code: D5
474,366 Total downloads
Showing Papers 1 - 50 of 2,953
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Incl. Electronic Paper 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
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: October 22, 2010
Last Revised: January 31, 2011
Accepted Paper Series
17116 downloads

Incl. Electronic Paper Flow Toxicity and Liquidity in a High Frequency World
Review of Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012.
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: October 23, 2010
Last Revised: April 15, 2012
Accepted Paper Series
15209 downloads

Incl. Electronic Paper Games, Fixed Points and Mathematical Economics
Christian-Oliver Ewald
University of Glasgow
Date Posted: March 29, 2007
Working Paper Series
7433 downloads

Incl. Electronic Paper The Sharpe Ratio Efficient Frontier
Journal of Risk, Vol. 15, No. 2, Winter 2012/13
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Date Posted: April 24, 2011
Last Revised: April 23, 2014
Accepted Paper Series
6264 downloads

Incl. Electronic Paper Spam Works: Evidence from Stock Touts and Corresponding Market Activity
Berkman Center Research Publication No. 2006-11, Harvard Public Law Working Paper No. 135, Oxford Legal Studies Research Paper No. 43/2006
Laura Frieder and Jonathan L. Zittrain
Purdue University - Krannert School of Management and Harvard Law School and Harvard Kennedy School of Government
Date Posted: July 27, 2006
Working Paper Series
4992 downloads

Incl. Electronic Paper Advances in Cointegration and Subset Correlation Hedging Methods
Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Marcos Lopez de Prado and David Leinweber
Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory
Date Posted: August 08, 2011
Last Revised: January 31, 2014
Accepted Paper Series
4390 downloads

Incl. Electronic Paper A Model of Credit Risk, Optimal Policies, and Asset Prices
AFA 2002 Atlanta Meetings; NYU Finance Working Paper
Suleyman Basak and Alex Shapiro
London Business School and New York University (NYU) - Department of Finance
Date Posted: March 21, 2001
Working Paper Series
4342 downloads

Incl. Electronic Paper Discerning Information from Trade Data
Journal of Financial Economics, 120(2), pp. 269-286. May 2016, Johnson School Research Paper Series No. 8-2012
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: January 23, 2012
Last Revised: May 16, 2016
Accepted Paper Series
4101 downloads

Incl. Electronic Paper A Comparative Study of Portfolio Insurance
London Business School Working Paper IFA 344
Suleyman Basak London Business School
Date Posted: December 22, 2001
Working Paper Series
3910 downloads

Incl. Electronic Paper GCAPM (I): A Microeconomic Theory of Investments
Stephen C. Fan
Fan Asset Management
Date Posted: March 26, 2003
Working Paper Series
3716 downloads

Incl. Electronic Paper The Economics of Privacy
Journal of Economic Literature, Vol. 52, No. 2, 2016, Sloan Foundation Economics Research Paper No. 2580411
Alessandro Acquisti, Curtis R. Taylor and Liad Wagman
Carnegie Mellon University - Heinz College, Duke University - Department of Economics and Illinois Institute of Technology - Stuart School of Business, IIT
Date Posted: March 27, 2015
Last Revised: June 14, 2016
Accepted Paper Series
3495 downloads

Incl. Electronic Paper Advances in High Frequency Strategies
Doctoral Dissertation, Complutense University, Madrid, 2011
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: July 14, 2012
Last Revised: August 08, 2015
Working Paper Series
2750 downloads

Incl. Electronic Paper An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization
Algorithms, 6(1), pp.169-196, 2013
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Date Posted: January 08, 2013
Last Revised: January 02, 2016
Accepted Paper Series
2662 downloads

Incl. Electronic Paper Asset Pricing with Heterogeneous Beliefs
Suleyman Basak London Business School
Date Posted: November 30, 2003
Working Paper Series
2643 downloads

Incl. Electronic Paper IFRS and Environmental Accounting
Minga Negash
Metropolitan State University of Denver
Date Posted: December 04, 2009
Working Paper Series
2618 downloads

Incl. Electronic Paper Low-Frequency Traders in a High-Frequency World: A Survival Guide
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: September 23, 2012
Last Revised: May 26, 2014
Working Paper Series
2612 downloads

Incl. Electronic Paper Optimal Execution Horizon
Mathematical Finance, 25(3), pp. 640-672. July 2015.
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: April 12, 2012
Last Revised: June 06, 2015
Accepted Paper Series
2588 downloads

Incl. Electronic Paper VPIN and the Flash Crash: A Comment
Journal of Financial Markets, Forthcoming, Johnson School Research Paper Series No. 25-2012
David Easley, Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: May 18, 2012
Last Revised: September 29, 2013
Accepted Paper Series
2411 downloads

Incl. Electronic Paper FINANCIAL STATEMENT ANALYSIS: A Data Envelopment Analysis Approach
Journal of the Operational Research Society, Vol. 54, pp. 48-58, 2003
Ehsan H. Feroz, Sungsoo Kim and Raymond L. Raab
University of Washington, Tacoma-Milgard School of Business, Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)
Date Posted: August 08, 2008
Last Revised: August 26, 2014
Accepted Paper Series
2345 downloads

Incl. Electronic Paper 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.
Yanhao Wei, Pinar Yildirim, Christophe Van den Bulte and Chrysanthos Dellarocas
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
Date Posted: August 03, 2014
Last Revised: June 23, 2016
Accepted Paper Series
2277 downloads

Incl. Electronic Paper Balanced Baskets: A New Approach to Trading and Hedging Risks
Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Date Posted: May 24, 2012
Last Revised: September 08, 2012
Accepted Paper Series
2241 downloads

Incl. Electronic Paper The Perception of Time, Risk and Return During Periods of Speculation
Emanuel Derman
Columbia University
Date Posted: January 11, 2002
Working Paper Series
2174 downloads

Incl. Electronic Paper Endogenous Uncertainty in a General Equilibrium Model with Price Contingent Contracts
Mordecai Kurz and Ho-Mou Wu
Stanford University - Department of Economics and National Taiwan University - Department of International Business
Date Posted: February 01, 1997
Working Paper Series
2166 downloads

Incl. Electronic Paper The Foundations of Securities Law
Mathias M. Siems
Durham University - Durham Law School
Date Posted: February 06, 2008
Last Revised: February 13, 2009
Working Paper Series
2141 downloads

Incl. Electronic Paper 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
Anna Pavlova and Suleyman Basak
London Business School and London Business School
Date Posted: September 16, 2000
Working Paper Series
2015 downloads

Incl. Electronic Paper The Strategy Approval Decision: A Sharpe Ratio Indifference Curve Approach
Algorithmic Finance, (2013) 2:1, 99-109
David H. Bailey, Marcos Lopez de Prado and Eva del Pozo
Lawrence Berkeley National Laboratory, Guggenheim Partners, LLC and Universidad Complutense de Madrid (UCM)
Date Posted: February 15, 2012
Last Revised: January 20, 2014
Accepted Paper Series
1954 downloads

Incl. Electronic Paper The Institutional Nature of Price Bubbles
Sheen S. Levine and Edward J. Zajac
University of Texas at Dallas and Northwestern University - Kellogg School of Business
Date Posted: February 01, 2007
Last Revised: January 28, 2008
Working Paper Series
1934 downloads

Incl. Electronic Paper Risk Analysis of Accounting Information System Infrastructure
Arsenie Samoil Mihalache
"Alexandru Ioan Cuza" University - Iaşi, România - Faculty of Economics and Business Administration - Doctoral School of Economics
Date Posted: February 15, 2011
Working Paper Series
1907 downloads

Incl. Electronic Paper Credit Cards and Inflation
Cowles Foundation Discussion Paper No. 1709
John Geanakoplos and Pradeep K. Dubey
Yale University - Cowles Foundation and SUNY Stony Brook - Center for Game Theory in Economics
Date Posted: June 18, 2009
Working Paper Series
1840 downloads

Incl. Electronic Paper Price Pressures
Journal of Financial Economics, 2014, Vol 114, p. 405-423.
Terrence Hendershott and Albert J. Menkveld
University of California, Berkeley - Haas School of Business and VU University Amsterdam
Date Posted: May 31, 2009
Last Revised: February 18, 2015
Accepted Paper Series
1801 downloads

Incl. Electronic Paper The CAPM and Beta in an Imperfect Market
Ramon P. DeGennaro and Sangphill Kim
University of Tennessee, Knoxville - Department of Finance and University of Massachusetts Lowell - Department of Finance
Date Posted: April 07, 2003
Working Paper Series
1739 downloads

Incl. Electronic Paper Arbitrage-Based Pricing When Volatility is Stochastic
Caltech Social Science Working Paper 977
Peter Bossaerts, Eric Ghysels and Christian Gourieroux
California Institute of Technology, University of North Carolina Kenan-Flagler Business School and University of Toronto - Department of Economics
Date Posted: September 05, 1996
Working Paper Series
1670 downloads

Incl. Electronic Paper Deconstructing Equity: Public Ownership, Agency Costs, and Complete Capital Markets
Columbia Law Review, Vol. 108, p. 231, 2008, ECGI - Law Working Paper No. 86/2007, Stanford Law and Economics Olin Working Paper No. 346, Columbia Law and Economics Working Paper No. 302, Boston Univ. School of Law Working Paper No. 07-25, Rock Center for Corporate Governance at Stanford University Working Paper No. 8
Ronald J. Gilson and Charles K. Whitehead
Stanford Law School and Cornell Law School
Date Posted: June 06, 2007
Last Revised: September 29, 2009
Accepted Paper Series
1666 downloads

Incl. Electronic Paper Incomplete Markets and Volatility
Harvard Institute of Economics Research Paper No. 1865
Laurent E. Calvet
EDHEC Business School - Department of Economics & Finance
Date Posted: September 25, 1998
Working Paper Series
1629 downloads

Incl. Electronic Paper Managing Risks in a Risk-On/Risk-Off Environment
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: September 23, 2012
Last Revised: May 26, 2014
Working Paper Series
1604 downloads

Incl. Electronic Paper Incomplete Markets, Growth, And The Business Cycle
MIT Dept. of Economics Working Paper No. 00-33, Harvard Institute of Economic Research Paper No. 1910
George-Marios Angeletos and Laurent E. Calvet
Massachusetts Institute of Technology (MIT) - Department of Economics and EDHEC Business School - Department of Economics & Finance
Date Posted: January 19, 2001
Working Paper Series
1568 downloads

Incl. Electronic Paper An Evolutionary Portfolio Theory
Working Paper No. 74
Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Date Posted: June 21, 2001
Working Paper Series
1561 downloads

Incl. Electronic Paper Federal Market Information Technology in the Post Flash Crash Era: Roles for Supercomputing
Wes Bethel, David Leinweber, Oliver Ruebel and Kesheng Wu
Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Date Posted: October 07, 2011
Working Paper Series
1540 downloads

Incl. Electronic Paper The Illusion of the Perpetual Money Machine
Swiss Finance Institute Research Paper No. 12-40
Peter Cauwels and Didier Sornette
ETH Zürich and Swiss Finance Institute
Date Posted: December 21, 2012
Working Paper Series
1461 downloads

Incl. Electronic Paper The Equity Premium is No Puzzle
Stanford University Dept. of Economics WP# 96-004
Mordecai Kurz and Andrea Beltratti
Stanford University - Department of Economics and Bocconi University - Department of Finance
Date Posted: December 18, 1996
Working Paper Series
1460 downloads

Incl. Electronic Paper On the Role of Arbitrageurs in Rational Markets
EFA 2004 Maastricht Meetings Paper No. 2390; AFA 2004 San Diego Meetings
Benjamin Croitoru and Suleyman Basak
McGill University - Desautels Faculty of Management and London Business School
Date Posted: December 04, 2003
Working Paper Series
1443 downloads

Incl. Electronic Paper Screening in New Credit Markets: Can Individual Lenders Infer Borrower Creditworthiness in Peer-to-Peer Lending?
AFA 2011 Denver Meetings Paper
Rajkamal Iyer, Asim Ijaz Khwaja, Erzo F. P. Luttmer and Kelly Shue
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Harvard University - Harvard Kennedy School (HKS), Dartmouth College and University of Chicago - Booth School of Business
Date Posted: March 15, 2010
Working Paper Series
1414 downloads

Incl. Electronic Paper Do Social Networks Solve Information Problems for Peer-to-Peer Lending? Evidence from Prosper.Com
NET Institute Working Paper No. 08-43
Seth Freedman and Ginger Zhe Jin
Indiana University Bloomington - School of Public & Environmental Affairs (SPEA) and University of Maryland - Department of Economics
Date Posted: November 26, 2008
Working Paper Series
1408 downloads

Incl. Electronic Paper Do Social Networks Solve Information Problems for Peer-to-Peer Lending? Evidence from Prosper.com
NET Institute Working Paper No. 08-43, Indiana University, Bloomington: School of Public & Environmental Affairs Research Paper No. 2008-11-06
Seth Freedman and Ginger Zhe Jin
Indiana University Bloomington - School of Public & Environmental Affairs (SPEA) and University of Maryland - Department of Economics
Date Posted: October 01, 2011
Working Paper Series
1390 downloads

Incl. Electronic Paper Price Discovery in Financial Markets: The Case of the CAPM
Social Science Working Paper No. 1032
Peter Bossaerts, D. Kleiman and Charles R. Plott
California Institute of Technology, Lehman Brothers, New York and California Institute of Technology - Division of the Humanities and Social Sciences
Date Posted: April 07, 2000
Working Paper Series
1387 downloads

Incl. Electronic Paper Kauffman Index of Entrepreneurial Activity, 1996-2006
Robert W. Fairlie
University of California, Santa Cruz - Department of Economics
Date Posted: May 23, 2007
Working Paper Series
1383 downloads

Incl. Electronic Paper Introducing CGE Models to the Classroom Using Excel
Amy Peng
Ryerson University, Faculty of Arts - Department of Economics
Date Posted: April 16, 2007
Working Paper Series
1356 downloads

Incl. Electronic Paper The Average-Marginal Relationship and Tractable Equilibrium Forms
Michal Fabinger and E. Glen Weyl
University of Tokyo - Graduate School of Economics and Microsoft Research
Date Posted: December 30, 2012
Last Revised: October 27, 2016
Working Paper Series
1342 downloads

Incl. Electronic Paper Aggregation, Dividend Irrelevancy, and Earnings-Value Relations
Contemporary Accounting Research, Vol. 22, No. 2, pp. 453-480, Summer 2005
Kenton K. Yee
Mellon Capital Management
Date Posted: February 17, 2005
Accepted Paper Series
1314 downloads

Incl. Electronic Paper Integration vs. Outsourcing in Industry Equilibrium
CESifo Working Paper Series No. 460
Gene M. Grossman and Elhanan Helpman
Princeton University - Woodrow Wilson School of Public and International Affairs and Harvard University - Department of Economics
Date Posted: June 03, 2001
Working Paper Series
1313 downloads


 

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