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JEL Code: D5

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1.

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
Number of pages: 15 Posted: 22 Oct 2010 Last Revised: 31 Jan 2011
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 17,205
2.

Flow Toxicity and Liquidity in a High Frequency World

Review of Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012.
Number of pages: 71 Posted: 23 Oct 2010 Last Revised: 15 Apr 2012
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 15,301
3.

Games, Fixed Points and Mathematical Economics

Number of pages: 134 Posted: 29 Mar 2007
Working Paper Series
University of Glasgow
Downloads 7,585
4.

The Sharpe Ratio Efficient Frontier

Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of pages: 36 Posted: 24 Apr 2011 Last Revised: 23 Apr 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 6,658
5.

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
Number of pages: 44 Posted: 27 Jul 2006
Working Paper Series
Purdue University - Krannert School of Management and Harvard Law School and Harvard Kennedy School of Government
Downloads 5,037
6.

Advances in Cointegration and Subset Correlation Hedging Methods

Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37 Posted: 08 Aug 2011 Last Revised: 31 Jan 2014
Accepted Paper Series
Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory
Downloads 4,571
7.

Discerning Information from Trade Data

Journal of Financial Economics, 120(2), pp. 269-286. May 2016, Johnson School Research Paper Series No. 8-2012
Number of pages: 56 Posted: 23 Jan 2012 Last Revised: 16 May 2016
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,376
8.

A Model of Credit Risk, Optimal Policies, and Asset Prices

AFA 2002 Atlanta Meetings; NYU Finance Working Paper
Number of pages: 45 Posted: 21 Mar 2001
Working Paper Series
London Business School and New York University (NYU) - Department of Finance

Multiple version iconThere are 5 versions of this paper

Downloads 4,358
9.

The Economics of Privacy

Journal of Economic Literature, Vol. 52, No. 2, 2016, Sloan Foundation Economics Research Paper No. 2580411
Number of pages: 64 Posted: 27 Mar 2015 Last Revised: 14 Jun 2016
Accepted Paper Series
Carnegie Mellon University - Heinz College, Duke University - Department of Economics and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads 4,144
10.

A Comparative Study of Portfolio Insurance

London Business School Working Paper IFA 344
Number of pages: 24 Posted: 22 Dec 2001
Working Paper Series
London Business School
Downloads 3,945
11.

GCAPM (I): A Microeconomic Theory of Investments

Number of pages: 40 Posted: 26 Mar 2003
Working Paper Series
Fan Asset Management
Downloads 3,751
12.

An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization

Algorithms, 6(1), pp.169-196, 2013
Number of pages: 29 Posted: 08 Jan 2013 Last Revised: 02 Jan 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 3,112
13.

Advances in High Frequency Strategies

Doctoral Dissertation, Complutense University, Madrid, 2011
Number of pages: 42 Posted: 14 Jul 2012 Last Revised: 08 Aug 2015
Working Paper Series
Guggenheim Partners, LLC
Downloads 2,952
14.

Low-Frequency Traders in a High-Frequency World: A Survival Guide

Number of pages: 41 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
Guggenheim Partners, LLC
Downloads 2,856
15.

Optimal Execution Horizon

Mathematical Finance, 25(3), pp. 640-672. July 2015.
Number of pages: 43 Posted: 12 Apr 2012 Last Revised: 06 Jun 2015
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,749
16.

IFRS and Environmental Accounting

Number of pages: 34 Posted: 04 Dec 2009
Working Paper Series
Metropolitan State University of Denver
Downloads 2,708
17.

Asset Pricing with Heterogeneous Beliefs

Number of pages: 35 Posted: 30 Nov 2003
Working Paper Series
London Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,676
18.

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.
Number of pages: 26 Posted: 03 Aug 2014 Last Revised: 23 Jun 2016
Accepted Paper Series
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
Downloads 2,565
19.

VPIN and the Flash Crash: A Comment

Journal of Financial Markets, Forthcoming, Johnson School Research Paper Series No. 25-2012
Number of pages: 8 Posted: 18 May 2012 Last Revised: 29 Sep 2013
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 2,513
20.

FINANCIAL STATEMENT ANALYSIS: A Data Envelopment Analysis Approach

Number of pages: 11 Posted: 08 Aug 2008 Last Revised: 26 Aug 2014
Accepted Paper Series
University of Washington, Tacoma - Milgard School of Business, Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)
Downloads 2,471
21.

Balanced Baskets: A New Approach to Trading and Hedging Risks

Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44 Posted: 24 May 2012 Last Revised: 08 Sep 2012
Accepted Paper Series
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 2,433
22.

The Foundations of Securities Law

Number of pages: 30 Posted: 06 Feb 2008 Last Revised: 13 Feb 2009
Working Paper Series
Durham University - Durham Law School
Downloads 2,235
23.

The Perception of Time, Risk and Return During Periods of Speculation

Number of pages: 37 Posted: 11 Jan 2002
Working Paper Series
Columbia University
Downloads 2,191
24.

Endogenous Uncertainty in a General Equilibrium Model with Price Contingent Contracts

Number of pages: 56 Posted: 01 Feb 1997
Working Paper Series
Stanford University - Department of Economics and National Taiwan University - Department of International Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,167
25.

The Strategy Approval Decision: A Sharpe Ratio Indifference Curve Approach

Algorithmic Finance, (2013) 2:1, 99-109
Number of pages: 12 Posted: 15 Feb 2012 Last Revised: 20 Jan 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory, Guggenheim Partners, LLC and Universidad Complutense de Madrid (UCM)
Downloads 2,058
26.

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
Number of pages: 32 Posted: 16 Sep 2000
Working Paper Series
London Business School and London Business School

Multiple version iconThere are 3 versions of this paper

Downloads 2,019
27.

The Institutional Nature of Price Bubbles

Number of pages: 24 Posted: 01 Feb 2007 Last Revised: 28 Jan 2008
Working Paper Series
University of Texas at Dallas and Northwestern University - Kellogg School of Business
Downloads 1,997
28.

Credit Cards and Inflation

Cowles Foundation Discussion Paper No. 1709
Number of pages: 51 Posted: 18 Jun 2009
Working Paper Series
Yale University - Cowles Foundation and SUNY Stony Brook - Center for Game Theory in Economics
Downloads 1,994
29.

Risk Analysis of Accounting Information System Infrastructure

Number of pages: 12 Posted: 15 Feb 2011
Working Paper Series
"Alexandru Ioan Cuza" University - Iaşi, România - Faculty of Economics and Business Administration - Doctoral School of Economics
Downloads 1,950
30.

Price Pressures

Journal of Financial Economics, 2014, Vol 114, p. 405-423.
Number of pages: 33 Posted: 31 May 2009 Last Revised: 18 Feb 2015
Accepted Paper Series
University of California, Berkeley - Haas School of Business and VU University Amsterdam
Downloads 1,855
31.

The CAPM and Beta in an Imperfect Market

Number of pages: 5 Posted: 07 Apr 2003
Working Paper Series
University of Tennessee, Knoxville - Department of Finance and University of Massachusetts Lowell - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,756
32.

Managing Risks in a Risk-On/Risk-Off Environment

Number of pages: 50 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
Guggenheim Partners, LLC
Downloads 1,717
33.

Arbitrage-Based Pricing When Volatility is Stochastic

Caltech Social Science Working Paper 977
Number of pages: 41 Posted: 05 Sep 1996
Working Paper Series
Brain, Mind and Markets Laboratory, University of North Carolina Kenan-Flagler Business School and University of Toronto - Department of Economics
Downloads 1,681
34.

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
Number of pages: 47 Posted: 06 Jun 2007 Last Revised: 29 Sep 2009
Accepted Paper Series
Stanford Law School and Cornell Law School
Downloads 1,681
35.

Why Markets Are Inefficient: A Gambling ‘Theory’ of Financial Markets for Practitioners and Theorists

Number of pages: 30 Posted: 03 Mar 2017 Last Revised: 31 Aug 2017
Working Paper Series
Stuart School of Business, Illinois Institute of Technology
Downloads 1,681
36.

Incomplete Markets and Volatility

Harvard Institute of Economics Research Paper No. 1865
Number of pages: 46 Posted: 25 Sep 1998
Working Paper Series
EDHEC Business School - Department of Economics & Finance
Downloads 1,633
37.

Screening in New Credit Markets: Can Individual Lenders Infer Borrower Creditworthiness in Peer-to-Peer Lending?

AFA 2011 Denver Meetings Paper
Number of pages: 42 Posted: 15 Mar 2010
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Harvard University - Harvard Kennedy School (HKS), Dartmouth College and Yale School of Management
Downloads 1,621
38.

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
Number of pages: 65 Posted: 01 Oct 2011
Working Paper Series
Indiana University Bloomington - School of Public & Environmental Affairs (SPEA) and University of Maryland - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,601
39.

Incomplete Markets, Growth, And The Business Cycle

MIT Dept. of Economics Working Paper No. 00-33, Harvard Institute of Economic Research Paper No. 1910
Number of pages: 51 Posted: 19 Jan 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and EDHEC Business School - Department of Economics & Finance
Downloads 1,575
40.

An Evolutionary Portfolio Theory

Working Paper No. 74
Number of pages: 27 Posted: 21 Jun 2001
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 1,573
41.

Federal Market Information Technology in the Post Flash Crash Era: Roles for Supercomputing

Number of pages: 22 Posted: 07 Oct 2011
Working Paper Series
Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 1,557
42.

The Illusion of the Perpetual Money Machine

Swiss Finance Institute Research Paper No. 12-40
Number of pages: 30 Posted: 21 Dec 2012
Working Paper Series
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,532
43.

The Equity Premium is No Puzzle

Stanford University Dept. of Economics WP# 96-004
Number of pages: 55 Posted: 18 Dec 1996
Working Paper Series
Stanford University - Department of Economics and Bocconi University - Department of Finance
Downloads 1,473
44.

The Average-Marginal Relationship and Tractable Equilibrium Forms

Number of pages: 55 Posted: 30 Dec 2012 Last Revised: 27 Oct 2016
Working Paper Series
University of Tokyo - Graduate School of Economics and Microsoft Research
Downloads 1,454
45.

GMOS, Trade Policy, and Welfare in Rich and Poor Countries

CIES Working Paper No. 21
Number of pages: 43 Posted: 14 Jul 2000
Working Paper Series
Danish Research Institute of Food Economics (FOI) - Agricultural Policy Division and University of Adelaide - Centre for International Economic Studies (CIES)
Downloads 1,449
46.

On the Role of Arbitrageurs in Rational Markets

EFA 2004 Maastricht Meetings Paper No. 2390; AFA 2004 San Diego Meetings
Number of pages: 36 Posted: 04 Dec 2003
Working Paper Series
McGill University - Desautels Faculty of Management and London Business School

Multiple version iconThere are 3 versions of this paper

Downloads 1,446
47.

Do Social Networks Solve Information Problems for Peer-to-Peer Lending? Evidence from Prosper.Com

NET Institute Working Paper No. 08-43
Number of pages: 64 Posted: 26 Nov 2008
Working Paper Series
Indiana University Bloomington - School of Public & Environmental Affairs (SPEA) and University of Maryland - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,445
48.

Kauffman Index of Entrepreneurial Activity, 1996-2006

Number of pages: 24 Posted: 23 May 2007
Working Paper Series
University of California, Santa Cruz - Department of Economics
Downloads 1,392
49.

Price Discovery in Financial Markets: The Case of the CAPM

Social Science Working Paper No. 1032
Number of pages: 45 Posted: 07 Apr 2000
Working Paper Series
Brain, Mind and Markets Laboratory, Lehman Brothers, New York and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 1,392
50.

Introducing CGE Models to the Classroom Using Excel

Number of pages: 39 Posted: 16 Apr 2007
Working Paper Series
Ryerson University, Faculty of Arts - Department of Economics
Downloads 1,380