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Leicester, LE1 7RH
United Kingdom
University of Leicester
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high frequency trading, hedge factor volatility, price reversal, market crash, price bubbles, statistical arbitrage, van der Korput's Lemma, Sharpe ratio, cost of carry
market timing, empirical alpha process, trading strategy, martingale system, behavioural finance, high frequency trading, Brownian Bridge, Jensen's Alpha, portable alpha
Minority Banks, Synthetic Cash Flows, Internal Rates of Return, Behavioral Asset Pricing, CAMELS Rating, Random Utility, Options Pricing, Bank Regulation, Return on Assets
confidence, chaos, ambiguity, momentum, impact events, ergodic theory, large deviations
empirical alpha process, portfolio hedging strategies, active portfolio management, market systemic risk, swaption, delegated portfolio management, local time of alpha
representation theory, topological groups, utility hypersurface, risk torsion, chaos, loss aversion
Sharpe Ratio, portfolio performance evaluation, high frequency trading, subordinate process, stock price dynamics, active portfolio management
statistical ensembles, random fields, Gibbs measure, gambles, probabilistic preference, maximum entropy principle, uncertainty, behavioural quantum wave
algebraic number theory, price discovery, derivatives pricing, asset pricing, market timing, Wold decomposition, empirical pricing kernel, option Greeks, dual option pricing
confidence, term structure, random field, hope and fear, probability weighting function, momentum
career option, revolving door, capital structure, leverage, vega, managerial compensation
commutative prospect theory, epsilon-homotopy, priority heuristic, stopped stochastic process, Dudley-Talagrand metric, equivalent martingale measure, confidence, probability leakage
invariant behavior, group theory, representation theory, singular operator, prospect theory, decision field theory, risk and uncertainty, SU(2)
career concerns, revolving door, agency cost, managerial compensation, bankruptcy, value-at-risk, human capital
IBNR claims ladder, claims reserve forecast, stochastic claim inflation, claims risk exposure, link ratio function, property-casualty insurance, insurance accounting
sentiment, crash risk, probability weighting function, index option prices, market instability
sentiment, crash risk, probability weighting function, index option prices, market instability, source functions
minority banks, behavioral asset pricing, compensating risk premium, loss aversion, altruism, statistical risk accounting, price of risk
transitivity axiom, harmonic analysis, abstract probability weighting function, quantum probability
decision theory, loss aversion index, inner measure, outer measure, utility theory