Duane J. Seppi

Carnegie Mellon University - David A. Tepper School of Business

Professor

5000 Forbes Avenue

Pittsburgh, PA 15213-3890

United States

SCHOLARLY PAPERS

21

DOWNLOADS
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SSRN RANKINGS

Top 6,126

in Total Papers Downloads

6,889

CITATIONS
Rank 1,966

SSRN RANKINGS

Top 1,966

in Total Papers Citations

284

Scholarly Papers (21)

1.
Downloads 2,133 ( 6,242)
Citation 217

Common Factors in Prices, Order Flows and Liquidity

EFA 0303
Number of pages: 32 Posted: 20 Apr 1999
Joel Hasbrouck and Duane J. Seppi
New York University (NYU) - Department of Finance and Carnegie Mellon University - David A. Tepper School of Business
Downloads 1,903 (7,465)
Citation 217

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Common Factors in Prices, Order Flows and Liquidity

NYU Working Paper No. FIN-99-011
Number of pages: 31 Posted: 07 Nov 2008
Joel Hasbrouck and Duane J. Seppi
New York University (NYU) - Department of Finance and Carnegie Mellon University - David A. Tepper School of Business
Downloads 230 (129,367)
Citation 216

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2.

The 'Ostrich Effect': Selective Attention to Information About Investments

Number of pages: 41 Posted: 10 Aug 2005
Niklas Karlsson, Duane J. Seppi and George Loewenstein
Goteborg University, Faculty of Social Sciences, Department of Psychology, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - Department of Social and Decision Sciences
Downloads 822 (27,952)
Citation 14

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investor behavior, selective exposure, attention

3.

Demand Discovery and Asset Pricing

AFA 2005 Philadelphia Meetings
Number of pages: 63 Posted: 08 Jun 2004
University of Virginia (UVA) - McIntire School of Commerce, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 682 (36,058)
Citation 12

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Liquidity, Demand Discovery, Asset Pricing, Asymmetric Information

4.

Rating-Based Investment Practices and Bond Market Segmentation

WFA 2012 Las Vegas Meetings Paper, Swiss Finance Institute Research Paper No. 10-30
Number of pages: 62 Posted: 16 Feb 2009 Last Revised: 27 Jun 2014
School of Finance, Shanghai University of Finance and Economics, Moody's Research Labs, University of Lausanne and Carnegie Mellon University - David A. Tepper School of Business
Downloads 676 (36,483)
Citation 3

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Corporate bond market, rating agencies, market segmentation, institutional investors, rating-based investment management practices

5.

Cross-Sectional Stock Option Pricing and Factor Models of Returns

EFA 2008 Athens Meetings Paper, AFA 2009 San Francisco Meetings Paper
Number of pages: 46 Posted: 23 Dec 2008 Last Revised: 04 Jan 2009
Mihaela Serban, John P. Lehoczky and Duane J. Seppi
Morgan Stanley, Carnegie Mellon University and Carnegie Mellon University - David A. Tepper School of Business
Downloads 649 (38,479)
Citation 4

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objective measure, option, risk premium, return, risk-neutral measure, volatility

6.

Financial Attention

Number of pages: 51 Posted: 13 Oct 2013 Last Revised: 30 Jul 2015
Columbia University, Carnegie Mellon University - Department of Social and Decision Sciences, Carnegie Mellon University - David A. Tepper School of Business and Vanguard Center for Investor Research
Downloads 471 (58,266)

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Investor Attention, Portfolio Trading, Behavioral Economics/Finance, Ostrich Effect

7.

Information and Trading Targets in a Dynamic Market Equilibrium

Number of pages: 75 Posted: 08 Feb 2015 Last Revised: 19 Apr 2018
Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi
Ulsan National Institute of Science and Technology (UNIST), Rutgers, The State University of New Jersey and Carnegie Mellon University - David A. Tepper School of Business
Downloads 294 (100,988)

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Order-splitting, parent and child orders, optimal order execution, portfolio rebalancing, market microstructure

8.

Real Options and Merchant Operations of Energy and Other Commodities

Nicola Secomandi and Duane J. Seppi, "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends® in Technology, Information and Operations Management 6, no. 3-4 (2014)
Number of pages: 174 Posted: 10 Sep 2014 Last Revised: 14 Jan 2015
Nicola Secomandi and Duane J. Seppi
Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 196 (151,155)

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9.

Using Price Information as an Instrument of Market Discipline in Regulating Bank Risk

Number of pages: 42 Posted: 27 Mar 2008
Duane J. Seppi, Alfred Lehar and Günter Strobl
Carnegie Mellon University - David A. Tepper School of Business, University of Calgary - Haskayne School of Business and Frankfurt School of Finance & Management
Downloads 189 (156,330)
Citation 4

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10.

Interim News and the Role of Proxy Voting Advice

Review of Financial Studies, Vol. 23, No. 12, 2010
Number of pages: 36 Posted: 27 Sep 2010 Last Revised: 30 Dec 2010
Securities and Exchange Commission (SEC), Georgia State University - Robinson College of Business, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 183 (160,914)
Citation 13

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Corporate Governance, Shareholder Voting, Proxy Contests, Proxy Advice

11.

Financial Attention

Number of pages: 50 Posted: 31 Jul 2012 Last Revised: 22 May 2015
Columbia University, Carnegie Mellon University - Department of Social and Decision Sciences, Carnegie Mellon University - David A. Tepper School of Business and Vanguard Center for Investor Research
Downloads 182 (161,733)

Abstract:

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investors attention, ostrich effect, behavioral economics/finance

12.

Information, Liquidity, and Dynamic Limit Order Markets

Number of pages: 57 Posted: 07 Sep 2017 Last Revised: 24 May 2018
Roberto Riccò, Barbara Rindi and Duane J. Seppi
Bocconi University - Department of Finance, Bocconi University and IGIER and Baffi Carefin and Carnegie Mellon University - David A. Tepper School of Business
Downloads 145 (196,458)

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Limit order markets, asymmetric information, liquidity, market microstructure

13.

The Role of Advisory Services in Proxy Voting

NBER Working Paper No. w15143
Number of pages: 54 Posted: 21 Jul 2009 Last Revised: 06 Aug 2009
Securities and Exchange Commission (SEC), Georgia State University - Robinson College of Business, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 100 (259,348)
Citation 16

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14.

TWAP and VWAP Trading in Continuous-time Equilibria

Number of pages: 43 Posted: 27 Mar 2018 Last Revised: 08 May 2019
Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi
Ulsan National Institute of Science and Technology (UNIST), Rutgers, The State University of New Jersey and Carnegie Mellon University - David A. Tepper School of Business
Downloads 82 (293,967)

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Dynamic trading, TWAP, VWAP, portfolio rebalancing, liquidity, market-maker inventory, equilibria, market microstructure

15.

Energy Real Options: Valuation and Operations

Managing Energy Price Risk, Chapter 13, 449-477, V. Kaminski (ed.), Risk Books, 4-th Edition, 2016.
Number of pages: 29 Posted: 01 Nov 2016
Nicola Secomandi and Duane J. Seppi
Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 67 (329,685)

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16.

A Threshold Autoregressive Model for Wholesale Electricity Prices

Journal of the Royal Statistical Society (Series C, Applied Statistics), 54(3), 1-13 (2005)
Number of pages: 15 Posted: 25 Jul 2013
Office of the Comptroller of the Currency, Carnegie Mellon University - Department of Statistics and Carnegie Mellon University - David A. Tepper School of Business
Downloads 18 (520,973)
Citation 1

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Threshold autoregressive model, Eelectricity prices, Spikes, Markov chain Monte Carlo

17.

Merchant Commodity Storage and Term-Structure Model Error

Manufacturing & Service Operations Management, 17(3), 302–320
Posted: 14 Sep 2012 Last Revised: 24 Aug 2015
Carnegie Mellon University - David A. Tepper School of Business, University of Texas at Austin - Red McCombs School of Business, Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University and Carnegie Mellon University - David A. Tepper School of Business

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Commodities, real options, natural gas storage, model error, delta hedging, futures term structure

18.

Information and Index Arbitrage

JOURNAL OF BUSINESS, Vol 67 No 4, October 1994
Posted: 27 Oct 1999
Duane J. Seppi and Praveen Kumar
Carnegie Mellon University - David A. Tepper School of Business and University of Houston - Department of Finance

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19.

Limit and Market Orders with Optimizing Traders

Posted: 20 Dec 1998
Duane J. Seppi and Praveen Kumar
Carnegie Mellon University - David A. Tepper School of Business and University of Houston - Department of Finance

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20.

Liquidity-Based Competition for Order Flow

Posted: 22 Sep 1998
Duane J. Seppi and Christine A. Parlour
Carnegie Mellon University - David A. Tepper School of Business and University of California, Berkeley - Finance Group

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Liquidity Provision with Limit Orders and a Strategic Specialist

REVIEW OF FINANCIAL STUDIES, Vol. 10 No. 1
Posted: 09 Apr 1997
Duane J. Seppi
Carnegie Mellon University - David A. Tepper School of Business

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Liquidity Provision with Limit Orders and a Strategic Specialist

Posted: 03 Jul 1996
Duane J. Seppi
Carnegie Mellon University - David A. Tepper School of Business

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