1.
The Micro-Price: A High Frequency Estimator of Future Prices
Number of pages: 14
Posted: 19 May 2017
Last Revised: 03 Jun 2020
Working Paper Series
Cornell Financial Engineering Manhattan
Downloads
12,235
2.
A Stochastic Model for Order Book Dynamics
Number of pages: 23
Posted: 26 Sep 2008
Last Revised: 31 Aug 2009
Working Paper Series
University of Oxford, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads
9,101
3.
Bonds Versus Stocks: Investors' Age and Risk Taking
Journal of Monetary Economics, Vol. 56, No. 6, pp. 817-830, September 2009
Number of pages: 40
Posted: 18 Oct 2006
Last Revised: 27 Feb 2012
Accepted Paper Series
Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Baruch College
Downloads
7,231
4.
A Better Measure of Relative Prediction Accuracy for Model Selection and Model Estimation
Journal of the Operational Research Society (2015) 66, 1352–1362
Number of pages: 25
Posted: 25 Jul 2015
Accepted Paper Series
University of Hertfordshire Business School
Downloads
5,856
5.
A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm
Quantitative Finance, 2013, Forthcoming, Johnson School Research Paper Series No. 39-2011
Number of pages: 34
Posted: 22 Sep 2011
Last Revised: 27 Oct 2013
Accepted Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and University of California, Irvine
Downloads
5,510
6.
Statistical Arbitrage: Medium Frequency Portfolio Trading
Number of pages: 27
Posted: 25 Jun 2013
Last Revised: 09 Jul 2013
Working Paper Series
Independent
Downloads
4,101
7.
Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity
Algorithmic Finance, Vol. 1, No. 1, 2011
Number of pages: 10
Posted: 14 Oct 2010
Last Revised: 11 Oct 2012
Accepted Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Department of Information, Operations, and Management Sciences and Cornell Financial Engineering Manhattan
Downloads
3,569
8.
The Big Data Newsvendor: Practical Insights from Machine Learning
Published in Operations Research 67(1):90-108. https://doi.org/10.1287/opre.2018.1757
Number of pages: 55
Posted: 03 Feb 2015
Last Revised: 22 Aug 2019
Accepted Paper Series
Imperial College Business School and Duke University - Department of Computer Science
Downloads
3,510
9.
Financial Statement Analysis: A Data Envelopment Analysis Approach
Number of pages: 11
Posted: 08 Aug 2008
Last Revised: 28 Nov 2018
Accepted Paper Series
University of Washington Tacoma, Milgard School of Business-Accounting, Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)
Downloads
3,262
10.
Constructing Cointegrated Cryptocurrency Portfolios for Statistical Arbitrage
Studies in Economics and Finance, Vol. 36 No. 3, pp. 581-599 (2019)
Number of pages: 20
Posted: 31 Aug 2018
Last Revised: 12 Nov 2019
Accepted Paper Series
University of Washington - Department of Applied Math and Computational Finance and Risk Management
Downloads
3,064
11.
Dynamic Pricing – State-of-The-Art
Zeitschrift für Betriebswirtschaft, Ergänzungsheft 3 'Operations Research in der Betriebswirtschaft' (2009), 1-40
Number of pages: 38
Posted: 21 Nov 2012
Accepted Paper Series
University of Duisburg-Essen - Mercator School of Management, University of Augsburg and University of the Bundeswehr Munich
Downloads
2,989
12.
Machine Learning at Central Banks
Bank of England Working Paper No. 674
Number of pages: 89
Posted: 06 Sep 2017
Working Paper Series
Bank of England and Bank of England
Downloads
2,889
13.
Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design
Number of pages: 54
Posted: 11 Aug 2015
Last Revised: 29 Nov 2017
Working Paper Series
Pfizer, Inc., Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design
Number of pages: 54
Posted: 11 Aug 2015
Last Revised: 29 Nov 2017
Downloads
2,733
Is the Fda Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design
NBER Working Paper No. w21499
Number of pages: 38
Posted: 31 Aug 2015
Last Revised: 31 Mar 2023
Downloads
86
Downloads
2,733
14.
Cognitive Biases and Their Influence on Critical Thinking and Scientific Reasoning: A Practical Guide for Students and Teachers
Number of pages: 64
Posted: 26 Apr 2017
Last Revised: 23 Jul 2023
Working Paper Series
City University of New York (CUNY) - Koppelman School of Business
Downloads
2,719
15.
Measuring National Innovation Systems Efficiency – A Review of DEA Approach
Higher School of Economics Research Paper No. WP BRP 16/STI/2013
Number of pages: 24
Posted: 03 Aug 2013
Last Revised: 23 Sep 2013
Working Paper Series
National Research University - Higher School of Economics
Downloads
2,429
16.
An Artificial Neural Network Representation of the SABR Stochastic Volatility Model
Number of pages: 24
Posted: 14 Dec 2018
Working Paper Series
NatWest Markets
Downloads
2,428
17.
Advertising Effects on Awareness, Consideration and Brand Choice Using Tracking Data
ERIM Report Series Reference No. ERS-2004-028-MKT
Number of pages: 22
Posted: 26 Aug 2006
Working Paper Series
Erasmus University Rotterdam (EUR) - Department of Econometrics and Microsoft Corporation
Downloads
2,406
18.
Deeply Learning Derivatives
Number of pages: 14
Posted: 09 Oct 2018
Last Revised: 20 Oct 2018
Working Paper Series
Riskfuel and Scotiabank
Downloads
2,375
19.
Predicting Customer Lifetime Value in Multi-Service Industries
Number of pages: 48
Posted: 26 Aug 2006
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Groningen - Department of Marketing & Marketing Research and Tilburg University - Department of Marketing
Downloads
2,356
20.
Further Thoughts on Crm
Number of pages: 33
Posted: 05 Feb 2003
Working Paper Series
University of Groningen - Department of Marketing & Marketing Research and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads
2,277
21.
Operational Risk Management in Financial Services and the New Basel Accord
Number of pages: 16
Posted: 22 Aug 2004
Working Paper Series
FX Concepts
Downloads
2,257
22.
Systemic Risk and Central Clearing Counterparty Design
Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46
Posted: 09 Jun 2013
Last Revised: 01 Mar 2017
Working Paper Series
University of Florida - Department of Industrial and Systems Engineering, École Polytechnique Fédérale de Lausanne and Cornell University
There are 2 versions of this paper
Systemic Risk and Central Clearing Counterparty Design
Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46
Posted: 09 Jun 2013
Last Revised: 01 Mar 2017
Downloads
2,130
Systemic Risk in Networks with a Central Node
Forthcoming, SIAM Journal on Financial Mathematics, Swiss Finance Institute Research Paper No. 20-04
Number of pages: 43
Posted: 24 Jan 2020
Downloads
186
Downloads
2,130
23.
The Microstructure of Cointegrated Assets
Number of pages: 17
Posted: 12 Apr 2021
Working Paper Series
Cornell Financial Engineering Manhattan, Citibank, N.A. - Citi Fixed Income Currency & Commodities, Cornell Financial Engineering Manhattan and Cornell Financial Engineering Manhattan
Downloads
2,069
24.
The Model Confidence Set
Number of pages: 41
Posted: 30 Mar 2004
Last Revised: 07 Jul 2014
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics, CREATESAarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads
1,905
25.
The Effectiveness of Advertising Matching Purchase Motivation
Number of pages: 47
Posted: 20 Feb 2003
Working Paper Series
Tinbergen Institute, Wageningen University and Tilburg University - Faculty of Social and Behavioural Sciences
Downloads
1,904
26.
Critical Decisions in Crisis Management: Rational Strategies of Decision Making
Journal of Economics Library, vol. 7., n. 2, pp. 81-96. Doi.org/10.1453/jel.v7i2.2049
Number of pages: 18
Posted: 14 Aug 2020
Accepted Paper Series
National Research Council of Italy (CNR)
Downloads
1,796
27.
Modeling Dynamic Effects of the Marketing Mix on Market Shares
Number of pages: 32
Posted: 26 Aug 2006
Working Paper Series
Econometric Institute - Erasmus University RotterdamErasmus Research Institute of Management (ERIM), Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads
1,715
28.
Using Statistical Process Control to Monitor Active Managers
Number of pages: 35
Posted: 19 Mar 2003
Working Paper Series
NYU Tandon School of Engineering - Department of Finance and Risk Engineering, IBM Corporation - Thomas J. Watson Research Center and Parametric Portfolio Associates
Downloads
1,655
29.
Portfolio Oversight: An Evolutionary Approach
Number of pages: 50
Posted: 08 Nov 2012
Last Revised: 26 May 2014
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
1,648
30.
Forecasting Product Life Cycle Curves: Practical Approach and Empirical Analysis
Manufacturing & Service Operations Management, Forthcoming, Vanderbilt Owen Graduate School of Management Research Paper No. 2867528
Number of pages: 39
Posted: 10 Nov 2016
Last Revised: 07 Jun 2018
Accepted Paper Series
Vanderbilt University - Operations Management, Penn State University, Smeal College of Business, Dell Inc., University of Virginia - Darden School of Business and Northwestern University - Kellogg School of Management
Downloads
1,559
31.
Nesting Booking Limits in Revenue Management: The Good, the Bad and the Ugly
Number of pages: 20
Posted: 25 Apr 2008
Last Revised: 02 Dec 2008
Working Paper Series
University of Paris 1Faculty of Tourism (IREST)
Downloads
1,554
32.
Persistence Modeling for Assessing Marketing Strategy Performance
Number of pages: 31
Posted: 09 Mar 2004
Working Paper Series
Catholic University of Leuven (KUL) - Department of Applied Economics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads
1,551
33.
Modeling Vaccine Allocations in the COVID-19 Pandemic: A Case Study in Australia
Number of pages: 34
Posted: 09 Dec 2020
Working Paper Series
RMIT University, RMIT University - Department of Supply Chain and Logistics, Royal Melbourne Institute of Technolog (RMIT University), University of Agder and RMIT University
Downloads
1,532
34.
Optimal Turnover, Liquidity, and Autocorrelation
Number of pages: 11
Posted: 03 Feb 2022
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences, affiliation not provided to SSRN and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads
1,462
35.
Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy (Or, How We Learned to Stop Worrying and Love Bounded Rationality)
Number of pages: 57
Posted: 26 May 2018
Working Paper Series
Fidelity Investments, Inc. and New York University (NYU) - NYU Tandon School of Engineering
Downloads
1,452
36.
Evaluating Direct Marketing Campaigns: Recent Findings and Future Research Topics
Number of pages: 46
Posted: 20 Feb 2003
Working Paper Series
Social and Cultural Planning Office, Erasmus University Rotterdam (EUR) - Department of Econometrics and University of Amsterdam - Academy for Economic Studies
Downloads
1,446
37.
Perceptual Maps: The Good, the Bad and the Ugly
ERIM Report Series Reference No. ERS-2010-011-MKT
Number of pages: 33
Posted: 22 Mar 2010
Working Paper Series
affiliation not provided to SSRN, Erasmus University Rotterdam (EUR), Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and The Open University
Downloads
1,443
38.
Test & Roll: Profit-Maximizing A/B Tests
Number of pages: 46
Posted: 01 Nov 2018
Last Revised: 23 May 2019
Working Paper Series
Drexel University - Department of Marketing and University of Pennsylvania - The Wharton School
Downloads
1,438
39.
Confidence Intervals for Cronbach's Coefficient Alpha Values
ERIM Report Series Reference No. ERS-2003-041-MKT
Number of pages: 47
Posted: 26 Aug 2006
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads
1,433
40.
When are Crm Systems Successful? The Perspective of the User and of the Organization
ERIM Report Series Reference No. ERS-2005-048-MKT
Number of pages: 53
Posted: 02 Jan 2006
Working Paper Series
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads
1,433
41.
Assessing Bank Efficiency and Performance with Operational Research and Artificial Intelligence Techniques: A Survey
European Journal of Operational Research, 2010, 204 (2), 189-198 (Revised Version)
Number of pages: 66
Posted: 28 Feb 2009
Last Revised: 28 Sep 2012
Accepted Paper Series
University Leicester School of Management and GSCM-Montpellier Business School
Downloads
1,412
42.
Large Language Models and Generative AI in Finance: An Analysis of ChatGPT, Bard, and Bing AI
Number of pages: 31
Posted: 27 Oct 2023
Working Paper Series
Marquette University
Downloads
1,405
43.
Quantitative vs. Qualitative Criteria for Credit Risk Assessment
Frontiers in Finance and Economics, Vol. 8, No. 1, pp. 69-87, 2011
Number of pages: 19
Posted: 29 Feb 2012
Last Revised: 05 Nov 2013
Accepted Paper Series
Universidade de Lisboa, New University of Lisbon, Instituto Superior de Contabilidade e Administração de Lisboa and Technical University of Lisbon
Downloads
1,397
44.
Artificial Intelligence for Anti-Money Laundering - A Review and Extension
Digital Finance 2 (2020), 211–239
Number of pages: 48
Posted: 18 Feb 2021
Accepted Paper Series
affiliation not provided to SSRN, University College Dublin (UCD), Southwestern University of Finance and Economics (SWUFE) - School of Finance and affiliation not provided to SSRN
Downloads
1,390
45.
A Multi-Country Study of the Adoption of Erp Systems
Number of pages: 33
Posted: 27 May 2003
Working Paper Series
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads
1,389
46.
Financial Crises and Bank Failures: A Review of Prediction Methods
FRB of Cleveland Working Paper No. 09-04R
Number of pages: 34
Posted: 22 Jun 2009
Last Revised: 01 Nov 2010
Accepted Paper Series
University of Illinois at Chicago and Fordham University
There are 2 versions of this paper
Financial Crises and Bank Failures: A Review of Prediction Methods
FRB of Cleveland Working Paper No. 09-04R
Number of pages: 34
Posted: 22 Jun 2009
Last Revised: 01 Nov 2010
Downloads
1,389
Financial Crises and Bank Failures: A Review of Prediction Methods
Bank of Finland Research Discussion Paper No. 35/2009
Number of pages: 37
Posted: 06 Dec 2009
Downloads
637
Downloads
1,389
47.
Predicting Customer Potential Value: An Application in the Insurance Industry
ERIM Report Series Reference No. ERS-2001-01-MKT
Number of pages: 43
Posted: 26 Aug 2006
Working Paper Series
University of Groningen - Department of Marketing & Marketing Research and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads
1,388
48.
Stochastic Portfolio Theory: A Machine Learning Perspective
Proceedings of the 32nd Conference on Uncertainty in Artificial Intelligence, 2016
Number of pages: 9
Posted: 09 May 2016
Accepted Paper Series
Pit.AI Technologies, Inc. and Mathematical Institute, University of Oxford
Downloads
1,314
49.
Expectation and Optimal f : Expected Growth with and without Reinvestment for Discretely-Distributed Outcomes of Finite Length
Number of pages: 23
Posted: 15 Mar 2015
Last Revised: 08 Feb 2019
Working Paper Series
None
Downloads
1,298
50.
Warehouse Real-Time Simulator – How to Optimize Order Picking Time
Number of pages: 18
Posted: 18 Nov 2013
Working Paper Series
Uniwersytet Ekonomiczny we Wrocławiu
Downloads
1,291
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