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: 21 May 2019
Last Revised: 30 May 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
18,973
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, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
17,369
3.
The Economics of Privacy
Journal of Economic Literature, 54(2): 442-492 (2016)
http://doi.org/10.1257/jel.54.2.442, Sloan Foundation Economics Research Paper No. 2580411
Number of pages: 64
Posted: 07 Feb 2020
Last Revised: 27 Oct 2022
Accepted Paper Series
Carnegie Mellon University - H. John Heinz III School of Public Policy and Management, Duke University - Department of Economics and Rensselaer Polytechnic Institute (RPI) - Lally School of Management & Technology
Downloads
10,239
4.
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, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
8,400
5.
Ten Financial Applications of Machine Learning (Seminar Slides)
Number of pages: 27
Posted: 18 Jun 2018
Last Revised: 27 Feb 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
7,587
6.
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
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
5,567
7.
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 University - Harvard Law School
Downloads
5,390
8.
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
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
5,004
9.
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, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
4,499
10.
Microstructure in the Machine Age
Number of pages: 63
Posted: 25 Mar 2019
Working Paper Series
Cornell University - Department of Economics, Harvard University, Cornell University - Samuel Curtis Johnson Graduate School of Management and New York University (NYU) - NYU Tandon School of Engineering
Downloads
4,454
11.
Market Microstructure in the Age of Machine Learning
Number of pages: 48
Posted: 11 Jun 2018
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
3,489
12.
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, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
3,453
13.
Some Economic Consequences of the GDPR
Allen DWE, Berg A, Berg C, Markey-Towler B and Potts J (2019) ‘Some Economic Consequences of the GDPR’, Economics Bulletin, vol. 39, no. 2, pp. 785-797.
Number of pages: 14
Posted: 29 Apr 2018
Last Revised: 18 May 2020
Accepted Paper Series
Royal Melbourne Institute of Technolog (RMIT University), Royal Melbourne Institute of Technolog (RMIT University), Royal Melbourne Institute of Technolog (RMIT University), Evidn and Royal Melbourne Institute of Technolog (RMIT University)
Downloads
2,641
14.
Liquidity as an Investment Style
Financial Analysts Journal, Vol. 69, No. 3, 2013
Number of pages: 34
Posted: 24 Apr 2011
Last Revised: 24 May 2013
Accepted Paper Series
Yale School of Management, University of Hong Kong, Faculty of Business Economics (HKU Business School), Sweetwater Digital Asset Consulting, LLC and Zebra Capital Management, LLC
Downloads
2,151
15.
Concealing the Trading Footprint: Optimal Execution Horizon
Number of pages: 45
Posted: 08 Nov 2012
Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads
1,936
16.
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 The University of Manchester - Department of Economics
Downloads
1,914
17.
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
1,848
18.
Arbitrage-Based Pricing When Volatility is Stochastic
Caltech Social Science Working Paper 977
Number of pages: 41
Posted: 05 Sep 1996
Working Paper Series
University of Cambridge, University of North Carolina Kenan-Flagler Business School and University of Toronto - Department of Economics
Downloads
1,766
19.
Incomplete Markets and Volatility
Number of pages: 46
Posted: 25 Sep 1998
Working Paper Series
SKEMA Business School
Downloads
1,703
20.
A Big Data Approach to Analyzing Market Volatility
Algorithmic Finance (2013), 2:3-4, 241-267
Number of pages: 28
Posted: 07 Jun 2013
Working Paper Series
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads
1,698
21.
Incomplete Markets, Growth, and the Business Cycle
Number of pages: 51
Posted: 19 Jan 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and SKEMA Business School
Downloads
1,674
22.
CAPM Equilibria with Prospect Theory Preferences
Number of pages: 26
Posted: 21 Jul 2003
Last Revised: 06 Aug 2012
Working Paper Series
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads
1,652
23.
Exploring Irregular Time Series Through Non-Uniform Fast Fourier Transform
Proceedings of the International Conference for High Performance Computating, IEEE, 2014.
Number of pages: 26
Posted: 30 Aug 2014
Last Revised: 05 Mar 2016
Accepted Paper Series
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads
1,540
24.
Aggregation, Dividend Irrelevancy, and Earnings-Value Relations
Contemporary Accounting Research, Vol. 22, No. 2, pp. 453-480, Summer 2005
Number of pages: 47
Posted: 17 Feb 2005
Accepted Paper Series
Independent
Downloads
1,366
25.
The Need for Efficient Investment: Fundamental Analysis and Technical Analysis
Number of pages: 6
Posted: 13 Apr 2015
Working Paper Series
Liverpool John Moores University
Downloads
1,358
26.
The Role of Commercial Banks in Production of Small and Medium Enterprises (SMEs) in Pakistan
Number of pages: 21
Posted: 14 Sep 2014
Working Paper Series
Isra University, Mehran University Institute of Science, Technology and Development and Isra University
Downloads
1,319
27.
A Survey of Behavioral Finance
Journal of Banking and Finance in Austria, Vol. 1, No. 2, pp. 1-22, 2004
Number of pages: 25
Posted: 03 Sep 2010
Last Revised: 21 Mar 2012
Accepted Paper Series
Hanken School of Economics - Department of Accounting
Downloads
1,195
28.
Background Risk and University Endowment Funds
Number of pages: 36
Posted: 19 Feb 2007
Last Revised: 14 Feb 2010
Working Paper Series
National University of Singapore
Downloads
1,093
29.
Approximating Equilibria with Ex-Post Heterogeneity and Aggregate Risk
Swiss Finance Institute Research Paper No. 17-63
Number of pages: 45
Posted: 21 Jun 2015
Last Revised: 13 Feb 2019
Working Paper Series
University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads
1,086
30.
Collateral Constraints and Asset Prices
AFFI/EUROFIDAI, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 69
Posted: 14 Nov 2015
Last Revised: 30 Nov 2019
Working Paper Series
London School of Economics and Political Science and Robert H. Smith School of Business, University of Maryland
Downloads
1,058
31.
The Equity Premium and the One Percent
Review of Financial Studies, Vol. 33, No. 8, pp. 3583-3623, 2020
Number of pages: 65
Posted: 17 Mar 2014
Last Revised: 20 Jul 2020
Accepted Paper Series
University of California, San Diego (UCSD) - Department of Economics and ETH Zürich - KOF Swiss Economic Institute
Downloads
1,054
32.
The Economic Trade-Offs in the Fair Value Debate
Chicago Booth Research Paper No. 09-35
Number of pages: 35
Posted: 02 Oct 2009
Last Revised: 27 Mar 2010
Working Paper Series
Booth School of Business, University of Chicago
Downloads
991
33.
Making Markets: Network Effects and the Role of Law in the Creation of Strong Securities Markets
Number of pages: 75
Posted: 28 Jan 2004
Accepted Paper Series
Texas A&M University School of Law
Downloads
969
34.
The Unfortunate Uselessness of Most 'State of the Art' Academic Monetary Economics
VoxEU, Research-based policy analysis and commentary from leading economists, March 6, 2009
Number of pages: 5
Posted: 10 Sep 2014
Accepted Paper Series
Centre for Economic Policy Research (CEPR)
Downloads
964
35.
Financial System - Definition and Functions
Bank i Kredyt, No. 10/2007
Number of pages: 13
Posted: 01 Apr 2008
Working Paper Series
Poznan University of Economics
Downloads
953
36.
Heterogeneous Beliefs, Speculation, and the Equity Premium
Journal of Finance, January 2008, EFA 2004 Maastricht Meetings Paper No. 3125, AFA 2005 Philadelphia Meetings
Number of pages: 49
Posted: 28 Jun 2004
Last Revised: 26 Nov 2008
Working Paper Series
University of Calgary - Haskayne School of Business
Downloads
953
37.
Asset Pricing with Index Investing
Journal of Financial Economics (JFE), Forthcoming, Fox School of Business Research Paper No. 15-051
Number of pages: 87
Posted: 29 Nov 2014
Last Revised: 21 Jul 2020
Accepted Paper Series
London School of Economics and Political Science and Temple University - Department of Finance
Downloads
949
38.
Liquidity, Default and Crashes: Endogenous Contracts in General Equilibrium
Number of pages: 36
Posted: 27 Sep 2001
Working Paper Series
Yale University
Downloads
940
39.
Open End Real Estate Funds - Diamond or Danger?
Number of pages: 36
Posted: 30 Mar 2006
Working Paper Series
University of Regensburg - International Real Estate Business School (IREBS) and University of Frankfurt
Downloads
915
40.
Data Mining for Overreaction in Financial Markets
PROCEEDINGS OF THE IASTED INTERNATIONAL CONFERENCE ON SOFTWARE ENGINEERING AND APPLICATIONS (SEA), Phoenix, AZ, November 14-16, 2005, W.-T. Tsai and M.H. Hamza, eds., Vol. 467, pp. 28-35, ACTA Press, 2005
Number of pages: 8
Posted: 01 Jun 2009
Last Revised: 05 Jun 2009
Accepted Paper Series
Istanbul Technical University, Department of Mathematical Engineering and University of Pittsburgh - Department of Mathematics
Downloads
910
41.
Existence and Uniqueness of Recursive Equilibria with Aggregate and Idiosyncratic Risk
Number of pages: 53
Posted: 10 Oct 2018
Last Revised: 22 Jul 2024
Working Paper Series
University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads
896
42.
Some Aspects of the Economics of Catastrophe Risk Insurance
Number of pages: 26
Posted: 17 Feb 2005
Working Paper Series
University of Toulouse 1 - Industrial Economic Institute (IDEI)
Downloads
872
43.
Asset Pricing in Mercati Completi (Asset Pricing in Complete Markets)
Number of pages: 32
Posted: 02 Jun 2020
Last Revised: 22 Oct 2024
Working Paper Series
Sapienza University of Rome - Faculty of Economics
Downloads
855
44.
Political Dynasties and Political Competition in Pakistan
Number of pages: 46
Posted: 02 Mar 2020
Working Paper Series
Department of Economics, UGA, Athens and Quaid-i-Azam University
Downloads
840
45.
Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
Number of pages: 63
Posted: 24 Aug 2000
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
There are 3 versions of this paper
Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
Number of pages: 63
Posted: 24 Aug 2000
Downloads
818
Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
NBER Working Paper No. w8609
Number of pages: 36
Posted: 17 Nov 2001
Last Revised: 11 Jul 2022
Downloads
109
Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
Number of pages: 39
Posted: 16 May 2002
Downloads
27
Downloads
818
46.
Recursive Equilibrium in Krusell and Smith (1998)
Journal of Economic Theory, Forthcoming
Number of pages: 106
Posted: 03 Nov 2016
Last Revised: 11 Dec 2019
Accepted Paper Series
Georgetown University - Department of Economics
Downloads
812
47.
A Model to Analyse Financial Fragility
Economic Theory, Forthcoming
Number of pages: 33
Posted: 11 Mar 2005
Accepted Paper Series
London School of Economics & Political Science (LSE) - Financial Markets Group, London School of Economics & Political Science (LSE) - Department of Economics and University of Oxford - Said Business School and St. Edmund Hall
Downloads
811
48.
Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?
Number of pages: 32
Posted: 13 Aug 2003
Last Revised: 15 May 2011
Working Paper Series
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads
801
49.
Do Accounting Measurement Regimes Matter? A Discussion of Mark-to-Market Accounting and Liquidity Pricing
Journal of Accounting & Economics (JAE), Vol. 45, No. 2 & 3, pp. 379-387, 2008
Number of pages: 17
Posted: 30 Jul 2008
Last Revised: 21 Sep 2008
Working Paper Series
Booth School of Business, University of Chicago
Downloads
781
50.
Rise in German Wholesale Electricity Prices: Fundamental Factors, Exercise of Market Power, or Both?
IWE Working Paper No. 02
Number of pages: 23
Posted: 30 Aug 2006
Working Paper Series
University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - Institute of Economics
Downloads
781
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