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JEL Code: C44

230,954 Total downloads

Viewing: 1 - 50 of 1,140 papers

1.

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 7,831
2.

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 Engineering and University of California, Irvine
Downloads 4,491
3.

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 4,278
4.

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 3,855
5.

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 - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Baruch College
Downloads 3,508
6.

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 3,056
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 2,808
8.

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

Multiple version iconThere are 2 versions of this paper

Downloads 2,393
9.

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 Bundeswehr University Munich
Downloads 2,336
10.

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
Robert H. Smith School of Business, University of Maryland and Duke University - Pratt School of Engineering
Downloads 2,285
11.

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 2,270
12.

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 2,232
13.

Statistical Arbitrage: Medium Frequency Portfolio Trading

Number of pages: 27 Posted: 25 Jun 2013 Last Revised: 09 Jul 2013
Working Paper Series
Independent
Downloads 2,221
14.

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 2,191
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 2,184
16.

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 2,061
17.

Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions

Number of pages: 41 Posted: 18 Nov 2013
Working Paper Series
IESEG School of Management, EDHEC Business School and ARPM - Advanced Risk and Portfolio Management
Downloads 2,030
18.

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
Georgia State University, Ecole Polytechnique Fédérale de Lausanne and Cornell University

Multiple version iconThere are 2 versions of this paper

Downloads 1,883
19.

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 1,832
20.

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 Rotterdam, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 1,676
21.

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, Aarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads 1,638
22.

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 1,493
23.

Deeply Learning Derivatives

Number of pages: 14 Posted: 09 Oct 2018 Last Revised: 20 Oct 2018
Working Paper Series
Riskfuel and Scotiabank
Downloads 1,473
24.

Cognitive Biases that Interfere with Critical Thinking and Scientific Reasoning: A Course Module

Number of pages: 61 Posted: 26 Apr 2017 Last Revised: 01 Jul 2017
Working Paper Series
Brooklyn College of the City University of New York
Downloads 1,458
25.

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 1,427
26.

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 1,377
27.

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 1,372
28.

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 1,367
29.

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 1,348
30.

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 Engineering
Downloads 1,344
31.

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 1,324
32.

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
Federal Reserve Banks - Federal Reserve Bank of Cleveland and Fordham University

Multiple version iconThere are 2 versions of this paper

Downloads 1,280
33.

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 1,272
34.

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 1,271
35.

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 1,201
36.

The NASDAQ Crash of April 2000: Yet Another Example of Log-Periodicity in a Speculative Bubble Ending in a Crash

Number of pages: 10 Posted: 09 Jun 2000
Working Paper Series
Riso National Laboratory - Wind Energy Department and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,170
37.

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 1,127
38.

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
Vince Strategies LLC
Downloads 1,116
39.

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 1,101
40.

The Joint Effect of Relationship Perceptions, Loyalty Program and Direct Mailing on Customer Share Development

Number of pages: 59 Posted: 20 Feb 2003
Working Paper Series
University of Groningen - Department of Marketing & Marketing Research
Downloads 1,088
41.

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 1,069
42.

Econometric Analysis of the Market Share Attraction Model

ERIM Report Series Reference No. ERS-2001-25-MKT
Number of pages: 35 Posted: 26 Aug 2006
Working Paper Series
Econometric Institute - Erasmus University Rotterdam, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 1,065
43.

Competitive Reactions and the Cross-Sales Effects of Advertising and Promotion

Number of pages: 55 Posted: 20 Feb 2003
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Marketing Area, Northwestern University - Department of Marketing, University of California, Los Angeles (UCLA) - Anderson School of Management and Catholic University of Leuven (KUL) - Department of Applied Economics
Downloads 1,055
44.

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
Faculty of Tourism (IREST)
Downloads 1,029
45.

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 1,012
46.

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 972
47.

Warehouse Real-Time Simulator – How to Optimize Order Picking Time

Number of pages: 18 Posted: 18 Nov 2013
Working Paper Series
Uniwersytet Ekonomiczny we Wroc?awiu
Downloads 964
48.

Corporate Liquidity, Dividend Policy and Default Risk: Optimal Financial Policy and Agency Costs

Number of pages: 48 Posted: 07 Apr 2008 Last Revised: 30 May 2009
Working Paper Series
IESEG School of Management, LEM CNRS, UMR 9221 and Abu Dhabi Investment Authority, ADIA
Downloads 942
49.

The Impact of Brand and Category Characteristics on Consumer Stock-Out Reactions

Number of pages: 46 Posted: 18 Jan 2003
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus Food Management Institute, University of Groningen - Department of Marketing & Marketing Research and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 932
50.

Star Wars: The Empirics Strike Back

Paris School of Economics Working Paper No. 2012-29
Number of pages: 38 Posted: 23 Jun 2012
Working Paper Series
University of Ottawa - Department of Economics, Banque de France, Aix-Marseille University - Aix-Marseille School of Economics and University of Bristol

Multiple version iconThere are 2 versions of this paper

Downloads 917