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 Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
18,487
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 Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
16,783
3.
The Economics of Privacy
Journal of Economic Literature, Vol. 52, No. 2, 2016, Sloan Foundation Economics Research Paper No. 2580411
Number of pages: 64
Posted: 07 Feb 2020
Last Revised: 07 Feb 2020
Accepted Paper Series
Carnegie Mellon University - H. John Heinz III School of Public Policy and Management, Duke University - Department of Economics and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads
8,509
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 Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
6,549
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 Engineering
Downloads
5,614
6.
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 Law School and Harvard Kennedy School of Government
Downloads
5,230
7.
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 Engineering
Downloads
4,337
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 Engineering
Downloads
3,957
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 Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
There are 2 versions of this paper
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
Downloads
3,715
Optimal Execution Horizon
Mathematical Finance, Vol. 25, Issue 3, pp. 640-672, 2015
Number of pages: 33
Posted: 05 Jun 2015
Downloads
1
Downloads
3,715
10.
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 Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
3,002
11.
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
2,097
12.
Market Microstructure in the Age of Machine Learning
Number of pages: 48
Posted: 11 Jun 2018
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
1,833
13.
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
1,767
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, Sweetwater Digital Asset Consulting, LLC and Zebra Capital Management, LLC
Downloads
1,732
15.
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 University of Manchester - Department of Economics
Downloads
1,728
16.
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 Melbourne - Department of Finance, University of North Carolina Kenan-Flagler Business School and University of Toronto - Department of Economics
Downloads
1,715
17.
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
RMIT University, Camberwell Grammar School, RMIT University, Evidn and RMIT University
Downloads
1,710
18.
Incomplete Markets and Volatility
Number of pages: 46
Posted: 25 Sep 1998
Working Paper Series
EDHEC Business School - Department of Economics & Finance
Downloads
1,657
19.
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 EDHEC Business School - Department of Economics & Finance
Downloads
1,616
20.
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 Engineering
Downloads
1,576
21.
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
1,546
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
1,477
23.
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
1,340
24.
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
1,066
25.
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
1,019
26.
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 Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads
1,018
27.
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
994
28.
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
934
29.
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
914
30.
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 University of California, Santa Barbara (UCSB) - Department of Economics
Downloads
914
31.
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
Haskayne School of Business, University of Calgary
Downloads
881
32.
Liquidity, Default and Crashes: Endogenous Contracts in General Equilibrium
Number of pages: 36
Posted: 27 Sep 2001
Working Paper Series
Yale University
Downloads
860
33.
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
836
34.
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
821
35.
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
805
36.
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
800
37.
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
794
38.
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
744
39.
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
There are 2 versions of this paper
Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?
Number of pages: 32
Posted: 13 Aug 2003
Last Revised: 15 May 2011
Downloads
735
Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?
European Financial Management, Vol. 18, Issue 2, pp. 163-182, 2012
Number of pages: 20
Posted: 17 Mar 2012
Downloads
735
40.
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
718
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: 25 Oct 2010
Downloads
75
Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
Number of pages: 39
Posted: 16 May 2002
Downloads
26
Downloads
718
41.
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
715
42.
Dynamic Efficiency, the Riskless Rate and Debt Ponzi Games Under Uncertainty
Number of pages: 22
Posted: 17 Nov 2001
Working Paper Series
National Bureau of Economic Research (NBER) and Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)
There are 2 versions of this paper
Dynamic Efficiency, the Riskless Rate and Debt Ponzi Games Under Uncertainty
Number of pages: 22
Posted: 17 Nov 2001
Downloads
701
Dynamic Efficiency, the Riskless Rate, and Debt Ponzi Games Under Uncertainty
NBER Working Paper No. w3992
Number of pages: 21
Posted: 12 Apr 2004
Last Revised: 13 Jan 2009
Downloads
46
Downloads
701
43.
Multiplicity in General Financial Equilibrium with Portfolio Constraints
PIER Working Paper No. 06-012
Number of pages: 35
Posted: 27 Mar 2006
Working Paper Series
London Business School, London Business School, University of Pennsylvania, School of Arts & Sciences, Department of Economics (deceased) and University of Pennsylvania - Department of Economics
There are 3 versions of this paper
Multiplicity in General Financial Equilibrium with Portfolio Constraints
PIER Working Paper No. 06-012
Number of pages: 35
Posted: 27 Mar 2006
Downloads
689
Multiplicity in General Financial Equilibrium with Portfolio Constraints
CEPR Discussion Paper No. 5804
Number of pages: 38
Posted: 11 Oct 2006
Downloads
14
Multiplicity in General Financial Equilibrium with Portfolio Constraints
Journal of Economic Theory, Forthcoming
Posted: 21 Aug 2006
Downloads
689
44.
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
687
45.
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
680
46.
The Need for Efficient Investment: Fundamental Analysis and Technical Analysis
Number of pages: 6
Posted: 13 Apr 2015
Working Paper Series
Great Zimbabwe University
Downloads
669
47.
An Evolutionary Approach to Financial Innovation
Zurich IEER Working Paper No. 35
Number of pages: 39
Posted: 26 Jul 2000
Working Paper Series
University of Zurich - Department of Economics and University of Zurich - Department of Banking and Finance
Downloads
652
48.
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
635
49.
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
624
50.
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
622
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