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
18,488
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
16,784
3.
The Sharpe Ratio Efficient Frontier
Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of pages: 36
Posted: 24 Apr 2011
Last Revised: 07 May 2020
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads
12,078
4.
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
8,512
5.
Games, Fixed Points and Mathematical Economics
Number of pages: 134
Posted: 29 Mar 2007
Working Paper Series
University of Glasgow
Downloads
8,205
6.
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
6,554
7.
An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization
Algorithms, 6(1), pp.169-196, 2013
Number of pages: 29
Posted: 08 Jan 2013
Last Revised: 02 Jan 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads
6,028
8.
Advances in Cointegration and Subset Correlation Hedging Methods
Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37
Posted: 08 Aug 2011
Last Revised: 31 Jan 2014
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads
5,819
9.
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
5,615
10.
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
11.
A Model of Credit Risk, Optimal Policies, and Asset Prices
Number of pages: 45
Posted: 21 Mar 2001
Working Paper Series
London Business School and New York University (NYU) - Department of Finance
There are 5 versions of this paper
A Model of Credit Risk, Optimal Policies, and Asset Prices
Number of pages: 45
Posted: 21 Mar 2001
Downloads
4,428
A Model of Credit Risk, Optimal Policies, and Asset Prices
NYU Working Paper No. FIN-03-047
Number of pages: 46
Posted: 11 Nov 2008
Downloads
98
A Model of Credit Risk, Optimal Policies, and Asset Prices
NYU Working Paper No. S-CDM-03-20
Number of pages: 46
Posted: 05 Nov 2008
Downloads
79
A Model of Credit Risk, Optimal Policies, and Asset Prices
NYU Working Paper No. FIN-00-029
Number of pages: 41
Posted: 04 Nov 2008
Downloads
61
A Model of Credit Risk, Optimal Policies and Asset Prices
Number of pages: 43
Posted: 31 Jul 2002
Downloads
32
Downloads
4,428
12.
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
4,340
13.
A Comparative Study of Portfolio Insurance
London Business School Working Paper IFA 344
Number of pages: 24
Posted: 22 Dec 2001
Working Paper Series
London Business School
Downloads
4,085
14.
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
3,959
15.
Gcapm (I): A Microeconomic Theory of Investments
Number of pages: 40
Posted: 26 Mar 2003
Working Paper Series
Fan Asset Management
Downloads
3,851
16.
Balanced Baskets: A New Approach to Trading and Hedging Risks
Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44
Posted: 24 May 2012
Last Revised: 08 Sep 2012
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads
3,765
17.
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
18.
Credit Scoring with Social Network Data
Yanhao Wei, Pinar Yildirim, Christophe Van den Bulte, Chrysanthos Dellarocas (2016) Credit Scoring with Social Network Data. Marketing Science 35(2):234-258.
Number of pages: 26
Posted: 03 Aug 2014
Last Revised: 02 Mar 2018
Accepted Paper Series
University of Southern California - Marshall School of Business, University of Pennsylvania - The Wharton School, University of Pennsylvania - Marketing Department and Boston University, Questrom School of Business - Department of Information Systems
Downloads
3,525
19.
IFRS and Environmental Accounting
Number of pages: 34
Posted: 04 Dec 2009
Working Paper Series
Metropolitan State University of Denver
Downloads
3,194
20.
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
3,055
21.
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
3,003
22.
Managing Risks in a Risk-On/Risk-Off Environment
Number of pages: 50
Posted: 23 Sep 2012
Last Revised: 26 May 2014
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
2,948
23.
Asset Pricing with Heterogeneous Beliefs
Number of pages: 35
Posted: 30 Nov 2003
Working Paper Series
London Business School
There are 2 versions of this paper
Downloads
2,907
24.
The Foundations of Securities Law
Number of pages: 30
Posted: 06 Feb 2008
Last Revised: 13 Feb 2009
Working Paper Series
European University Institute (EUI)
Downloads
2,685
25.
The Strategy Approval Decision: A Sharpe Ratio Indifference Curve Approach
Algorithmic Finance, (2013) 2:1, 99-109
Number of pages: 12
Posted: 15 Feb 2012
Last Revised: 20 Jan 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory, Cornell University - Operations Research & Industrial Engineering and Universidad Complutense de Madrid (UCM)
Downloads
2,606
26.
What Factors Give Cryptocurrencies Their Value: An Empirical Analysis
Number of pages: 6
Posted: 18 Mar 2015
Last Revised: 25 Mar 2021
Working Paper Series
University of Wisconsin - Madison - Department of Sociology
Downloads
2,533
27.
Screening in New Credit Markets: Can Individual Lenders Infer Borrower Creditworthiness in Peer-to-Peer Lending?
AFA 2011 Denver Meetings Paper
Number of pages: 42
Posted: 15 Mar 2010
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Harvard University - Harvard Kennedy School (HKS), Dartmouth College and Yale School of Management
Downloads
2,461
28.
An Equilibrium Model of Blockchain-Based Cryptocurrencies
Number of pages: 36
Posted: 11 Apr 2018
Last Revised: 09 Jun 2020
Working Paper Series
SKEMA Business School
Downloads
2,437
29.
Credit Cards and Inflation
Cowles Foundation Discussion Paper No. 1709
Number of pages: 51
Posted: 18 Jun 2009
Working Paper Series
Yale University and SUNY Stony Brook - Center for Game Theory in Economics
Downloads
2,429
30.
Sustainable and Unchallenged Algorithmic Tacit Collusion
University of Tennessee Legal Studies Research Paper No. 366, Oxford Legal Studies Research Paper No. 16/2019, 17 Northwestern Journal of Technology and Intellectual Property 217 (2020)
Number of pages: 47
Posted: 06 Dec 2018
Last Revised: 09 Mar 2020
Accepted Paper Series
University of Oxford - Faculty of Law and University of Tennessee College of Law
Downloads
2,408
31.
Do Social Networks Solve Information Problems for Peer-to-Peer Lending? Evidence from Prosper.com
NET Institute Working Paper No. 08-43, Indiana University, Bloomington: School of Public & Environmental Affairs Research Paper No. 2008-11-06
Number of pages: 65
Posted: 01 Oct 2011
Working Paper Series
Indiana University Bloomington - School of Public & Environmental Affairs (SPEA) and University of Maryland - Department of Economics
There are 2 versions of this paper
Do Social Networks Solve Information Problems for Peer-to-Peer Lending? Evidence from Prosper.com
NET Institute Working Paper No. 08-43, Indiana University, Bloomington: School of Public & Environmental Affairs Research Paper No. 2008-11-06
Number of pages: 65
Posted: 01 Oct 2011
Downloads
2,370
Do Social Networks Solve Information Problems for Peer-to-Peer Lending? Evidence from Prosper.Com
NET Institute Working Paper No. 08-43
Number of pages: 64
Posted: 26 Nov 2008
Downloads
1,566
Downloads
2,370
32.
The Institutional Nature of Price Bubbles
Number of pages: 24
Posted: 01 Feb 2007
Last Revised: 28 Jan 2008
Working Paper Series
University of Texas at Dallas and Northwestern University - Kellogg School of Business
Downloads
2,351
33.
Estimação da Matriz Insumo-Produto Utilizando Dados Preliminares das Contas Nacionais: Aplicação e Análise de Indicadores Econômicos para o Brasil em 2005 (Using Data from the System of National Accounts to Estimate Input-Output Matrices: An Application Using Brazilian Data for 2005)
Number of pages: 10
Posted: 11 May 2011
Last Revised: 03 Aug 2011
Working Paper Series
Organization for Economic Co-Operation and Development (OECD) - Directorate for Science, Technology and Industry (STI) and Universidade Estadual de Londrina
Downloads
2,312
34.
The Perception of Time, Risk and Return During Periods of Speculation
Number of pages: 37
Posted: 11 Jan 2002
Working Paper Series
Columbia University
Downloads
2,276
35.
Risk Analysis of Accounting Information System Infrastructure
Number of pages: 12
Posted: 15 Feb 2011
Working Paper Series
"Alexandru Ioan Cuza" University - Ia?i, România - Faculty of Economics and Business Administration - Doctoral School of Economics
Downloads
2,214
36.
Endogenous Uncertainty in a General Equilibrium Model with Price Contingent Contracts
Number of pages: 56
Posted: 01 Feb 1997
Working Paper Series
Stanford University - Department of Economics and National Taiwan University - Department of International Business
There are 2 versions of this paper
Endogenous Uncertainty in a General Equilibrium Model with Price Contingent Contracts
Number of pages: 56
Posted: 01 Feb 1997
Downloads
2,183
Endogenous Uncertainty in a General Equilibrium Model with Price Contingent Contracts
ECONOMIC THEORY, Vol. 8, No. 3, November 1996
Posted: 05 Feb 1997
Downloads
2,183
37.
Equity Valuation: A Survey of Professional Practice
Number of pages: 26
Posted: 09 Sep 2015
Working Paper Series
CFA Institute, AACSB International and Ohio University
Downloads
2,100
38.
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
39.
Monopoly Power and the Firm's Valuation: A Dynamic Analysis of Short Versus Long-Term Policies
Number of pages: 32
Posted: 16 Sep 2000
Working Paper Series
London Business School and London Business School
There are 3 versions of this paper
Monopoly Power and the Firm's Valuation: A Dynamic Analysis of Short Versus Long-Term Policies
Number of pages: 32
Posted: 16 Sep 2000
Downloads
2,087
Monopoly Power and the Firm's Valuation: A Dynamic Analysis of Short Versus Long-Term Policies
CEPR Discussion Paper No. 3425
Number of pages: 35
Posted: 13 Aug 2002
Downloads
25
Downloads
2,087
40.
Price Pressures
Journal of Financial Economics, 2014, Vol 114, p. 405-423.
Number of pages: 33
Posted: 31 May 2009
Last Revised: 18 Feb 2015
Accepted Paper Series
University of California, Berkeley - Haas School of Business and Vrije Universiteit Amsterdam
Downloads
2,073
41.
Why Markets Are Inefficient: A Gambling ‘Theory’ of Financial Markets for Practitioners and Theorists
Number of pages: 30
Posted: 03 Mar 2017
Last Revised: 31 Aug 2017
Working Paper Series
Stuart School of Business, Illinois Institute of Technology
Downloads
2,054
42.
Gmos, Trade Policy, and Welfare in Rich and Poor Countries
CIES Working Paper No. 21
Number of pages: 43
Posted: 14 Jul 2000
Working Paper Series
Danish Research Institute of Food Economics (FOI) - Agricultural Policy Division and University of Adelaide - Centre for International Economic Studies (CIES)
Downloads
2,042
43.
A Journey Through the 'Mathematical Underworld' of Portfolio Optimization
Number of pages: 26
Posted: 11 Feb 2013
Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
1,996
44.
Real Anomalies
Journal of Finance, August 2019, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74
Posted: 16 Mar 2016
Last Revised: 11 Aug 2020
Accepted Paper Series
University of Pennsylvania - The Wharton School and University of Rochester - Simon Business School
There are 2 versions of this paper
Real Anomalies
Journal of Finance, August 2019, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74
Posted: 16 Mar 2016
Last Revised: 11 Aug 2020
Downloads
1,966
Downloads
1,966
45.
The CAPM and Beta in an Imperfect Market
Number of pages: 5
Posted: 07 Apr 2003
Working Paper Series
University of Tennessee, Knoxville - Department of Finance and University of Massachusetts Lowell - Department of Finance
There are 2 versions of this paper
Downloads
1,873
46.
The Illusion of the Perpetual Money Machine
Swiss Finance Institute Research Paper No. 12-40
Number of pages: 30
Posted: 21 Dec 2012
Working Paper Series
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads
1,869
47.
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
1,836
48.
Functional Forms for Tractable Economic Models and the Cost Structure of International Trade
Number of pages: 61
Posted: 26 Sep 2018
Last Revised: 26 Sep 2018
Working Paper Series
University of Tokyo - Graduate School of Economics and Microsoft
Downloads
1,827
49.
Paris Agreement and Consensus to Address Climate Challenge
ASIL INSIGHT, Forthcoming
Number of pages: 19
Posted: 03 Jan 2016
Last Revised: 11 Jan 2016
Accepted Paper Series
BurlesonInstitute.org
Downloads
1,769
50.
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
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