Peter Lerner

Wenzhou-Kean University - Wenzhou Kean Business School

Kean University (ret.)

Wenzhou, China

Union City, NJ Wenzhou 07083

China

SCHOLARLY PAPERS

18

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SSRN CITATIONS

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CROSSREF CITATIONS

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Ideas:
“  Relativistic limitations on the transmission of information in the trading networks. It is well known that since about 2010, hi-frequency trading companies began to collocate their servers with the exchanges. My latest work paper proposes the description of the information transmission through the trading network as a time-dependent signed measure. This allows to apply M/M/G queuing theory to describe transmission of a trading signal. Some form of solution for the simplest topology: that of an interval was published in: www.mdpi.com/2227-7072/9/1/12?utm_campaign=releaseissue_ijfsutm_medium=emailutm_source=releaseissueutm_term=titlelink11 I think I know how to work out the stability solution for the complex networks but nobody seem to be interested.  ”

Scholarly Papers (18)

1.

Alternative View of the Current (2008) Crisis in the US Financial System

Number of pages: 22 Posted: 25 Jun 2008 Last Revised: 21 Jul 2008
Peter Lerner
Wenzhou-Kean University - Wenzhou Kean Business School
Downloads 524 (64,824)

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Real estate, crisis, contagion

2.

Calibration of the Structural Model of Corporate Bond Spreads

Number of pages: 40 Posted: 15 Dec 2005
Peter Lerner and Chunchi Wu
Wenzhou-Kean University - Wenzhou Kean Business School and SUNY at Buffalo - School of Management
Downloads 191 (192,207)

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Fixed income, structural model, corporate bonds

3.

Was There a Bubble in Nasdaq? Information-Based Reexamination

Number of pages: 19 Posted: 25 Jun 2008
Peter Lerner
Wenzhou-Kean University - Wenzhou Kean Business School
Downloads 143 (245,698)
Citation 2

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Bubbles, NASDAQ, complete markets

4.

Attempts at Pricing of the Regulatory Commodity: EU Emission Credits

Environmental Economics, Vol. 1, Issue 1, 2010
Number of pages: 13 Posted: 01 Jul 2009 Last Revised: 10 Mar 2012
Peter Lerner
Wenzhou-Kean University - Wenzhou Kean Business School
Downloads 86 (350,152)

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environmental finance, alternative investments, carbon permits, EU

5.

Case 'Boeing' — Funny Accounting and Serious Valuations

Number of pages: 31 Posted: 21 Jun 2018
Yang Yoga Xu and Peter Lerner
Wenzhou-Kean University - Wenzhou Kean Business School and Wenzhou-Kean University - Wenzhou Kean Business School
Downloads 66 (406,612)

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Asset valuation, Boeing Co., dividend discount model, corporate accounting, deferred taxes

6.

Informational Criteria for Positive and Negative Bubbles: An Experiment in Forensic Finance

Number of pages: 23 Posted: 30 Jun 2015 Last Revised: 06 Apr 2020
Peter Lerner
Wenzhou-Kean University - Wenzhou Kean Business School
Downloads 60 (426,623)

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Bubbles, NASDAQ, oil prices, negative bubble

7.

Asset Pricing Theory in Light of Ellsberg Paradox

Number of pages: 23 Posted: 27 Feb 2011 Last Revised: 08 Mar 2012
Peter Lerner
Wenzhou-Kean University - Wenzhou Kean Business School
Downloads 59 (430,123)

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Asymmetric Information, Volatility, Microstructure Noise

8.

Terrorism as a Corporate Governance Problem

First Conference on Terrorism, Maxwell School of Public Policy, Syracuse University, 2005
Number of pages: 11 Posted: 30 Jun 2012 Last Revised: 18 Jul 2013
Peter Lerner
Wenzhou-Kean University - Wenzhou Kean Business School
Downloads 38 (515,897)

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Terrorism, Corporate Governance, Typology

9.

The Fellowship of LIBOR: A Study of Interbank Correlations by the Method of Wigner-Ville Function

Number of pages: 31 Posted: 19 Apr 2016 Last Revised: 25 Sep 2019
Peter Lerner
Wenzhou-Kean University - Wenzhou Kean Business School
Downloads 34 (535,888)

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LIBOR, Libor manipulation, Wigner-Ville Function, Financial econometrics

10.

The Fellowship of LIBOR: A Study of Spurious Interbank Correlations by the Method of Wigner-Ville Function

Number of pages: 23 Posted: 04 Jan 2016
Peter Lerner
Wenzhou-Kean University - Wenzhou Kean Business School
Downloads 22 (607,527)

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LIBOR, quote submissions, member banks, Wigner-Ville function, signal processing, financial econometrics

11.

Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010

Number of pages: 35 Posted: 08 May 2020 Last Revised: 13 Aug 2020
Peter Lerner
Wenzhou-Kean University - Wenzhou Kean Business School
Downloads 21 (614,250)

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Market Microstructure, Brokerages, China, Econometrics in Phase Space, Neural Networks

12.

Transmission of Market Orders Through Communication Line With Relativistic Delay

Number of pages: 15 Posted: 28 Aug 2020
Peter Lerner
Wenzhou-Kean University - Wenzhou Kean Business School
Downloads 6 (724,620)
Citation 1

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Econophysics, High-Frequency Trading, Queue Theory, Information Transmission

13.

Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That

Posted: 06 Jul 2017 Last Revised: 26 Mar 2018
Peter Lerner
Wenzhou-Kean University - Wenzhou Kean Business School

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Malliavin Calculus, Creation-Annihilation Operators, Heisenberg Equations, Probability Current, Asset Prices

14.

Patience vs. Impatience of Traders: Formation of the Value-at-Price Distribution Through Competition for Liquidity

Lerner, P. B., 2015, ― Patience vs. Impatience of Traders: Formation of the Value-At-Price Distribution through Competition for Liquidity, International Journal of Financial Engineering, Vol. 2 (3), DOI: 10.1142/S24247863155002921550029.
Posted: 29 Jun 2012 Last Revised: 04 Jan 2016
Peter Lerner
Wenzhou-Kean University - Wenzhou Kean Business School

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Market microstructure, Limit Order Book (LOB) models, Foucault, Kadan, Kandel

15.

Price Volatility and Market Frictions

STOCK MARKET VOLATILITY, Greg N. Gregoriou, ed., Chapman & Hall/CRC, April 2009
Posted: 21 Dec 2007 Last Revised: 07 Mar 2012
Peter Lerner and Chunchi Wu
Wenzhou-Kean University - Wenzhou Kean Business School and SUNY at Buffalo - School of Management

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Price volatility, market friction, informed trading, tick size, sovereign bonds

16.

Microstructure of the Bid-Ask Spreads of Russian Sovereign Bonds (1996-2000): Spreads as Indicators of Liquidity

EMERGING MARKETS: PERFORMANCE, ANALYSIS AND INNOVATION, Greg N. Gregoriou, ed., Chapman & Hall/CRC, June 2009
Posted: 21 Dec 2007 Last Revised: 07 Mar 2012
Peter Lerner and Chunchi Wu
Wenzhou-Kean University - Wenzhou Kean Business School and SUNY at Buffalo - School of Management

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Informed trading, microstructure of emerging markets, Russian Federation debt, bond spreads, Brock-Dechert-Scheinkman (BDS), Stock-Watson and Chow tests

17.

Review of Several Hypotheses in Market Microstructure

Peter Lerner, MICROSTRUCTURE AND NOISE IN FINANCIAL MARKETS: RIGOROUS AND NOT-SO RIGOROUS RESULTS IN MARKET MICROSTRUCTURE, VDM Verlag, May 2009
Posted: 21 Dec 2007 Last Revised: 07 Mar 2012
Peter Lerner
Wenzhou-Kean University - Wenzhou Kean Business School

Abstract:

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Market microstructure, asset pricing models

18.

Investigation of 1998 'Russian Contagion' for the Hungary-Germany Pair of Interest Rates in a Reduced-Form Model

Posted: 18 Apr 2007 Last Revised: 11 Dec 2014
Peter Lerner
Wenzhou-Kean University - Wenzhou Kean Business School

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Reduced-form model, emerging markets, credit risk