32
H index
44
i10 index
6785
Citations
Massachusetts Institute of Technology (MIT) | 32 H index 44 i10 index 6785 Citations RESEARCH PRODUCTION: 47 Articles 84 Papers 2 Books 4 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Andrew W. Lo. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Financial Economics | 9 |
Journal of Econometrics | 4 |
Review of Financial Studies | 4 |
Annual Review of Financial Economics | 3 |
American Economic Review | 3 |
Quantitative Finance | 3 |
Journal of Financial Markets | 3 |
Journal of Finance | 3 |
Macroeconomic Dynamics | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 4 |
Computing in Economics and Finance 1999 / Society for Computational Economics | 2 |
Year | Title of citing document | |
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2020 | Risk Analysis of a Hedge Fund Oriented on Sustainable and Responsible Investments for Emerging Markets. (2020). Prelipcean, Gabriela ; Boscoianu, Mircea . In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:22:y:2020:i:55:p:653. Full description at Econpapers || Download paper | |
2020 | Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: AMSE Working Papers. RePEc:aim:wpaimx:2025. Full description at Econpapers || Download paper | |
2021 | David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1603.00984. Full description at Econpapers || Download paper | |
2020 | A hybrid approach for risk assessment of loan guarantee network. (2017). Zha, Hongyuan ; Zhang, Liqing ; Yan, Junchi ; Cheng, Dawei ; Niu, Zhibin . In: Papers. RePEc:arx:papers:1702.04642. Full description at Econpapers || Download paper | |
2020 | A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2019). Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier ; Donnat, Philippe . In: Papers. RePEc:arx:papers:1703.00485. Full description at Econpapers || Download paper | |
2020 | Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028. Full description at Econpapers || Download paper | |
2020 | Portfolio Choice with Small Temporary and Transient Price Impact. (2019). Muhle-Karbe, Johannes ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1705.00672. Full description at Econpapers || Download paper | |
2020 | Modeling Technical Analysis. (2018). Jacka, Saul D ; Maeda, Jun . In: Papers. RePEc:arx:papers:1707.05253. Full description at Econpapers || Download paper | |
2020 | Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1708.03992. Full description at Econpapers || Download paper | |
2020 | Liquidity in Competitive Dealer Markets. (2018). Muhle-Karbe, Johannes ; Ekren, Ibrahim ; Bank, Peter. In: Papers. RePEc:arx:papers:1807.08278. Full description at Econpapers || Download paper | |
2020 | Optimal Execution Strategy Under Price and Volume Uncertainty. (2019). Hauser, Raphael ; Vaes, Julien. In: Papers. RePEc:arx:papers:1810.11454. Full description at Econpapers || Download paper | |
2020 | Asymmetric Connectedness of Fears in the U.S. Financial Sector. (2018). BarunÃÂk, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:1810.12022. Full description at Econpapers || Download paper | |
2020 | Systemic risk assessment through high order clustering coefficient. (2018). Cerqueti, Roy ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:1810.13250. Full description at Econpapers || Download paper | |
2020 | Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case. (2019). Bayraktar, Erhan ; Ekren, Ibrahim ; Caye, Thomas. In: Papers. RePEc:arx:papers:1811.06650. Full description at Econpapers || Download paper | |
2020 | Equilibrium Asset Pricing with Transaction Costs. (2019). Possamai, Dylan ; Muhle-Karbe, Johannes ; Herdegen, Martin. In: Papers. RePEc:arx:papers:1901.10989. Full description at Econpapers || Download paper | |
2020 | Asset Pricing with General Transaction Costs: Theory and Numerics. (2019). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Gonon, Lukas. In: Papers. RePEc:arx:papers:1905.05027. Full description at Econpapers || Download paper | |
2020 | Asset Pricing with Heterogeneous Beliefs and Illiquidity. (2019). Tan, Xiaowei ; Nutz, Marcel ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1905.05730. Full description at Econpapers || Download paper | |
2020 | Mechanics of good trade execution in the framework of linear temporary market impact. (2019). Brigo, Damiano ; Bellani, Claudio. In: Papers. RePEc:arx:papers:1909.10464. Full description at Econpapers || Download paper | |
2020 | Asset Prices with Investor Protection in Approximate Fractional Economy. (2019). Huang, Nan-Jing ; Wang, Ming-Hui ; Yang, Ben-Zhang ; Yue, Jia. In: Papers. RePEc:arx:papers:1911.00281. Full description at Econpapers || Download paper | |
2020 | Neural networks for option pricing and hedging: a literature review. (2019). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1911.05620. Full description at Econpapers || Download paper | |
2020 | Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911. Full description at Econpapers || Download paper | |
2020 | Optimal liquidation trajectories for the Almgren-Chriss model with Levy processes. (2020). Xu, Junwei ; Lokka, Arne. In: Papers. RePEc:arx:papers:2002.03376. Full description at Econpapers || Download paper | |
2020 | Price impact equilibrium with transaction costs and TWAP trading. (2020). Weston, Kim ; Noh, Eunjung. In: Papers. RePEc:arx:papers:2002.08286. Full description at Econpapers || Download paper | |
2020 | Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning. (2020). Ibikunle, Gbenga ; Moews, Ben. In: Papers. RePEc:arx:papers:2002.10385. Full description at Econpapers || Download paper | |
2020 | Convex Optimization Over Risk-Neutral Probabilities. (2020). Boyd, Stephen ; Tuck, Jonathan ; Barratt, Shane. In: Papers. RePEc:arx:papers:2003.02878. Full description at Econpapers || Download paper | |
2020 | Deep Deterministic Portfolio Optimization. (2020). de Lataillade, Joachim ; Emmanuel, ; Schmidt, Christian ; Hardiman, Stephen ; Chaouki, Ayman. In: Papers. RePEc:arx:papers:2003.06497. Full description at Econpapers || Download paper | |
2020 | Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723. Full description at Econpapers || Download paper | |
2020 | Market Efficient Portfolios in a Systemic Economy. (2020). Weber, Stefan ; Capponi, Agostino ; Awiszus, Kerstin. In: Papers. RePEc:arx:papers:2003.10121. Full description at Econpapers || Download paper | |
2021 | Finite population games of optimal execution. (2020). Thamsten, Yuri ; Evangelista, David. In: Papers. RePEc:arx:papers:2004.00790. Full description at Econpapers || Download paper | |
2020 | Comprehensive Review of Deep Reinforcement Learning Methods and Applications in Economics. (2020). Duan, Puhong ; Faghan, Yaser ; Ghamisi, Pedram ; Mosavi, Amir. In: Papers. RePEc:arx:papers:2004.01509. Full description at Econpapers || Download paper | |
2021 | An extensive study of stylized facts displayed by Bitcoin returns. (2020). Brigatti, E ; Bertella, M A ; Silva, J N ; F. N. M. de Sousa Filho, . In: Papers. RePEc:arx:papers:2004.05870. Full description at Econpapers || Download paper | |
2020 | Stress testing and systemic risk measures using multivariate conditional probability. (2020). Aste, Tomaso. In: Papers. RePEc:arx:papers:2004.06420. Full description at Econpapers || Download paper | |
2020 | Long memory in select stock returns using an alternative wavelet log-scale alignment approach. (2020). Kamaiah, Bandi ; Bhandari, Avishek. In: Papers. RePEc:arx:papers:2004.08550. Full description at Econpapers || Download paper | |
2020 | Hedging with Neural Networks. (2020). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:2004.08891. Full description at Econpapers || Download paper | |
2020 | Multi-frequency-band tests for white noise under heteroskedasticity. (2020). Zhu, Ke ; Liu, Mengya. In: Papers. RePEc:arx:papers:2004.09161. Full description at Econpapers || Download paper | |
2020 | Optimal execution with liquidity risk in a diffusive order book market. (2020). Lee, Kiseop. In: Papers. RePEc:arx:papers:2004.10951. Full description at Econpapers || Download paper | |
2020 | A Time Series Analysis-Based Stock Price Prediction Using Machine Learning and Deep Learning Models. (2020). Sen, Jaydip ; Mehtab, Sidra. In: Papers. RePEc:arx:papers:2004.11697. Full description at Econpapers || Download paper | |
2020 | A Stochastic LQR Model for Child Order Placement in Algorithmic Trading. (2020). Shen, Jackie Jianhong . In: Papers. RePEc:arx:papers:2004.13797. Full description at Econpapers || Download paper | |
2020 | Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160. Full description at Econpapers || Download paper | |
2020 | Neural Networks and Value at Risk. (2020). Weisheit, Stefan ; Klawunn, Michael ; Hoepner, Andreas ; Borth, Damian ; Arimond, Alexander. In: Papers. RePEc:arx:papers:2005.01686. Full description at Econpapers || Download paper | |
2020 | Differential Machine Learning. (2020). Savine, Antoine ; Huge, Brian . In: Papers. RePEc:arx:papers:2005.02347. Full description at Econpapers || Download paper | |
2020 | Multivariate non-Gaussian models for financial applications. (2020). Tassinari, Gian Luca ; Hitaj, Asmerilda ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2005.06390. Full description at Econpapers || Download paper | |
2020 | False (and Missed) Discoveries in Financial Economics. (2020). Liu, Yan ; Harvey, Campbell R. In: Papers. RePEc:arx:papers:2006.04269. Full description at Econpapers || Download paper | |
2020 | Dynamic Network Risk. (2020). BarunÃÂk, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639. Full description at Econpapers || Download paper | |
2020 | An overall view of key problems in algorithmic trading and recent progress. (2020). Karpe, Michael. In: Papers. RePEc:arx:papers:2006.05515. Full description at Econpapers || Download paper | |
2020 | C\`adl\`ag semimartingale strategies for optimal trade execution in stochastic order book models. (2020). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2006.05863. Full description at Econpapers || Download paper | |
2020 | Evidence of Crowding on Russell 3000 Reconstitution Events. (2020). Neuman, Eyal ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2006.07456. Full description at Econpapers || Download paper | |
2020 | Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307. Full description at Econpapers || Download paper | |
2021 | Learning a functional control for high-frequency finance. (2020). Lehalle, Charles-Albert ; Lauriere, Mathieu ; Leal, Laura. In: Papers. RePEc:arx:papers:2006.09611. Full description at Econpapers || Download paper | |
2020 | Deeply Equal-Weighted Subset Portfolios. (2020). Il, Sang. In: Papers. RePEc:arx:papers:2006.14402. Full description at Econpapers || Download paper | |
2020 | A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312. Full description at Econpapers || Download paper | |
2020 | Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network. (2020). Alonso-Gonz, P J ; Ramos, E ; J. J. N'u~nez-Vel'azquez, . In: Papers. RePEc:arx:papers:2006.16383. Full description at Econpapers || Download paper | |
2020 | Dynamic Hedging using Generated Genetic Programming Implied Volatility Models. (2020). Abdelmalek, Wafa ; Abid, Fathi ; ben Hamida, Sana. In: Papers. RePEc:arx:papers:2006.16407. Full description at Econpapers || Download paper | |
2020 | Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks. (2020). Roche, Jules ; Lezmi, Edmond ; Xu, Jiali ; Roncalli, Thierry. In: Papers. RePEc:arx:papers:2007.04838. Full description at Econpapers || Download paper | |
2020 | Intelligent Credit Limit Management in Consumer Loans Based on Causal Inference. (2020). Fang, Yanming ; Yu, Quan ; Jiang, Linbo ; Miao, Hang ; Zhao, Kui ; Wang, Zhun. In: Papers. RePEc:arx:papers:2007.05188. Full description at Econpapers || Download paper | |
2020 | A comparative study of forecasting Corporate Credit Ratings using Neural Networks, Support Vector Machines, and Decision Trees. (2020). Florescu, Ionuct ; Golbayani, Parisa ; Chatterjee, Rupak. In: Papers. RePEc:arx:papers:2007.06617. Full description at Econpapers || Download paper | |
2020 | Transaction Costs in Execution Trading. (2020). Marcos, David. In: Papers. RePEc:arx:papers:2007.07998. Full description at Econpapers || Download paper | |
2020 | Deep Local Volatility. (2020). Dixon, Matthew ; Cr, St'Ephane ; Chataigner, Marc. In: Papers. RePEc:arx:papers:2007.10462. Full description at Econpapers || Download paper | |
2020 | Data-Driven Option Pricing using Single and Multi-Asset Supervised Learning. (2020). Tanksale, Atharva ; Rajani, Sharan ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2008.00462. Full description at Econpapers || Download paper | |
2020 | Crowd, Lending, Machine, and Bias. (2020). Singh, Paramvir ; Huang, Yan ; Fu, Runshan. In: Papers. RePEc:arx:papers:2008.04068. Full description at Econpapers || Download paper | |
2020 | Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822. Full description at Econpapers || Download paper | |
2020 | Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). BarunÃÂk, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394. Full description at Econpapers || Download paper | |
2020 | Volatility Forecasting with 1-dimensional CNNs via transfer learning. (2020). , J'Ozsef ; Petneh, G'Abor ; Aradi, Bernadett. In: Papers. RePEc:arx:papers:2009.05508. Full description at Econpapers || Download paper | |
2020 | Optimal Order Execution in Intraday Markets: Minimizing Costs in Trade Trajectories. (2020). Ziel, Florian ; Kath, Christopher. In: Papers. RePEc:arx:papers:2009.07892. Full description at Econpapers || Download paper | |
2020 | CoVaR with volatility clustering, heavy tails and non-linear dependence. (2020). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2009.10764. Full description at Econpapers || Download paper | |
2020 | The Knowledge Graph for Macroeconomic Analysis with Alternative Big Data. (2020). , Weinan ; Huang, Guanhua ; Pang, Yue ; Yang, Yucheng. In: Papers. RePEc:arx:papers:2010.05172. Full description at Econpapers || Download paper | |
2020 | Tight Bounds for a Class of Data-Driven Distributionally Robust Risk Measures. (2020). Zhang, Shuzhong ; Singh, Derek. In: Papers. RePEc:arx:papers:2010.05398. Full description at Econpapers || Download paper | |
2020 | Binary Choice with Asymmetric Loss in a Data-Rich Environment: Theory and an Application to Racial Justice. (2020). Babii, Andrii ; Chen, XI ; Kumar, Rohit ; Ghysels, Eric. In: Papers. RePEc:arx:papers:2010.08463. Full description at Econpapers || Download paper | |
2020 | Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061. Full description at Econpapers || Download paper | |
2020 | Portfolio Liquidation Games with Self-Exciting Order Flow. (2020). Horst, Ulrich ; Fu, Guanxing ; Xia, Xiaonyu. In: Papers. RePEc:arx:papers:2011.05589. Full description at Econpapers || Download paper | |
2020 | Price Impact on Term Structure. (2020). Neuman, Eyal ; Graceffa, Federico ; Brigo, Damiano. In: Papers. RePEc:arx:papers:2011.10113. Full description at Econpapers || Download paper | |
2020 | An Equilibrium Model for the Cross-Section of Liquidity Premia. (2020). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Yang, Chen. In: Papers. RePEc:arx:papers:2011.13625. Full description at Econpapers || Download paper | |
2020 | The Deep Parametric PDE Method: Application to Option Pricing. (2020). Wunderlich, Linus ; Glau, Kathrin. In: Papers. RePEc:arx:papers:2012.06211. Full description at Econpapers || Download paper | |
2021 | Estimating real-world probabilities: A forward-looking behavioral framework. (2020). Crisóstomo, Ricardo. In: Papers. RePEc:arx:papers:2012.09041. Full description at Econpapers || Download paper | |
2020 | The Causal Learning of Retail Delinquency. (2020). Leung, Cheuk Hang ; Huang, Yiyan ; Wang, Dongdong ; Peng, Nanbo ; Wu, QI ; Yan, Xing. In: Papers. RePEc:arx:papers:2012.09448. Full description at Econpapers || Download paper | |
2021 | COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2021). Billio, Monica ; Matteo, Iacopini ; Michele, Costola ; Roberto, Casarin ; Monica, Billio. In: Papers. RePEc:arx:papers:2101.00422. Full description at Econpapers || Download paper | |
2021 | On regularized optimal execution problems and their singular limits. (2021). Thamsten, Yuri ; Souza, Max O. In: Papers. RePEc:arx:papers:2101.02731. Full description at Econpapers || Download paper | |
2021 | Diagnosis of systemic risk and contagion across financial sectors. (2021). Zhu, Richard Licheng ; Choudhari, Sayuj. In: Papers. RePEc:arx:papers:2101.06585. Full description at Econpapers || Download paper | |
2021 | Extensive networks would eliminate the demand for pricing formulas. (2021). Huh, Jeonggyu ; Park, Kyunghyun ; Jeon, Jaegi. In: Papers. RePEc:arx:papers:2101.09064. Full description at Econpapers || Download paper | |
2021 | Black-box model risk in finance. (2021). Cohen, Samuel N ; Snow, Derek ; Szpruch, Lukasz. In: Papers. RePEc:arx:papers:2102.04757. Full description at Econpapers || Download paper | |
2020 | Testing Weak-Form Market Efficiency: The Case of Saudi Arabia. (2020). Akeel, H ; Khoj, H. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:644-653. Full description at Econpapers || Download paper | |
2020 | Triggers and Barriers of Financial Inclusion: A Country-Wise Analysis. (2020). Sood, Keshav ; Mukherjee, Shrabani. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:970-988. Full description at Econpapers || Download paper | |
2020 | Moderating Factors and Customer Loyalty of Selected Hotels in Lagos State, Nigeria. (2020). Ighomereho, Salome O ; Agada, Solomon A ; Patrick, . In: Journal of Asian Business Strategy. RePEc:asi:joabsj:2020:p:1-12. Full description at Econpapers || Download paper | |
2020 | On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity. (2020). Hipp, Ruben. In: Staff Working Papers. RePEc:bca:bocawp:20-42. Full description at Econpapers || Download paper | |
2021 | Understanding the performance of machine learning models to predict credit default: a novel approach for supervisory evaluation. (2021). Carbo, Jose Manuel ; Alonso, Andres. In: Working Papers. RePEc:bde:wpaper:2105. Full description at Econpapers || Download paper | |
2020 | FinTech credit: a critical review of empirical research. (2020). Branzoli, Nicola ; Supino, Ilaria. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_549_20. Full description at Econpapers || Download paper | |
2020 | What can we learn about mortgage supply from online data?. (2020). Ciocchetta, Federica ; Carella, Agnese ; Signoretti, Federico Maria ; Michelangeli, Valentina. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_583_20. Full description at Econpapers || Download paper | |
2020 | Economic Activity and the Value of Medical Innovation during a Pandemic. (2020). Mulligan, Casey B. In: Working Papers. RePEc:bfi:wpaper:2020-48. Full description at Econpapers || Download paper | |
2020 | Market segmentation and supplyâ€chain predictability: evidence from China. (2020). Wu, Chongfeng ; Diao, Xundi ; Li, Rui. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1531-1562. Full description at Econpapers || Download paper | |
2020 | Economic crisis and determinants of solvency in the insurance sector: new evidence from Spain. (2020). Trujilloponce, Antonio ; Parradomartinez, Purificacion ; Moreno, Ignacio . In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2965-2994. Full description at Econpapers || Download paper | |
2020 | Do ETF flows increase market efficiency? Evidence from China. (2020). Xu, Liao ; Chen, Jilong ; Zhao, Yang. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:5:p:4795-4819. Full description at Econpapers || Download paper | |
2020 | Shocks to food market systems: A network approach. (2020). Kshirsagar, Varun ; Baffes, John. In: Agricultural Economics. RePEc:bla:agecon:v:51:y:2020:i:1:p:111-129. Full description at Econpapers || Download paper | |
2020 | Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network. (2020). Hu, Jie ; Chen, YU ; Zhang, Weiping. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:6:p:78-100. Full description at Econpapers || Download paper | |
2020 | Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146. Full description at Econpapers || Download paper | |
2020 | Mispriced index option portfolios. (2020). Perrakis, Stylianos ; Czerwonko, Michal ; Constantinides, George M. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:2:p:297-330. Full description at Econpapers || Download paper | |
2020 | Glamour among value: P/E ratios and value investor attention. (2020). Moore, Jordan. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:673-706. Full description at Econpapers || Download paper | |
2020 | How much should portfolios shrink?. (2020). Han, Chulwoo. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:707-740. Full description at Econpapers || Download paper | |
2020 | Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs. (2020). Li, Yongjia ; Duanmu, Jun ; Malakhov, Alexey. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:405-431. Full description at Econpapers || Download paper | |
2020 | Commonality in liquidity and multilateral trading facilities. (2020). Mekhaimer, Mohamed ; Jain, Pankaj K ; Mortal, Sandra. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:481-502. Full description at Econpapers || Download paper | |
2020 | The Pricing Kernel Puzzle: A Real Phenomenon or a Statistical Artifact?. (2020). Anwar, Sajid ; Siddiqi, Hammad. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:2:p:485-491. Full description at Econpapers || Download paper | |
2020 | The Coâ€Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asiaâ€Pacific Markets. (2020). Gottschalk, Katrin ; da Fonseca, Jose. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:551-579. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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Year | Title | Type | Cited |
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2013 | Can Financial Engineering Cure Cancer? In: American Economic Review. [Full Text][Citation analysis] | article | 5 |
2005 | Fear and Greed in Financial Markets: A Clinical Study of Day-Traders In: American Economic Review. [Full Text][Citation analysis] | article | 51 |
2005 | Fear and Greed in Financial Markets: A Clinical Study of Day-Traders.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | paper | |
2012 | Reading about the Financial Crisis: A Twenty-One-Book Review In: Journal of Economic Literature. [Full Text][Citation analysis] | article | 54 |
2013 | Moores Law versus Murphys Law: Algorithmic Trading and Its Discontents In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 31 |
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1993 | Implementing option pricing models when asset returns are predictable.(1993) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 62 | paper | |
1994 | Implementing Option Pricing Models When Asset Returns Are Predictable.(1994) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 62 | paper | |
2006 | Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model In: Journal of Finance. [Full Text][Citation analysis] | article | 31 |
2001 | Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
1988 | Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data In: Econometric Theory. [Full Text][Citation analysis] | article | 129 |
1986 | Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data.(1986) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 129 | paper | |
1986 | Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data.(1986) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 129 | paper | |
1997 | MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 31 |
1992 | Maximizing predictability in the stock and bond markets.(1992) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
1995 | Maximizing Predictability in the Stock and Bond Markets.(1995) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
1998 | THE ECONOMETRICS OF FINANCIAL MARKETS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 20 |
1991 | Long-Term Memory in Stock Market Prices. In: Econometrica. [Full Text][Citation analysis] | article | 673 |
1989 | Long-term memory in stock market prices.(1989) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 673 | paper | |
1989 | Long-term Memory in Stock Market Prices.(1989) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 673 | paper | |
1985 | A large-sample chow test for the linear simultaneous equation In: Economics Letters. [Full Text][Citation analysis] | article | 5 |
1986 | Logit versus discriminant analysis : A specification test and application to corporate bankruptcies In: Journal of Econometrics. [Full Text][Citation analysis] | article | 52 |
1989 | The size and power of the variance ratio test in finite samples : A Monte Carlo investigation In: Journal of Econometrics. [Full Text][Citation analysis] | article | 238 |
1987 | The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation.(1987) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 238 | paper | |
1988 | The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation.(1988) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 238 | paper | |
1990 | An econometric analysis of nonsynchronous trading In: Journal of Econometrics. [Full Text][Citation analysis] | article | 280 |
1989 | An Econometric Analysis of Nonsyschronous-Trading.(1989) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 280 | paper | |
1989 | An Econometric Analysis of Nonsynchronous Trading.(1989) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 280 | paper | |
2000 | Nonparametric risk management and implied risk aversion In: Journal of Econometrics. [Full Text][Citation analysis] | article | 316 |
2000 | Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 316 | paper | |
2012 | Robust ranking and portfolio optimization In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 8 |
2011 | What happened to the quants in August 2007? Evidence from factors and transactions data In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 38 |
2008 | What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
2014 | When do stop-loss rules stop losses? In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 8 |
2008 | When Do Stop-Loss Rules Stop Losses?.(2008) In: SIFR Research Report Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
1998 | Optimal control of execution costs In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 245 |
2010 | Consumer credit-risk models via machine-learning algorithms In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 67 |
2012 | Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 638 |
2011 | Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 638 | paper | |
2013 | Systemic risk and the refinancing ratchet effect In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 34 |
2010 | Systemic Risk and the Refinancing Ratchet Effect.(2010) In: Harvard Business School Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2009 | Systemic Risk and the Refinancing Ratchet Effect.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2013 | Can hedge funds time market liquidity? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 63 |
1986 | Statistical tests of contingent-claims asset-pricing models : A new methodology In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 14 |
1987 | Semi-parametric upper bounds for option prices and expected payoffs In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 34 |
1992 | An ordered probit analysis of transaction stock prices In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 192 |
1991 | An Ordered Probit Analysis of Transaction Stock Prices..(1991) In: Weiss Center Working Papers. [Citation analysis] This paper has another version. Agregated cites: 192 | paper | |
1990 | An ordered probit analysis of transaction stock prices.(1990) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 192 | paper | |
1991 | An Ordered Probit Analysis of Transaction Stock Prices.(1991) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 192 | paper | |
2000 | When is time continuous? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 38 |
2002 | Econometric models of limit-order executions In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 71 |
1999 | Econometric Models of Limit-Order Executions.(1999) In: Rodney L. White Center for Financial Research Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
1997 | Econometric Models of Limit-Order Executions.(1997) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
2004 | An econometric model of serial correlation and illiquidity in hedge fund returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 242 |
2003 | An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns.(2003) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 242 | paper | |
2003 | An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 242 | paper | |
2009 | Regulatory reform in the wake of the financial crisis of 2007-2008 In: Journal of Financial Economic Policy. [Full Text][Citation analysis] | article | 11 |
2001 | The sources and nature of long-term memory in aggregate output In: Economic Review. [Full Text][Citation analysis] | article | 20 |
1991 | The sources and nature of long-term memory in the business cycle In: Working Papers (Old Series). [Full Text][Citation analysis] | paper | 21 |
1989 | The Sources and Nature of Long-Term Memory in the Business Cycle.(1989) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
1989 | The Sources and Nature of Long-Term Memory in the Business Cycle.(1989) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
1989 | The Sources and Nature of Long-term Memory in the Business Cycle.(1989) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2014 | Hedge fund holdings and stock market efficiency In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 0 |
2016 | The Gordon Gekko effect: the role of culture in the financial industry In: Economic Policy Review. [Full Text][Citation analysis] | article | 7 |
2015 | The Gordon Gekko Effect: The Role of Culture in the Financial Industry.(2015) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
1994 | Models of the term structure of interest rates In: Working Papers. [Citation analysis] | paper | 5 |
2001 | A Residuals-Based Wald Test for the Linear Simultaneous Equation In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 0 |
1985 | A Residuals-Based Wald Test for the Linear Simultaneous Equation.(1985) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
1989 | When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 1 |
1989 | When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001).(1989) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
1987 | Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 5 |
1987 | Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87).(1987) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
1985 | Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revision of 19-84) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 0 |
1985 | Logit Versus Discriminant Analysis: A Specification Test In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 3 |
1987 | A Simple Specification Test of the Random Walk Hypothesis In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 0 |
1984 | Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revised: 10-85) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 0 |
1985 | A Dynamic Model of Optimal Investment and Financial Policies with Costs of Adjustment and Leverage In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 0 |
1989 | Data Snooping Biases in Tests of Financial Asset Pricing Models (Reprint 002) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 1 |
1985 | Games of Survival in the Newspaper Industry In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 0 |
1991 | An Ordered Probit Analysis of Transaction Stock Prices. In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 6 |
1987 | Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revision of 5-87) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 3 |
2010 | Impossible Frontiers In: Management Science. [Full Text][Citation analysis] | article | 5 |
2008 | Impossible Frontiers.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
1989 | When are contrarian profits due to stock market overreaction? In: Working papers. [Full Text][Citation analysis] | paper | 471 |
1989 | When are Contrarian Profits Due to Stock Market Overreaction?.(1989) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 471 | paper | |
1990 | When Are Contrarian Profits Due to Stock Market Overreaction?.(1990) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 471 | article | |
1989 | Data-snooping biases in tests of financial asset pricing models In: Working papers. [Full Text][Citation analysis] | paper | 340 |
1989 | Data-Snooping Biases in Tests of Financial Asset Pricing Models.(1989) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 340 | paper | |
1990 | Data-Snooping Biases in Tests of Financial Asset Pricing Models..(1990) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 340 | article | |
1997 | Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach In: Working papers. [Full Text][Citation analysis] | paper | 2 |
2013 | Quantifying Systemic Risk In: NBER Books. [Citation analysis] | book | 15 |
1996 | The Industrial Organization and Regulation of the Securities Industry In: NBER Books. [Citation analysis] | book | 1 |
2012 | Introduction to Quantifying Systemic Risk In: NBER Chapters. [Full Text][Citation analysis] | chapter | 4 |
2010 | Econometric Measures of Systemic Risk in the Finance and Insurance Sectors In: NBER Chapters. [Citation analysis] | chapter | 61 |
2010 | Econometric Measures of Systemic Risk in the Finance and Insurance Sectors.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 61 | paper | |
1996 | Introduction to The Industrial Organization and Regulation of the Securities Industry In: NBER Chapters. [Full Text][Citation analysis] | chapter | 2 |
2007 | Systemic Risk and Hedge Funds In: NBER Chapters. [Full Text][Citation analysis] | chapter | 39 |
2005 | Systemic Risk and Hedge Funds.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
2015 | Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry In: NBER Working Papers. [Full Text][Citation analysis] | paper | 7 |
2015 | Risk and Risk Management in the Credit Card Industry In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2015 | Hedge Funds: A Dynamic Industry In Transition In: NBER Working Papers. [Full Text][Citation analysis] | paper | 11 |
2015 | Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
1987 | Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1068 |
1988 | Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test.(1988) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1068 | article | |
2017 | Sharing R&D Risk in Healthcare via FDA Hedges In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2017 | Optimal Financing for R&D-Intensive Firms In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2020 | Bayesian Adaptive Clinical Trials for Anti?Infective Therapeutics during Epidemic Outbreaks In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Estimating Probabilities of Success of Vaccine and Other Anti-Infective Therapeutic Development Programs In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Financing Vaccines for Global Health Security In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | A Cost/Benefit Analysis of Clinical Trial Designs for COVID-19 Vaccine Candidates In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
1995 | Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices In: NBER Working Papers. [Full Text][Citation analysis] | paper | 44 |
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.() In: CRSP working papers. [Citation analysis] This paper has another version. Agregated cites: 44 | paper | ||
1997 | Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2000 | Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation In: NBER Working Papers. [Full Text][Citation analysis] | paper | 194 |
1999 | Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation.(1999) In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] This paper has another version. Agregated cites: 194 | paper | |
2000 | Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory In: NBER Working Papers. [Full Text][Citation analysis] | paper | 162 |
2000 | Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory..(2000) In: Review of Financial Studies. [Citation analysis] This paper has another version. Agregated cites: 162 | article | |
2001 | Asset Prices and Trading Volume Under Fixed Transactions Costs In: NBER Working Papers. [Full Text][Citation analysis] | paper | 105 |
2004 | Asset Prices and Trading Volume under Fixed Transactions Costs.(2004) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 105 | article | |
2009 | Asset Prices and Trading Volume Under Fixed Transactions Costs.(2009) In: Yale School of Management Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 105 | paper | |
2001 | The Psychophysiology of Real-Time Financial Risk Processing In: NBER Working Papers. [Full Text][Citation analysis] | paper | 8 |
2006 | The Derivatives Sourcebook In: Foundations and Trends(R) in Finance. [Full Text][Citation analysis] | article | 0 |
1999 | Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] | paper | 2 |
2001 | Asset allocation and derivatives In: Quantitative Finance. [Full Text][Citation analysis] | article | 20 |
2003 | Innovation at MIT In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
1999 | Frontiers of Finance: Evolution and Efficient Markets In: Working Papers. [Citation analysis] | paper | 39 |
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