35
H index
51
i10 index
8679
Citations
Massachusetts Institute of Technology (MIT) | 35 H index 51 i10 index 8679 Citations RESEARCH PRODUCTION: 68 Articles 89 Papers 3 Books 10 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
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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: |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 39 |
Papers / arXiv.org | 4 |
Computing in Economics and Finance 1999 / Society for Computational Economics | 2 |
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2020 | Optimal control of investment, premium and deductible for a non-life insurance company. (2020). Serrano, Rafael ; Parra-Alvarez, Juan Carlos ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2020-11. Full description at Econpapers || Download paper | |
2020 | How to prevent a new global financial crisis. (2020). Beker, Victor. In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4309. Full description at Econpapers || Download paper | |
2020 | Evaluación Económica de pérdidas por enfermedades en bovinos: métodos de valuación de perdida. (2020). Amaro, Ignacio Benito . In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4310. Full description at Econpapers || Download paper | |
2021 | TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:09-21. 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 | Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066. Full description at Econpapers || Download paper | |
2021 | Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk. (2021). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:079. Full description at Econpapers || Download paper | |
2021 | Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach. (2021). Polat, Onur. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:2:p:47-59. Full description at Econpapers || Download paper | |
2022 | When is the Order to Trade fee effective?. (2021). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:8. Full description at Econpapers || Download paper | |
2022 | Network Structure and Fragmentation of the Argentinean Interbank Markets. (2022). Montes-Rojas, Gabriel ; Forte, Federico ; Elosegui, Pedro. In: Working Papers. RePEc:aoz:wpaper:129. Full description at Econpapers || Download paper | |
2021 | Maximum drawdown, recovery and momentum. (2015). Choi, Jaehyung . In: Papers. RePEc:arx:papers:1403.8125. 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 | |
2022 | Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274. 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 | |
2021 | 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 | |
2021 | 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 | Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications. (2019). Langren, Nicolas ; Hur, Come ; Bachouch, Achref ; Pham, Huyen. In: Papers. RePEc:arx:papers:1812.05916. Full description at Econpapers || Download paper | |
2021 | High-dimensional statistical arbitrage with factor models and stochastic control. (2019). Guijarro-Ordonez, Jorge. In: Papers. RePEc:arx:papers:1901.09309. 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 | |
2021 | The option pricing model based on time values: an application of the universal approximation theory on unbounded domains. (2019). Wang, Ming-Xi ; Qu, Yang. In: Papers. RePEc:arx:papers:1910.01490. 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 | |
2022 | Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets and Discrete Time. (2020). Secomandi, Nicola. In: Papers. RePEc:arx:papers:2001.05788. 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 | Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures. (2020). Li, Jonathan Yumeng ; Delage, Erick ; Marzban, Saeed . In: Papers. RePEc:arx:papers:2002.02876. 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 | Equal risk option pricing with deep reinforcement learning. (2020). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2002.08492. 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 | |
2021 | 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 | Machine Learning Algorithms for Financial Asset Price Forecasting. (2020). Ndikum, Philip. In: Papers. RePEc:arx:papers:2004.01504. 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 | |
2021 | 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 | |
2021 | Hedging with Neural Networks. (2020). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:2004.08891. 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 | |
2021 | 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 | Necessary and Sufficient Conditions for Frequency-Based Kelly Optimal Portfolio. (2020). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2004.12099. 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 | |
2021 | 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 | 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 | Quant Bust 2020. (2020). Kakushadze, Zura. In: Papers. RePEc:arx:papers:2006.05632. Full description at Econpapers || Download paper | |
2021 | 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 | |
2021 | Suffocating Fire Sales. (2020). Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:2006.08110. 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 | |
2021 | 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 | Deep Hedging of Long-Term Financial Derivatives. (2020). Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2007.15128. Full description at Econpapers || Download paper | |
2020 | The Hansen ratio in mean--variance portfolio theory. (2020). Vcern, Alevs. In: Papers. RePEc:arx:papers:2007.15980. 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 | |
2021 | 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 | |
2021 | 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 | 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 | |
2021 | Learning Time Varying Risk Preferences from Investment Portfolios using Inverse Optimization with Applications on Mutual Funds. (2020). Dong, Chaosheng ; Chen, Yuxin ; Yu, Shi. In: Papers. RePEc:arx:papers:2010.01687. 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 | |
2021 | 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 | |
2022 | 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 | |
2021 | 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 | 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). Park, Kyunghyun ; Jeon, Jaegi ; Huh, Jeonggyu. In: Papers. RePEc:arx:papers:2101.09064. Full description at Econpapers || Download paper | |
2021 | Black-box model risk in finance. (2021). Snow, Derek ; Szpruch, Lukasz ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2102.04757. Full description at Econpapers || Download paper | |
2021 | Deep Structural Estimation: With an Application to Option Pricing. (2021). Scheidegger, Simon ; Didisheim, Antoine ; Chen, Hui. In: Papers. RePEc:arx:papers:2102.09209. Full description at Econpapers || Download paper | |
2022 | A Scaling Limit for Utility Indifference Prices in the Discretized Bachelier Model. (2021). Dolinsky, Yan ; Cohen, Asaf. In: Papers. RePEc:arx:papers:2102.11968. Full description at Econpapers || Download paper | |
2021 | Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2102.12694. Full description at Econpapers || Download paper | |
2021 | No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging. (2021). Nakagawa, Kei ; Minami, Kentaro ; Ito, Katsuya ; Imajo, Kentaro ; Imaki, Shota. In: Papers. RePEc:arx:papers:2103.01775. Full description at Econpapers || Download paper | |
2021 | On Asymptotic Log-Optimal Buy-and-Hold Strategy. (2021). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2103.04898. Full description at Econpapers || Download paper | |
2021 | The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623. Full description at Econpapers || Download paper | |
2021 | Small impact analysis in stochastically illiquid markets. (2021). Kivman, Evgueni ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2103.05957. Full description at Econpapers || Download paper | |
2021 | Universal Trading for Order Execution with Oracle Policy Distillation. (2021). Yu, Yong ; Bian, Jiang ; Zhang, Weinan ; Zhou, Dong ; Liu, Weiqing ; Ren, Kan ; Fang, Yuchen. In: Papers. RePEc:arx:papers:2103.10860. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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2012 | Reading about the Financial Crisis: A Twenty-One-Book Review In: Journal of Economic Literature. [Full Text][Citation analysis] | article | 62 |
2013 | Moores Law versus Murphys Law: Algorithmic Trading and Its Discontents In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 34 |
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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: 70 | 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: 70 | paper | |
2000 | Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation In: Journal of Finance. [Full Text][Citation analysis] | article | 293 |
2000 | Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 293 | paper | |
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: 293 | paper | |
2006 | Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model In: Journal of Finance. [Full Text][Citation analysis] | article | 41 |
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: 41 | paper | |
2019 | The Visible Hand In: Accounting, Economics, and Law: A Convivium. [Full Text][Citation analysis] | article | 0 |
1988 | Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data In: Econometric Theory. [Full Text][Citation analysis] | article | 134 |
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: 134 | 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: 134 | paper | |
1997 | MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 33 |
1992 | Maximizing predictability in the stock and bond markets.(1992) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | 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: 33 | paper | |
1998 | THE ECONOMETRICS OF FINANCIAL MARKETS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 27 |
1991 | Long-Term Memory in Stock Market Prices. In: Econometrica. [Full Text][Citation analysis] | article | 771 |
1989 | Long-term memory in stock market prices.(1989) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 771 | 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: 771 | paper | |
1985 | A large-sample chow test for the linear simultaneous equation In: Economics Letters. [Full Text][Citation analysis] | article | 5 |
2019 | Is the FDA too conservative or too aggressive?: A Bayesian decision analysis of clinical trial design In: Journal of Econometrics. [Full Text][Citation analysis] | article | 6 |
2015 | Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design.(2015) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
1986 | Logit versus discriminant analysis : A specification test and application to corporate bankruptcies In: Journal of Econometrics. [Full Text][Citation analysis] | article | 60 |
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 | 261 |
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: 261 | 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: 261 | paper | |
1990 | An econometric analysis of nonsynchronous trading In: Journal of Econometrics. [Full Text][Citation analysis] | article | 299 |
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: 299 | paper | |
1989 | An Econometric Analysis of Nonsynchronous Trading.(1989) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 299 | paper | |
2000 | Nonparametric risk management and implied risk aversion In: Journal of Econometrics. [Full Text][Citation analysis] | article | 343 |
2000 | Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 343 | paper | |
2012 | Robust ranking and portfolio optimization In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 9 |
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 | 85 |
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: 85 | paper | |
2014 | When do stop-loss rules stop losses? In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 12 |
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: 12 | paper | |
1998 | Optimal control of execution costs In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 301 |
2010 | Consumer credit-risk models via machine-learning algorithms In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 103 |
2016 | Risk and risk management in the credit card industry In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 37 |
2015 | Risk and Risk Management in the Credit Card Industry.(2015) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
2012 | Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 907 |
2010 | Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2010) In: NBER Chapters. [Citation analysis] This paper has another version. Agregated cites: 907 | chapter | |
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: 907 | paper | |
2013 | Systemic risk and the refinancing ratchet effect In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 50 |
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: 50 | 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: 50 | paper | |
2013 | Can hedge funds time market liquidity? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 77 |
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 | 36 |
1992 | An ordered probit analysis of transaction stock prices In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 213 |
1991 | An Ordered Probit Analysis of Transaction Stock Prices..(1991) In: Weiss Center Working Papers. [Citation analysis] This paper has another version. Agregated cites: 213 | 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: 213 | 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: 213 | paper | |
2000 | When is time continuous? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 47 |
2001 | WHEN IS TIME CONTINUOUS?.(2001) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | chapter | |
2002 | Econometric models of limit-order executions In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 77 |
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: 77 | paper | |
1997 | Econometric Models of Limit-Order Executions.(1997) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 77 | paper | |
2004 | An econometric model of serial correlation and illiquidity in hedge fund returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 295 |
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: 295 | 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: 295 | 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 | 12 |
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 | 22 |
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: 22 | 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: 22 | 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: 22 | paper | |
2014 | Hedge fund holdings and stock market efficiency In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 7 |
2018 | Hedge Fund Holdings and Stock Market Efficiency.(2018) In: Review of Asset Pricing Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2016 | The Gordon Gekko effect: the role of culture in the financial industry In: Economic Policy Review. [Full Text][Citation analysis] | article | 10 |
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: 10 | 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 | 8 |
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: 8 | 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 | 4 |
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 | 9 |
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 | 6 |
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 | |
2017 | Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform In: Management Science. [Full Text][Citation analysis] | article | 1 |
2019 | Dynamic Alpha: A Spectral Decomposition of Investment Performance Across Time Horizons In: Management Science. [Full Text][Citation analysis] | article | 1 |
2001 | Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach In: Operations Research. [Full Text][Citation analysis] | article | 26 |
2021 | Can Financial Economics Cure Cancer? In: Atlantic Economic Journal. [Full Text][Citation analysis] | article | 0 |
2018 | The growth of relative wealth and the Kelly criterion In: Journal of Bioeconomics. [Full Text][Citation analysis] | article | 7 |
1989 | When are contrarian profits due to stock market overreaction? In: Working papers. [Full Text][Citation analysis] | paper | 580 |
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: 580 | 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: 580 | article | |
1989 | Data-snooping biases in tests of financial asset pricing models In: Working papers. [Full Text][Citation analysis] | paper | 442 |
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: 442 | 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: 442 | article | |
1997 | Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach In: Working papers. [Full Text][Citation analysis] | paper | 5 |
2021 | The origin of cooperation In: Proceedings of the National Academy of Sciences. [Full Text][Citation analysis] | article | 0 |
2013 | Quantifying Systemic Risk In: NBER Books. [Citation analysis] | book | 39 |
1996 | The Industrial Organization and Regulation of the Securities Industry In: NBER Books. [Citation analysis] | book | 27 |
2012 | Introduction to Quantifying Systemic Risk In: NBER Chapters. [Full Text][Citation analysis] | chapter | 4 |
2022 | Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
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 | 58 |
2005 | Systemic Risk and Hedge Funds.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 58 | paper | |
2010 | Econometric Measures of Systemic Risk in the Finance and Insurance Sectors In: NBER Working Papers. [Full Text][Citation analysis] | paper | 76 |
2015 | Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
1987 | Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1310 |
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: 1310 | article | |
2017 | Sharing R&D Risk in Healthcare via FDA Hedges In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
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 | 1 |
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 |
2021 | Estimating the Financial Impact of Gene Therapy in the U.S. In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Paying off the Competition: Market Power and Innovation Incentives In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
1995 | Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices In: NBER Working Papers. [Full Text][Citation analysis] | paper | 53 |
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.() In: CRSP working papers. [Citation analysis] This paper has another version. Agregated cites: 53 | 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 | Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory In: NBER Working Papers. [Full Text][Citation analysis] | paper | 232 |
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: 232 | article | |
2001 | Asset Prices and Trading Volume Under Fixed Transactions Costs In: NBER Working Papers. [Full Text][Citation analysis] | paper | 122 |
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: 122 | 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: 122 | paper | |
2001 | The Psychophysiology of Real-Time Financial Risk Processing In: NBER Working Papers. [Full Text][Citation analysis] | paper | 10 |
2006 | The Derivatives Sourcebook In: Foundations and Trends(R) in Finance. [Full Text][Citation analysis] | article | 0 |
2015 | Reply to “(Im)Possible Frontiers: A Comment†In: Critical Finance Review. [Full Text][Citation analysis] | article | 0 |
2012 | Estimating the NIH Efficient Frontier In: PLOS ONE. [Full Text][Citation analysis] | article | 4 |
2012 | An Evolutionary Model of Bounded Rationality and Intelligence In: PLOS ONE. [Full Text][Citation analysis] | article | 6 |
2021 | To maximize or randomize? An experimental study of probability matching in financial decision making In: PLOS ONE. [Full Text][Citation analysis] | article | 0 |
2010 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
2010 | Hedge Funds: An Analytic Perspective Updated Edition In: Economics Books. [Citation analysis] | book | 5 |
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 | 22 |
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 | 40 |
2011 | The Origin of Behavior In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 11 |
2011 | Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 8 |
2018 | Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 1 |
2005 | SIFTING THROUGH THE WRECKAGE: LESSONS FROM RECENT HEDGE-FUND LIQUIDATIONS In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2005 | ITS 11 PM—DO YOU KNOW WHERE YOUR LIQUIDITY IS?: THE MEAN–VARIANCE–LIQUIDITY FRONTIER In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | Where To From Here? In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2021 | Global realignment in financial market dynamics: Evidence from ETF networks In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
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