36
H index
57
i10 index
9546
Citations
Massachusetts Institute of Technology (MIT) | 36 H index 57 i10 index 9546 Citations RESEARCH PRODUCTION: 71 Articles 91 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 | 40 |
Papers / arXiv.org | 4 |
Computing in Economics and Finance 1999 / Society for Computational Economics | 2 |
Year | Title of citing document | |
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2022 | Whether high frequency intraday data behave randomly: Evidence from NIFTY 50. (2022). Roy, Subrata. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:65-80. Full description at Econpapers || Download paper | |
2022 | The past, the present and the prospective future of efficient market hypothesis: a theoretical and empirical investigation of international stock markets. (2022). Dhanda, Neelam ; Pasricha, Laurel. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:89-106. Full description at Econpapers || Download paper | |
2022 | Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors. (2022). Raju, Raghavender G ; Guptha, Siva Kiran ; Poojari, Akash P. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(632):y:2022:i:3(632):p:61-80. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984. Full description at Econpapers || Download paper | |
2023 | The Effects of New Equity Announcements on Stock Returns: An Examination on BIST. (2023). Ergun, Bahadir ; Unal, Cumali. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:8:y:2023:i:2:p:224-243. Full description at Econpapers || Download paper | |
2023 | A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023001. Full description at Econpapers || Download paper | |
2023 | Optimal liquidation under indirect price impact with propagator. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023012. Full description at Econpapers || Download paper | |
2022 | When is the Order to Trade Ratio fee effective?. (2022). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:11. 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 | |
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 | |
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 | |
2022 | 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 | |
2022 | 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 | |
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 | |
2023 | 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 | |
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 | |
2023 | 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 | |
2022 | Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics. (2021). Gu, Olivier ; Drissi, Fayccal ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2103.13773. Full description at Econpapers || Download paper | |
2022 | Robust Portfolio Selection Problems: A Comprehensive Review. (2021). Ghasemi, Alireza ; Saif, Ahmed ; Ghahtarani, Alireza . In: Papers. RePEc:arx:papers:2103.13806. Full description at Econpapers || Download paper | |
2022 | Clustering Coefficients in Weighted Undirected Multilayer Networks. (2021). Grassi, Rosanna ; Clemente, Gian Paolo ; Bartesaghi, Paolo. In: Papers. RePEc:arx:papers:2105.14325. Full description at Econpapers || Download paper | |
2023 | Trading with the Crowd. (2021). Voss, Moritz ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2106.09267. Full description at Econpapers || Download paper | |
2022 | Pseudo-Model-Free Hedging for Variable Annuities via Deep Reinforcement Learning. (2021). Li, Yuxuan ; Cui, Haoen ; Chong, Wing Fung. In: Papers. RePEc:arx:papers:2107.03340. Full description at Econpapers || Download paper | |
2022 | The Inelastic Market Hypothesis: A Microstructural Interpretation. (2021). Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:2108.00242. Full description at Econpapers || Download paper | |
2023 | A C\`adl\`ag Rough Path Foundation for Robust Finance. (2021). Promel, David J ; Liu, Chong ; Allan, Andrew L. In: Papers. RePEc:arx:papers:2109.04225. Full description at Econpapers || Download paper | |
2023 | Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089. Full description at Econpapers || Download paper | |
2023 | Numeraire-invariant quadratic hedging and mean--variance portfolio allocation. (2021). Kallsen, Jan ; Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2110.09416. Full description at Econpapers || Download paper | |
2022 | Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk. (2021). Quintos, Alejandra ; Protter, Philip ; Jarrow, Robert. In: Papers. RePEc:arx:papers:2110.10936. Full description at Econpapers || Download paper | |
2023 | Evolutionary Foundation for Heterogeneity in Risk Aversion. (2021). Nehama, Ilan ; Heller, Yuval. In: Papers. RePEc:arx:papers:2110.11245. Full description at Econpapers || Download paper | |
2023 | Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models. (2021). Hu, Dongdong ; He, Kai ; Abudurexiti, Nuerxiati ; Sun, Ruoyu ; Sayit, Hasanjan ; Rachev, Svetlozar T. In: Papers. RePEc:arx:papers:2111.04311. Full description at Econpapers || Download paper | |
2023 | Expert Aggregation for Financial Forecasting. (2021). Mikael, Joseph ; Cl, Alasseur ; Marie, Briere ; Remlinger, Carl. In: Papers. RePEc:arx:papers:2111.15365. Full description at Econpapers || Download paper | |
2022 | Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308. Full description at Econpapers || Download paper | |
2022 | Lead-lag detection and network clustering for multivariate time series with an application to the US equity market. (2022). Reinert, Gesine ; Cucuringu, Mihai ; Bennett, Stefanos. In: Papers. RePEc:arx:papers:2201.08283. Full description at Econpapers || Download paper | |
2022 | Optimal measure preserving derivatives revisited. (2022). Beare, Brendan. In: Papers. RePEc:arx:papers:2201.09108. Full description at Econpapers || Download paper | |
2022 | On Solving Robust Log-Optimal Portfolio: A Supporting Hyperplane Approximation Approach. (2022). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2202.03858. Full description at Econpapers || Download paper | |
2022 | Bankruptcy Prediction via Mixing Intra-Risk and Spillover-Risk. (2022). Zhao, YU ; Kou, Gang ; Liu, JI ; Zhuang, Fuzhen ; Yang, Qing ; Guo, YU ; Wei, Shaopeng. In: Papers. RePEc:arx:papers:2202.03874. Full description at Econpapers || Download paper | |
2023 | Rigorous multi-asset optimal execution with Bayesian learning of the drift. (2022). Drissi, Fayccal. In: Papers. RePEc:arx:papers:2202.07478. Full description at Econpapers || Download paper | |
2022 | Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return. (2022). Dammann, Felix ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:2202.10414. Full description at Econpapers || Download paper | |
2022 | Price formation in financial markets: a game-theoretic perspective. (2022). Evangelista, David ; Thamsten, Yuri ; Saporito, Yuri. In: Papers. RePEc:arx:papers:2202.11416. Full description at Econpapers || Download paper | |
2022 | Vulnerability-CoVaR: Investigating the Crypto-market. (2022). Okhrin, Ostap ; Singh, Abhay Kumar ; Waltz, Martin. In: Papers. RePEc:arx:papers:2203.10777. Full description at Econpapers || Download paper | |
2022 | Network structure and fragmentation of the Argentinean interbank markets. (2022). Montes-Rojas, Gabriel ; Elosegui, Pedro ; Forte, Federico. In: Papers. RePEc:arx:papers:2203.14488. Full description at Econpapers || Download paper | |
2022 | The short-term effect of COVID-19 pandemic on Chinas crude oil futures market: A study based on multifractal analysis. (2022). Yan-Hong, Yang ; Ying-Lin, Liu ; Ying-Hui, Shao. In: Papers. RePEc:arx:papers:2204.05199. Full description at Econpapers || Download paper | |
2022 | Learning Probability Distributions in Macroeconomics and Finance. (2022). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2204.06848. Full description at Econpapers || Download paper | |
2022 | Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper | |
2022 | Deep Stochastic Optimization in Finance. (2022). Tissot-Daguette, Valentin ; Soner, Mete H ; Reppen, Max A. In: Papers. RePEc:arx:papers:2205.04604. Full description at Econpapers || Download paper | |
2023 | Robust Distortion Risk Measures. (2022). Vanduffel, Steven ; Pesenti, Silvana M ; Bernard, Carole. In: Papers. RePEc:arx:papers:2205.08850. Full description at Econpapers || Download paper | |
2023 | Do price trajectory data increase the efficiency of market impact estimation?. (2022). Nevmyvaka, Yuriy ; Schneider, Anderson ; Kinnear, Ryan ; Ihnatiuk, Vitalii ; Li, Fengpei. In: Papers. RePEc:arx:papers:2205.13423. Full description at Econpapers || Download paper | |
2022 | Assortativity in cognition. (2022). Vicario, Eugenio ; Boncinelli, Leonardo ; Bilancini, Ennio. In: Papers. RePEc:arx:papers:2205.15114. Full description at Econpapers || Download paper | |
2023 | $\Delta-$CoES. (2022). Leeuwenkamp, Aleksy. In: Papers. RePEc:arx:papers:2206.02582. Full description at Econpapers || Download paper | |
2022 | Topological Data Analysis Ball Mapper for Finance. (2022). Rudkin, Simon ; Qiu, Wanling ; Dlotko, Pawel. In: Papers. RePEc:arx:papers:2206.03622. Full description at Econpapers || Download paper | |
2022 | An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772. Full description at Econpapers || Download paper | |
2022 | Evolutionary rationality of risk preference. (2022). Li, Cong ; Tao, YI ; Fan, Songjia. In: Papers. RePEc:arx:papers:2206.09813. Full description at Econpapers || Download paper | |
2022 | Imitate then Transcend: Multi-Agent Optimal Execution with Dual-Window Denoise PPO. (2022). Zhang, Xinwen ; Xiang, YI ; Weng, Jiacheng ; Fang, Jin. In: Papers. RePEc:arx:papers:2206.10736. Full description at Econpapers || Download paper | |
2022 | A comparative study of the MACD-base trading strategies: evidence from the US stock market. (2022). Chio, Pat Tong. In: Papers. RePEc:arx:papers:2206.12282. Full description at Econpapers || Download paper | |
2022 | Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949. Full description at Econpapers || Download paper | |
2022 | ETF Portfolio Construction via Neural Network trained on Financial Statement Data. (2022). Kwak, Jonghun ; Ahn, Jungyu ; Park, Sungwoo ; Lee, Jinho. In: Papers. RePEc:arx:papers:2207.01187. Full description at Econpapers || Download paper | |
2022 | Exploring Financial Networks Using Quantile Regression and Granger Causality. (2022). Basu, Sumanta ; Mukherjee, Diganta ; Lahiry, Samriddha ; Karpman, Kara. In: Papers. RePEc:arx:papers:2207.10705. Full description at Econpapers || Download paper | |
2022 | Learn Continuously, Act Discretely: Hybrid Action-Space Reinforcement Learning For Optimal Execution. (2022). Liu, Shuoling ; He, Jia ; Luo, Ling ; Zhang, Tongzhe ; Pan, Feiyang. In: Papers. RePEc:arx:papers:2207.11152. Full description at Econpapers || Download paper | |
2023 | Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925. Full description at Econpapers || Download paper | |
2022 | Learning Financial Networks with High-frequency Trade Data. (2022). Easley, David ; Basu, Sumanta ; Karpman, Kara. In: Papers. RePEc:arx:papers:2208.03568. Full description at Econpapers || Download paper | |
2022 | Model-based gym environments for limit order book trading. (2022). Herdegen, Martin ; Savani, Rahul ; Sanchez-Betancourt, Leandro ; Jerome, Joseph. In: Papers. RePEc:arx:papers:2209.07823. Full description at Econpapers || Download paper | |
2022 | SEC Form 13F-HR: Statistical investigation of trading imbalances and profitability analysis. (2022). Cucuringu, Mihai ; Miori, Deborah. In: Papers. RePEc:arx:papers:2209.08825. Full description at Econpapers || Download paper | |
2022 | Asset Pricing and Deep Learning. (2022). Zhang, Chen. In: Papers. RePEc:arx:papers:2209.12014. Full description at Econpapers || Download paper | |
2023 | Publication Bias in Asset Pricing Research. (2022). Zimmermann, Tom ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2209.13623. Full description at Econpapers || Download paper | |
2022 | Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217. Full description at Econpapers || Download paper | |
2022 | Spatio-temporal Event Studies for Air Quality Assessment under Cross-sectional Dependence. (2022). Pelagatti, Matteo Maria ; Maranzano, Paolo. In: Papers. RePEc:arx:papers:2210.17529. Full description at Econpapers || Download paper | |
2022 | Dynamic Estimates Of The Arrow-Pratt Absolute And Relative Risk Aversion Coefficients. (2022). Pittis, Nikitas ; Samartzis, George. In: Papers. RePEc:arx:papers:2211.03604. Full description at Econpapers || Download paper | |
2022 | Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095. Full description at Econpapers || Download paper | |
2022 | Deep learning and American options via free boundary framework. (2022). Dai, Weizhong ; Ware, Tony ; Umeorah, Nneka ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2211.11803. Full description at Econpapers || Download paper | |
2023 | A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997. Full description at Econpapers || Download paper | |
2023 | Valuing Pharmaceutical Drug Innovations: An Event Study Approach. (2022). Khmelnitskaya, Ekaterina ; Farmer, Leland E ; Ciliberto, Federico ; Aryal, Gaurab. In: Papers. RePEc:arx:papers:2212.07384. Full description at Econpapers || Download paper | |
2022 | Hierarchical Deep Reinforcement Learning for VWAP Strategy Optimization. (2022). Li, Qing ; Zou, Chenxin ; Wu, Pangjing. In: Papers. RePEc:arx:papers:2212.14670. Full description at Econpapers || Download paper | |
2023 | Deep Reinforcement Learning for Gas Trading. (2023). Michler, Christian ; Granger, Nikita P ; Cy, Alexander ; Miao, Yinsen ; Wang, Yuanrong. In: Papers. RePEc:arx:papers:2301.08359. Full description at Econpapers || Download paper | |
2023 | PRUDEX-Compass: Towards Systematic Evaluation of Reinforcement Learning in Financial Markets. (2023). An, BO ; Wang, Xinrun ; Qin, Molei ; Sun, Shuo. In: Papers. RePEc:arx:papers:2302.00586. Full description at Econpapers || Download paper | |
2023 | Inference in Non-stationary High-Dimensional VARs. (2023). Smeekes, Stephan ; Margaritella, Luca. In: Papers. RePEc:arx:papers:2302.01434. Full description at Econpapers || Download paper | |
2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper | |
2023 | Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382. Full description at Econpapers || Download paper | |
2023 | Financial Distress Prediction For Small And Medium Enterprises Using Machine Learning Techniques. (2023). Zhou, Jietong ; Jiang, Biao ; Gao, Yuan. In: Papers. RePEc:arx:papers:2302.12118. Full description at Econpapers || Download paper | |
2023 | Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models. (2023). Choi, Jae Hyung ; Kim, Hyangju. In: Papers. RePEc:arx:papers:2303.08760. Full description at Econpapers || Download paper | |
2023 | The Elasticity of Quantitative Investment. (2023). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533. Full description at Econpapers || Download paper | |
2023 | Nash equilibria for relative investors with (non)linear price impact. (2023). Goll, Tamara ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2303.18161. Full description at Econpapers || Download paper | |
2023 | Company Competition Graph. (2023). Dai, Rui ; Li, Xinyi ; Zhang, Cien ; Huang, Jiawei ; Mao, Haitao ; Lu, Yutong. In: Papers. RePEc:arx:papers:2304.00323. Full description at Econpapers || Download paper | |
2023 | Unifying Market Microstructure and Dynamic Asset Pricing. (2023). Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan ; Lauria, Davide. In: Papers. RePEc:arx:papers:2304.02356. Full description at Econpapers || Download paper | |
2023 | Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2304.06950. Full description at Econpapers || Download paper | |
2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper | |
2023 | A spectral approach to stock market performance. (2023). Escañuela Romana, Ignacio ; Nieves, Clara Escanuela. In: Papers. RePEc:arx:papers:2305.05762. Full description at Econpapers || Download paper | |
2023 | NYSE Price Correlations Are Abitrageable Over Hours and Predictable Over Years. (2023). Press, William H. In: Papers. RePEc:arx:papers:2305.08241. Full description at Econpapers || Download paper | |
2023 | Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282. Full description at Econpapers || Download paper | |
2023 | Efficient Learning of Nested Deep Hedging using Multiple Options. (2023). Shimada, Takuya ; Minami, Kentaro ; Imajo, Kentaro ; Hirano, Masanori. In: Papers. RePEc:arx:papers:2305.12264. Full description at Econpapers || Download paper | |
2023 | Exponential Utility Maximization in a Discrete Time Gaussian Framework. (2023). Zuk, OR ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:2305.18136. Full description at Econpapers || Download paper | |
2023 | Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers. (2023). Zohren, Stefan ; Moreno-Pino, Fernando ; Cartea, Alvaro ; Arroyo, Alvaro. In: Papers. RePEc:arx:papers:2306.05479. Full description at Econpapers || Download paper | |
2023 | Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568. Full description at Econpapers || Download paper | |
2023 | A multi-agent targeted trading equilibrium with transaction costs. (2023). Weston, Kim ; Duraj, Jetlir ; Choi, Jin Hyuk. In: Papers. RePEc:arx:papers:2306.08519. Full description at Econpapers || Download paper | |
2023 | Optimal Portfolio Execution in a Regime-switching Market with Non-linear Impact Costs: Combining Dynamic Program and Neural Network. (2023). Mulvey, John M ; Li, Xiaoyue. In: Papers. RePEc:arx:papers:2306.08809. Full description at Econpapers || Download paper | |
2023 | On some semi-parametric estimates for European option prices. (2023). Marinelli, Carlo. In: Papers. RePEc:arx:papers:2306.10929. Full description at Econpapers || Download paper | |
2023 | Optimal Execution Using Reinforcement Learning. (2023). Yang, Can ; He, Jiafa ; Zheng, Cong. In: Papers. RePEc:arx:papers:2306.17178. Full description at Econpapers || Download paper | |
2023 | Decentralised Finance and Automated Market Making: Execution and Speculation. (2023). Monga, Marcello ; Drissi, Fayccal ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2307.03499. Full description at Econpapers || Download paper | |
2023 | Tackling the Problem of State Dependent Execution Probability: Empirical Evidence and Order Placement. (2023). Ragel, Vincent ; Fabre, Timoth'Ee. In: Papers. RePEc:arx:papers:2307.04863. 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 | Privacy-Preserving Methods for Sharing Financial Risk Exposures In: American Economic Review. [Full Text][Citation analysis] | article | 9 |
2011 | Privacy-Preserving Methods for Sharing Financial Risk Exposures.(2011) In: Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2013 | Can Financial Engineering Cure Cancer? In: American Economic Review. [Full Text][Citation analysis] | article | 7 |
2005 | Fear and Greed in Financial Markets: A Clinical Study of Day-Traders In: American Economic Review. [Full Text][Citation analysis] | article | 76 |
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: 76 | paper | |
2012 | Reading about the Financial Crisis: A Twenty-One-Book Review In: Journal of Economic Literature. [Full Text][Citation analysis] | article | 68 |
2013 | Moores Law versus Murphys Law: Algorithmic Trading and Its Discontents In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 36 |
2020 | Robert C. Merton: The First Financial Engineer In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 1 |
2020 | Macroeconomic Models for Monetary Policy: A Critical Review from a Finance Perspective In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 11 |
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2013 | Introduction to Volume 5 of the Annual Review of Financial Economics In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 2 |
2015 | Hedge Funds: A Dynamic Industry in Transition In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 18 |
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2010 | Is It Real, or Is It Randomized?: A Financial Turing Test In: Papers. [Full Text][Citation analysis] | paper | 1 |
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2016 | Moores Law vs. Murphys Law in the financial system: whos winning? In: BIS Working Papers. [Full Text][Citation analysis] | paper | 1 |
1994 | A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks. In: Journal of Finance. [Full Text][Citation analysis] | article | 217 |
1994 | A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks.(1994) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 217 | paper | |
1995 | Implementing Option Pricing Models When Asset Returns Are Predictable. In: Journal of Finance. [Full Text][Citation analysis] | article | 79 |
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: 79 | 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: 79 | paper | |
2000 | Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation In: Journal of Finance. [Full Text][Citation analysis] | article | 315 |
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: 315 | 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: 315 | paper | |
2006 | Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model In: Journal of Finance. [Full Text][Citation analysis] | article | 47 |
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: 47 | 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 | 144 |
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: 144 | 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: 144 | paper | |
1997 | MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 40 |
1992 | Maximizing predictability in the stock and bond markets.(1992) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | 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: 40 | paper | |
1998 | THE ECONOMETRICS OF FINANCIAL MARKETS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 47 |
1991 | Long-Term Memory in Stock Market Prices. In: Econometrica. [Full Text][Citation analysis] | article | 793 |
1989 | Long-term memory in stock market prices.(1989) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 793 | 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: 793 | 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 | 9 |
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: 9 | paper | |
1986 | Logit versus discriminant analysis : A specification test and application to corporate bankruptcies In: Journal of Econometrics. [Full Text][Citation analysis] | article | 67 |
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 | 283 |
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: 283 | 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: 283 | paper | |
1990 | An econometric analysis of nonsynchronous trading In: Journal of Econometrics. [Full Text][Citation analysis] | article | 309 |
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: 309 | paper | |
1989 | An Econometric Analysis of Nonsynchronous Trading.(1989) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 309 | paper | |
2000 | Nonparametric risk management and implied risk aversion In: Journal of Econometrics. [Full Text][Citation analysis] | article | 354 |
2000 | Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 354 | paper | |
2012 | Robust ranking and portfolio optimization In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 10 |
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 | 107 |
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: 107 | paper | |
2014 | When do stop-loss rules stop losses? In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 16 |
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: 16 | paper | |
1998 | Optimal control of execution costs In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 333 |
2010 | Consumer credit-risk models via machine-learning algorithms In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 129 |
2016 | Risk and risk management in the credit card industry In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 46 |
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: 46 | 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 | 1107 |
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: 1107 | 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: 1107 | paper | |
2013 | Systemic risk and the refinancing ratchet effect In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 52 |
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: 52 | 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: 52 | paper | |
2013 | Can hedge funds time market liquidity? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 93 |
2021 | Spectral factor models In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 7 |
1986 | Statistical tests of contingent-claims asset-pricing models : A new methodology In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 15 |
1987 | Semi-parametric upper bounds for option prices and expected payoffs In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 44 |
1992 | An ordered probit analysis of transaction stock prices In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 220 |
1991 | An Ordered Probit Analysis of Transaction Stock Prices..(1991) In: Weiss Center Working Papers. [Citation analysis] This paper has another version. Agregated cites: 220 | 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: 220 | 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: 220 | paper | |
2000 | When is time continuous? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 48 |
2001 | WHEN IS TIME CONTINUOUS?.(2001) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | chapter | |
2002 | Econometric models of limit-order executions In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 81 |
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: 81 | paper | |
1997 | Econometric Models of Limit-Order Executions.(1997) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 81 | paper | |
2004 | An econometric model of serial correlation and illiquidity in hedge fund returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 332 |
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: 332 | 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: 332 | 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 | 14 |
2001 | The sources and nature of long-term memory in aggregate output In: Economic Review. [Full Text][Citation analysis] | article | 26 |
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 | 11 |
2018 | Hedge Fund Holdings and Stock Market Efficiency.(2018) In: The Review of Asset Pricing Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2016 | The Gordon Gekko effect: the role of culture in the financial industry In: Economic Policy Review. [Full Text][Citation analysis] | article | 12 |
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: 12 | 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 | 5 |
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 | 11 |
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 | 6 |
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 | 28 |
2021 | Can Financial Economics Cure Cancer? In: Atlantic Economic Journal. [Full Text][Citation analysis] | article | 1 |
2018 | The growth of relative wealth and the Kelly criterion In: Journal of Bioeconomics. [Full Text][Citation analysis] | article | 8 |
1989 | When are contrarian profits due to stock market overreaction? In: Working papers. [Full Text][Citation analysis] | paper | 626 |
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: 626 | 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: 626 | article | |
1989 | Data-snooping biases in tests of financial asset pricing models In: Working papers. [Full Text][Citation analysis] | paper | 455 |
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: 455 | 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: 455 | 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 | 2 |
2022 | Hamilton’s rule in economic decision-making In: Proceedings of the National Academy of Sciences. [Full Text][Citation analysis] | article | 2 |
2013 | Quantifying Systemic Risk In: NBER Books. [Citation analysis] | book | 19 |
1996 | The Industrial Organization and Regulation of the Securities Industry In: NBER Books. [Citation analysis] | book | 18 |
2012 | Introduction to Quantifying Systemic Risk In: NBER Chapters. [Full Text][Citation analysis] | chapter | 5 |
2022 | Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery In: NBER Chapters. [Full Text][Citation analysis] | chapter | 1 |
2022 | Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery.(2022) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | 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 | 61 |
2005 | Systemic Risk and Hedge Funds.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 61 | paper | |
2008 | Impossible Frontiers In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Econometric Measures of Systemic Risk in the Finance and Insurance Sectors In: NBER Working Papers. [Full Text][Citation analysis] | paper | 79 |
2015 | Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry In: NBER Working Papers. [Full Text][Citation analysis] | paper | 11 |
1987 | Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1421 |
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: 1421 | article | |
2017 | Sharing R&D Risk in Healthcare via FDA Hedges In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
2017 | Optimal Financing for R&D-Intensive Firms In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2020 | Estimating Probabilities of Success of Vaccine and Other Anti-Infective Therapeutic Development Programs In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2020 | Financing Vaccines for Global Health Security In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2020 | A Cost/Benefit Analysis of Clinical Trial Designs for COVID-19 Vaccine Candidates In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
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 | 8 |
2022 | Financial Intermediation and the Funding of Biomedical Innovation: A Review 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 | 56 |
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.() In: CRSP working papers. [Citation analysis] This paper has another version. Agregated cites: 56 | paper | ||
1997 | Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
2000 | Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory In: NBER Working Papers. [Full Text][Citation analysis] | paper | 253 |
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: 253 | article | |
2001 | Asset Prices and Trading Volume Under Fixed Transactions Costs In: NBER Working Papers. [Full Text][Citation analysis] | paper | 131 |
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: 131 | 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: 131 | paper | |
.() In: . [Full Text][Citation analysis] This paper has another version. Agregated cites: 131 | 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 | 5 |
2012 | An Evolutionary Model of Bounded Rationality and Intelligence In: PLOS ONE. [Full Text][Citation analysis] | article | 7 |
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 | 6 |
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 |
2022 | Identifying and Mitigating Potential Biases in Predicting Drug Approvals In: Drug Safety. [Full Text][Citation analysis] | article | 0 |
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 | 42 |
2011 | The Origin of Behavior In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 21 |
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 | 14 |
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 | 2 |
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 | 1 |
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