36
H index
56
i10 index
9433
Citations
Massachusetts Institute of Technology (MIT) | 36 H index 56 i10 index 9433 Citations RESEARCH PRODUCTION: 71 Articles 92 Papers 3 Books 10 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Andrew W. Lo. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 41 |
Papers / arXiv.org | 4 |
Computing in Economics and Finance 1999 / Society for Computational Economics | 2 |
Year | Title of citing document | |
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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 | |
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 | |
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 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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
2021 | Hedging with Neural Networks. (2020). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:2004.08891. 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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
2021 | Analytic formula for option margin with liquidity costs under dynamic delta hedging. (2021). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:2103.15302. Full description at Econpapers || Download paper | |
2021 | Research on Portfolio Liquidation Strategy under Discrete Times. (2021). Li, Handong ; Shi, YU ; Luo, Qixuan. In: Papers. RePEc:arx:papers:2103.15400. Full description at Econpapers || Download paper | |
2021 | Dimension reduction of open-high-low-close data in candlestick chart based on pseudo-PCA. (2021). Wang, Shanshan ; Huang, Wenyang. In: Papers. RePEc:arx:papers:2103.16908. Full description at Econpapers || Download paper | |
2021 | Frequency-Dependent Higher Moment Risks. (2021). BarunÃk, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264. Full description at Econpapers || Download paper | |
2021 | The Efficient Hedging Frontier with Deep Neural Networks. (2021). O'Hara, John ; Ventre, Carmine ; Gong, Zheng. In: Papers. RePEc:arx:papers:2104.05280. Full description at Econpapers || Download paper | |
2021 | Financial Markets Prediction with Deep Learning. (2021). Wang, Degang ; Cao, YU ; Liu, Benyuan ; Sun, Tong. In: Papers. RePEc:arx:papers:2104.05413. Full description at Econpapers || Download paper | |
2021 | Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps. (2021). Shokrollahi, Foad ; Ballestra, Luca Vincenzo ; Ahmadian, Davood. In: Papers. RePEc:arx:papers:2105.06999. 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 | |
2021 | A new look at calendar anomalies: Multifractality and day of the week effect. (2021). Vodenska, Irena ; Stosic, Dusan ; Stanley, Eugene H. In: Papers. RePEc:arx:papers:2106.06164. Full description at Econpapers || Download paper | |
2021 | An Information Filtering approach to stress testing: an application to FTSE markets. (2021). Aste, Tomaso ; Caccioli, Fabio ; Seabrook, Isobel. In: Papers. RePEc:arx:papers:2106.08778. 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 | |
2021 | Financial Return Distributions: Past, Present, and COVID-19. (2021). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2107.06659. Full description at Econpapers || Download paper | |
2021 | Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340. 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 | |
2021 | Discriminating modelling approaches for Point in Time Economic Scenario Generation. (2021). Wang, Rui. In: Papers. RePEc:arx:papers:2108.08818. Full description at Econpapers || Download paper | |
2021 | Bilinear Input Normalization for Neural Networks in Financial Forecasting. (2021). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Tran, Dat Thanh. In: Papers. RePEc:arx:papers:2109.00983. Full description at Econpapers || Download paper | |
2021 | Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures. (2021). Li, Jonathan Yumeng ; Delage, Erick ; Marzban, Saeed. In: Papers. RePEc:arx:papers:2109.04001. 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 | |
2021 | JUBILEE: Secure Debt Relief and Forgiveness. (2021). Cerezo, David. In: Papers. RePEc:arx:papers:2109.07267. Full description at Econpapers || Download paper | |
2021 | Reinforcement Learning for Quantitative Trading. (2021). An, BO ; Wang, Rundong ; Sun, Shuo. In: Papers. RePEc:arx:papers:2109.13851. 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 | |
2021 | Optimal trading: a model predictive control approach. (2021). Reydellet, Serge ; Perreton, Jean-Franccois ; Clinet, Simon. In: Papers. RePEc:arx:papers:2110.11008. 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 | |
2021 | Predicting Mortality from Credit Reports. (2021). Harding, Matthew ; de Giorgi, Giacomo ; DeGiorgi, Giacomo ; Vasconcelos, Gabriel. In: Papers. RePEc:arx:papers:2111.03662. 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 | |
2021 | The Evolving Causal Structure of Equity Risk Factors. (2021). BONCHI, FRANCESCO ; Bajardi, Paolo ; D'Acunto, Gabriele ; de Francisci, Gianmarco. In: Papers. RePEc:arx:papers:2111.05072. 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 | |
2021 | Do fundamentals shape the price response? A critical assessment of linear impact models. (2021). Benzaquen, Michael ; Mastromatteo, Iacopo ; Vodret, Michele. In: Papers. RePEc:arx:papers:2112.04245. 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 | |
2021 | Mesoscopic Structure of the Stock Market and Portfolio Optimization. (2021). Garlaschelli, Diego ; Squartini, Tiziano ; Fagiolo, Giorgio ; Zema, Sebastiano Michele. In: Papers. RePEc:arx:papers:2112.06544. Full description at Econpapers || Download paper | |
2021 | Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031. 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 | |
2022 | 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 | |
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 | 75 |
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: 75 | 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 |
2009 | Preface to the Annual Review of Financial Economics In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 1 |
2012 | A Survey of Systemic Risk Analytics In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 415 |
2012 | A Survey of Systemic Risk Analytics.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 415 | paper | |
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 |
2015 | Hedge Funds: A Dynamic Industry In Transition.(2015) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2009 | A Computational View of Market Efficiency In: Papers. [Full Text][Citation analysis] | paper | 7 |
2011 | A computational view of market efficiency.(2011) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2010 | Is It Real, or Is It Randomized?: A Financial Turing Test In: Papers. [Full Text][Citation analysis] | paper | 1 |
2010 | WARNING: Physics Envy May Be Hazardous To Your Wealth! In: Papers. [Full Text][Citation analysis] | paper | 25 |
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 | 213 |
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: 213 | 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 | 308 |
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: 308 | 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: 308 | paper | |
2006 | Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model In: Journal of Finance. [Full Text][Citation analysis] | article | 46 |
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: 46 | 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 | 788 |
1989 | Long-term memory in stock market prices.(1989) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 788 | 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: 788 | 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 | 65 |
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 | 281 |
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: 281 | 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: 281 | paper | |
1990 | An econometric analysis of nonsynchronous trading In: Journal of Econometrics. [Full Text][Citation analysis] | article | 308 |
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: 308 | paper | |
1989 | An Econometric Analysis of Nonsynchronous Trading.(1989) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 308 | paper | |
2000 | Nonparametric risk management and implied risk aversion In: Journal of Econometrics. [Full Text][Citation analysis] | article | 352 |
2000 | Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 352 | 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 | 104 |
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: 104 | 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 | 322 |
2010 | Consumer credit-risk models via machine-learning algorithms In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 126 |
2016 | Risk and risk management in the credit card industry In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 45 |
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: 45 | 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 | 1088 |
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: 1088 | 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: 1088 | 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 | 89 |
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 | 14 |
1987 | Semi-parametric upper bounds for option prices and expected payoffs In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 42 |
1992 | An ordered probit analysis of transaction stock prices In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 218 |
1991 | An Ordered Probit Analysis of Transaction Stock Prices..(1991) In: Weiss Center Working Papers. [Citation analysis] This paper has another version. Agregated cites: 218 | 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: 218 | 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: 218 | 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 | 327 |
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: 327 | 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: 327 | 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 | 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 | 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 | 7 |
1989 | When are contrarian profits due to stock market overreaction? In: Working papers. [Full Text][Citation analysis] | paper | 621 |
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: 621 | 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: 621 | article | |
1989 | Data-snooping biases in tests of financial asset pricing models In: Working papers. [Full Text][Citation analysis] | paper | 449 |
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: 449 | 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: 449 | 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 | 1417 |
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: 1417 | 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 | 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 | 2 |
2020 | Financing Vaccines for Global Health Security In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | A Cost/Benefit Analysis of Clinical Trial Designs for COVID-19 Vaccine Candidates In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
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 | 7 |
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 | 249 |
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: 249 | article | |
2001 | Asset Prices and Trading Volume Under Fixed Transactions Costs In: NBER Working Papers. [Full Text][Citation analysis] | paper | 128 |
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: 128 | 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: 128 | paper | |
.() In: . [Full Text][Citation analysis] This paper has another version. Agregated cites: 128 | 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 | 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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