| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A proposal for impact-adjusted valuation: Critical leverage and execution risk |
0 |
0 |
0 |
32 |
1 |
1 |
2 |
90 |
| A quantitative model of trading and price formation in financial markets |
0 |
0 |
2 |
64 |
0 |
0 |
9 |
184 |
| A theory for long-memory in supply and demand |
0 |
0 |
1 |
22 |
1 |
1 |
6 |
58 |
| An empirical behavioral model of liquidity and volatility |
0 |
1 |
5 |
78 |
3 |
8 |
18 |
246 |
| An empirical behavioral model of price formation |
0 |
0 |
2 |
41 |
0 |
0 |
7 |
110 |
| An empirical study of the tails of mutual fund size |
0 |
0 |
0 |
43 |
2 |
2 |
7 |
103 |
| Best reply structure and equilibrium convergence in generic games |
1 |
1 |
5 |
28 |
2 |
3 |
16 |
31 |
| Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate |
0 |
1 |
6 |
16 |
1 |
3 |
11 |
28 |
| Chaos in Learning a Simple Two Person Game |
0 |
0 |
0 |
196 |
0 |
1 |
10 |
590 |
| Correlations and clustering in the trading of members of the London Stock Exchange |
0 |
1 |
3 |
35 |
1 |
3 |
9 |
83 |
| Demand Storage, Market Liquidity, and Price Volatility |
0 |
0 |
0 |
119 |
0 |
2 |
5 |
566 |
| Discounting the Distant Future |
1 |
1 |
5 |
48 |
3 |
6 |
25 |
101 |
| Discounting the distant future: What do historical bond prices imply about the long term discount rate? |
0 |
2 |
8 |
28 |
4 |
20 |
50 |
112 |
| Economics: the next physical science? |
0 |
0 |
2 |
468 |
0 |
1 |
10 |
1,258 |
| Frontiers of Finance: Evolution and Efficient Markets |
0 |
0 |
0 |
521 |
0 |
1 |
22 |
1,605 |
| Getting at Systemic Risk via an Agent-Based Model of the Housing Market |
0 |
0 |
5 |
280 |
0 |
4 |
24 |
677 |
| Heterogeneity, correlations and financial contagion |
0 |
1 |
2 |
77 |
2 |
6 |
12 |
145 |
| How does the market react to your order flow? |
0 |
0 |
1 |
100 |
2 |
2 |
6 |
243 |
| How efficiency shapes market impact |
0 |
2 |
8 |
120 |
2 |
4 |
20 |
251 |
| How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network |
0 |
0 |
1 |
41 |
1 |
2 |
13 |
87 |
| How markets slowly digest changes in supply and demand |
0 |
1 |
8 |
135 |
0 |
4 |
24 |
441 |
| How predictable is technological progress? |
0 |
2 |
6 |
24 |
1 |
4 |
14 |
84 |
| How production networks amplify economic growth |
0 |
1 |
9 |
42 |
2 |
4 |
21 |
48 |
| How well do experience curves predict technological progress? A method for making distributional forecasts |
1 |
3 |
6 |
45 |
8 |
11 |
25 |
99 |
| Hyperbolic Discounting Is Rational: Valuing the Far Future with Uncertain Discount Rates |
0 |
1 |
13 |
646 |
3 |
15 |
62 |
2,100 |
| Hyperbolic discounting is rational: Valuing the far future with uncertain discount rates |
0 |
0 |
0 |
105 |
0 |
0 |
2 |
188 |
| Interpreting Economic Complexity |
1 |
5 |
19 |
44 |
8 |
17 |
61 |
141 |
| Leverage Causes Fat Tails and Clustered Volatility |
0 |
0 |
1 |
119 |
0 |
0 |
7 |
314 |
| Leverage Causes Fat Tails and Clustered Volatility |
0 |
0 |
2 |
159 |
1 |
4 |
23 |
302 |
| Leverage Causes Fat Tails and Clustered Volatility |
0 |
1 |
4 |
37 |
0 |
1 |
12 |
148 |
| Leverage-induced systemic risk under Basle II and other credit risk policies |
0 |
1 |
3 |
139 |
1 |
2 |
13 |
212 |
| Macroprudential policy in an agent-based model of the UK housing market |
1 |
3 |
19 |
106 |
3 |
14 |
98 |
247 |
| Market Force, Ecology, and Evolution |
0 |
0 |
0 |
0 |
1 |
3 |
21 |
852 |
| Market Force, Ecology, and Evolution |
0 |
4 |
13 |
512 |
1 |
8 |
41 |
1,852 |
| Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary? |
0 |
0 |
5 |
53 |
0 |
0 |
11 |
160 |
| Market impact and trading profile of large trading orders in stock markets |
0 |
2 |
4 |
119 |
1 |
3 |
12 |
344 |
| Market making, price formation, and technical trading |
0 |
0 |
0 |
0 |
0 |
4 |
19 |
639 |
| Mechanical vs. informational components of price impact |
1 |
1 |
4 |
35 |
1 |
1 |
11 |
99 |
| Models of Financial Stability and their Application in Stress Tests |
0 |
4 |
18 |
58 |
0 |
7 |
39 |
76 |
| On the origin of power law tails in price fluctuations |
0 |
1 |
1 |
40 |
1 |
4 |
11 |
145 |
| Optimal Design, Robustness, and Risk Aversion |
0 |
0 |
0 |
131 |
0 |
2 |
7 |
671 |
| Physicists Attempt to Scale the Ivory Towers of Finance |
0 |
0 |
0 |
235 |
0 |
2 |
7 |
765 |
| Segmentation algorithm for non-stationary compound Poisson processes |
0 |
0 |
1 |
48 |
0 |
0 |
7 |
172 |
| Single Curve Collapse of the Price Impact Function for the New York Stock Exchange |
0 |
0 |
0 |
40 |
1 |
2 |
11 |
120 |
| Stability analysis of financial contagion due to overlapping portfolios |
0 |
1 |
4 |
60 |
0 |
3 |
11 |
140 |
| Statistical Basis for Predicting Technological Progress |
0 |
0 |
2 |
83 |
3 |
4 |
9 |
163 |
| Statistical theory of the continuous double auction |
0 |
0 |
3 |
70 |
0 |
0 |
5 |
175 |
| Studies of the limit order book around large price changes |
1 |
1 |
5 |
91 |
4 |
4 |
14 |
194 |
| Taming the Basel Leverage Cycle |
0 |
0 |
0 |
19 |
1 |
1 |
6 |
30 |
| Taming the Basel leverage cycle |
0 |
0 |
0 |
24 |
0 |
2 |
11 |
25 |
| Taming the Basel leverage cycle |
0 |
0 |
1 |
39 |
1 |
2 |
7 |
31 |
| The Intrafirm Complexity of Systemically Important Financial Institutions |
0 |
0 |
2 |
23 |
0 |
0 |
4 |
44 |
| The Predictive Power of Zero Intelligence in Financial Markets |
0 |
1 |
3 |
46 |
0 |
3 |
15 |
154 |
| The Price Dynamics of Common Trading Strategies |
0 |
0 |
0 |
321 |
1 |
6 |
27 |
1,107 |
| The Reality Game |
0 |
0 |
3 |
47 |
1 |
5 |
11 |
194 |
| The Virtues and Vices of Equilibrium and the Future of Financial Economics |
0 |
2 |
2 |
10 |
1 |
4 |
12 |
61 |
| The Virtues and Vices of Equilibrium and the Future of Financial Economics |
3 |
4 |
10 |
319 |
5 |
8 |
39 |
951 |
| The dynamics of the leverage cycle |
0 |
1 |
2 |
38 |
2 |
5 |
23 |
88 |
| The long memory of the efficient market |
0 |
0 |
1 |
55 |
0 |
1 |
11 |
176 |
| The non-random walk of stock prices: The long-term correlation between signs and sizes |
0 |
1 |
3 |
63 |
0 |
2 |
10 |
161 |
| The prevalence of chaotic dynamics in games with many players |
0 |
0 |
1 |
33 |
2 |
3 |
5 |
27 |
| The price dynamics of common trading strategies |
0 |
0 |
5 |
81 |
0 |
4 |
21 |
310 |
| The virtues and vices of equilibrium and the future of financial economics |
0 |
0 |
0 |
14 |
2 |
4 |
14 |
87 |
| There's more to volatility than volume |
0 |
0 |
1 |
27 |
2 |
2 |
5 |
79 |
| Tick size and price diffusion |
0 |
0 |
1 |
63 |
1 |
1 |
4 |
135 |
| To bail-out or to bail-in? Answers from an agent-based model |
0 |
1 |
2 |
31 |
0 |
3 |
10 |
43 |
| Uncertain growth and the value of the future |
0 |
1 |
3 |
8 |
0 |
1 |
4 |
22 |
| What drives mutual fund asset concentration? |
0 |
0 |
0 |
29 |
2 |
5 |
10 |
120 |
| What really causes large price changes? |
0 |
0 |
4 |
70 |
1 |
3 |
16 |
273 |
| Why is order flow so persistent? |
0 |
4 |
7 |
99 |
2 |
7 |
14 |
243 |
| Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves |
0 |
2 |
8 |
21 |
1 |
3 |
21 |
46 |
| Total Working Papers |
10 |
59 |
265 |
7,013 |
90 |
268 |
1,180 |
21,866 |
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