| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Computational View of Market Efficiency |
0 |
1 |
1 |
106 |
1 |
8 |
22 |
394 |
| A Cost/Benefit Analysis of Clinical Trial Designs for COVID-19 Vaccine Candidates |
0 |
0 |
1 |
45 |
1 |
2 |
5 |
150 |
| A Dynamic Model of Optimal Investment and Financial Policies with Costs of Adjustment and Leverage |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
189 |
| A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks |
0 |
2 |
5 |
164 |
1 |
6 |
23 |
522 |
| A Residuals-Based Wald Test for the Linear Simultaneous Equation |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
285 |
| A Residuals-Based Wald Test for the Linear Simultaneous Equation |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
150 |
| A Simple Specification Test of the Random Walk Hypothesis |
0 |
0 |
0 |
2 |
1 |
2 |
19 |
991 |
| A Survey of Systemic Risk Analytics |
0 |
1 |
5 |
89 |
1 |
7 |
22 |
406 |
| Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery |
0 |
1 |
1 |
1 |
1 |
1 |
2 |
2 |
| An Econometric Analysis of Nonsynchronous Trading |
0 |
0 |
3 |
355 |
0 |
0 |
4 |
826 |
| An Econometric Analysis of Nonsyschronous-Trading |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
222 |
| An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns |
0 |
0 |
1 |
165 |
0 |
1 |
11 |
594 |
| An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns |
0 |
0 |
0 |
524 |
0 |
1 |
3 |
1,522 |
| An Ordered Probit Analysis of Transaction Stock Prices |
0 |
1 |
2 |
538 |
2 |
7 |
9 |
1,753 |
| An Ordered Probit Analysis of Transaction Stock Prices |
0 |
0 |
0 |
0 |
0 |
2 |
12 |
890 |
| An Ordered Probit Analysis of Transaction Stock Prices (Reprint 029) |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
552 |
| An ordered probit analysis of transaction stock prices |
0 |
0 |
0 |
142 |
0 |
0 |
0 |
404 |
| Asset Prices and Trading Volume Under Fixed Transactions Costs |
0 |
0 |
0 |
142 |
0 |
1 |
18 |
670 |
| Asset Prices and Trading Volume Under Fixed Transactions Costs |
0 |
0 |
1 |
68 |
1 |
3 |
7 |
302 |
| Asset Prices and Trading Volume Under Fixed Transactions Costs |
0 |
0 |
1 |
1 |
0 |
2 |
3 |
3 |
| Bayesian Adaptive Clinical Trials for Anti‐Infective Therapeutics during Epidemic Outbreaks |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
36 |
| Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry |
0 |
0 |
3 |
70 |
0 |
0 |
7 |
219 |
| Data Snooping Biases in Tests of Financial Asset Pricing Models (Reprint 002) |
0 |
0 |
0 |
1 |
0 |
2 |
7 |
328 |
| Data-Snooping Biases in Tests of Financial Asset Pricing Models |
0 |
0 |
2 |
140 |
0 |
1 |
8 |
504 |
| Data-snooping biases in tests of financial asset pricing models |
0 |
0 |
1 |
86 |
0 |
0 |
7 |
302 |
| Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors |
0 |
0 |
7 |
366 |
0 |
1 |
26 |
880 |
| Econometric Measures of Systemic Risk in the Finance and Insurance Sectors |
1 |
1 |
9 |
375 |
3 |
14 |
58 |
999 |
| Econometric Models of Limit-Order Executions |
0 |
0 |
1 |
163 |
0 |
0 |
4 |
740 |
| Econometric Models of Limit-Order Executions |
0 |
0 |
3 |
396 |
0 |
3 |
10 |
1,245 |
| Estimating Probabilities of Success of Vaccine and Other Anti-Infective Therapeutic Development Programs |
0 |
0 |
0 |
10 |
0 |
0 |
4 |
41 |
| Estimating the Financial Impact of Gene Therapy in the U.S |
0 |
0 |
3 |
12 |
0 |
1 |
10 |
36 |
| Fear and Greed in Financial Markets: A Clinical Study of Day-Traders |
0 |
0 |
7 |
296 |
0 |
2 |
24 |
1,346 |
| Financial Intermediation and the Funding of Biomedical Innovation: A Review |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Financing Vaccines for Global Health Security |
1 |
2 |
4 |
23 |
1 |
2 |
5 |
48 |
| Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation |
2 |
4 |
8 |
1,808 |
5 |
12 |
33 |
3,938 |
| Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation |
1 |
1 |
2 |
1,313 |
1 |
11 |
31 |
2,320 |
| Frontiers of Finance: Evolution and Efficient Markets |
0 |
0 |
0 |
521 |
1 |
2 |
9 |
1,634 |
| Games of Survival in the Newspaper Industry |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
231 |
| Global realignment in financial market dynamics: Evidence from ETF networks |
0 |
2 |
8 |
49 |
1 |
9 |
28 |
62 |
| Hedge Funds: A Dynamic Industry In Transition |
0 |
0 |
3 |
75 |
0 |
0 |
15 |
229 |
| Hedge fund holdings and stock market efficiency |
0 |
0 |
3 |
66 |
1 |
9 |
31 |
225 |
| Implementing Option Pricing Models When Asset Returns Are Predictable |
0 |
0 |
2 |
459 |
0 |
8 |
29 |
1,524 |
| Implementing option pricing models when asset returns are predictable |
0 |
0 |
0 |
80 |
0 |
1 |
9 |
239 |
| Impossible Frontiers |
0 |
0 |
2 |
65 |
0 |
1 |
10 |
295 |
| Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders |
0 |
0 |
1 |
235 |
1 |
1 |
3 |
876 |
| Is It Real, or Is It Randomized?: A Financial Turing Test |
0 |
0 |
0 |
65 |
0 |
0 |
3 |
157 |
| Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design |
0 |
1 |
1 |
13 |
0 |
1 |
3 |
88 |
| Logit Versus Discriminant Analysis: A Specification Test |
0 |
0 |
0 |
1 |
0 |
2 |
5 |
506 |
| Long-term Memory in Stock Market Prices |
0 |
0 |
1 |
276 |
0 |
0 |
3 |
921 |
| Long-term memory in stock market prices |
0 |
0 |
2 |
164 |
0 |
0 |
7 |
548 |
| Maximizing Predictability in the Stock and Bond Markets |
0 |
2 |
2 |
746 |
0 |
8 |
28 |
2,034 |
| Maximizing predictability in the stock and bond markets |
0 |
0 |
0 |
97 |
0 |
4 |
23 |
351 |
| Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data |
0 |
0 |
0 |
405 |
0 |
0 |
2 |
1,044 |
| Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
261 |
| Models of the term structure of interest rates |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
456 |
| Moore's Law vs. Murphy's Law in the financial system: who's winning? |
0 |
0 |
0 |
43 |
0 |
0 |
4 |
71 |
| Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices |
0 |
0 |
0 |
1 |
0 |
3 |
7 |
475 |
| Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices |
0 |
1 |
2 |
576 |
0 |
2 |
9 |
2,009 |
| Nonparametric Risk Management and Implied Risk Aversion |
0 |
2 |
2 |
491 |
0 |
5 |
8 |
1,283 |
| Optimal Financing for R&D-Intensive Firms |
0 |
1 |
3 |
47 |
0 |
2 |
9 |
92 |
| Paying off the Competition: Market Power and Innovation Incentives |
0 |
7 |
14 |
39 |
0 |
13 |
33 |
80 |
| Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model |
0 |
0 |
0 |
986 |
0 |
4 |
20 |
3,575 |
| Pricing and hedging derivative securities in incomplete markets: an e-arbitrage approach |
0 |
0 |
0 |
76 |
0 |
0 |
5 |
284 |
| Privacy-Preserving Methods for Sharing Financial Risk Exposures |
1 |
1 |
2 |
15 |
1 |
1 |
4 |
74 |
| Risk and Risk Management in the Credit Card Industry |
0 |
0 |
1 |
89 |
1 |
5 |
11 |
338 |
| Sharing R&D Risk in Healthcare via FDA Hedges |
0 |
0 |
1 |
28 |
0 |
0 |
7 |
88 |
| Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revised: 10-85) |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
149 |
| Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revision of 19-84) |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
180 |
| Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test |
2 |
5 |
22 |
932 |
5 |
16 |
109 |
3,045 |
| Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87) |
0 |
0 |
0 |
0 |
2 |
3 |
33 |
426 |
| Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87) |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
222 |
| Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revision of 5-87) |
0 |
0 |
0 |
0 |
2 |
2 |
8 |
333 |
| Systemic Risk and Hedge Funds |
1 |
1 |
4 |
821 |
1 |
4 |
30 |
2,172 |
| Systemic Risk and the Refinancing Ratchet Effect |
0 |
0 |
2 |
160 |
1 |
8 |
20 |
520 |
| Systemic Risk and the Refinancing Ratchet Effect |
0 |
0 |
0 |
124 |
0 |
4 |
22 |
521 |
| The Gordon Gekko Effect: The Role of Culture in the Financial Industry |
0 |
0 |
0 |
91 |
0 |
1 |
6 |
272 |
| The Psychophysiology of Real-Time Financial Risk Processing |
0 |
2 |
5 |
150 |
1 |
8 |
35 |
570 |
| The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
989 |
| The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation |
1 |
2 |
7 |
469 |
1 |
3 |
11 |
1,554 |
| The Sources and Nature of Long-Term Memory in the Business Cycle |
0 |
0 |
0 |
1 |
0 |
2 |
2 |
214 |
| The Sources and Nature of Long-Term Memory in the Business Cycle |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
503 |
| The Sources and Nature of Long-term Memory in the Business Cycle |
0 |
1 |
1 |
88 |
0 |
2 |
3 |
458 |
| The sources and nature of long-term memory in the business cycle |
0 |
0 |
0 |
38 |
0 |
0 |
1 |
294 |
| Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory |
0 |
0 |
2 |
664 |
1 |
3 |
15 |
2,269 |
| Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model |
0 |
0 |
0 |
232 |
1 |
8 |
19 |
747 |
| WARNING: Physics Envy May Be Hazardous To Your Wealth! |
0 |
1 |
1 |
418 |
0 |
7 |
38 |
1,240 |
| What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data |
0 |
0 |
3 |
253 |
2 |
7 |
33 |
816 |
| When Do Stop-Loss Rules Stop Losses? |
2 |
4 |
6 |
137 |
3 |
9 |
29 |
482 |
| When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001) |
0 |
0 |
0 |
0 |
1 |
2 |
6 |
262 |
| When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001) |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
488 |
| When are Contrarian Profits Due to Stock Market Overreaction? |
0 |
0 |
0 |
404 |
0 |
4 |
28 |
1,113 |
| When are contrarian profits due to stock market overreaction? |
0 |
0 |
0 |
146 |
0 |
1 |
6 |
428 |
| Total Working Papers |
12 |
47 |
174 |
18,247 |
47 |
274 |
1,201 |
64,126 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks |
0 |
0 |
1 |
103 |
0 |
1 |
7 |
421 |
| A Survey of Systemic Risk Analytics |
0 |
2 |
7 |
419 |
2 |
11 |
53 |
1,337 |
| A computational view of market efficiency |
0 |
0 |
0 |
20 |
0 |
6 |
27 |
135 |
| A large-sample chow test for the linear simultaneous equation |
0 |
0 |
1 |
113 |
0 |
0 |
1 |
348 |
| An Evolutionary Model of Bounded Rationality and Intelligence |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
6 |
| An econometric analysis of nonsynchronous trading |
1 |
1 |
10 |
435 |
1 |
1 |
24 |
1,064 |
| An econometric model of serial correlation and illiquidity in hedge fund returns |
0 |
0 |
2 |
188 |
0 |
6 |
58 |
874 |
| An ordered probit analysis of transaction stock prices |
0 |
0 |
5 |
557 |
0 |
1 |
25 |
1,403 |
| Asset Prices and Trading Volume under Fixed Transactions Costs |
0 |
0 |
2 |
23 |
2 |
5 |
13 |
416 |
| Asset allocation and derivatives |
1 |
3 |
3 |
19 |
1 |
3 |
5 |
119 |
| Can Financial Economics Cure Cancer? |
0 |
0 |
0 |
1 |
0 |
0 |
6 |
16 |
| Can Financial Engineering Cure Cancer? |
0 |
0 |
4 |
51 |
0 |
2 |
11 |
247 |
| Can hedge funds time market liquidity? |
1 |
2 |
3 |
36 |
2 |
10 |
45 |
248 |
| Consumer credit-risk models via machine-learning algorithms |
8 |
21 |
99 |
563 |
16 |
42 |
236 |
1,782 |
| Data-Snooping Biases in Tests of Financial Asset Pricing Models |
0 |
1 |
7 |
603 |
1 |
4 |
25 |
1,759 |
| Dynamic Alpha: A Spectral Decomposition of Investment Performance Across Time Horizons |
0 |
1 |
5 |
10 |
1 |
4 |
29 |
47 |
| Econometric measures of connectedness and systemic risk in the finance and insurance sectors |
3 |
12 |
69 |
537 |
9 |
38 |
221 |
1,640 |
| Econometric models of limit-order executions |
1 |
3 |
4 |
187 |
1 |
5 |
13 |
535 |
| Estimating the NIH Efficient Frontier |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
| Fear and Greed in Financial Markets: A Clinical Study of Day-Traders |
0 |
0 |
2 |
142 |
3 |
5 |
18 |
648 |
| Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation |
0 |
1 |
2 |
5 |
2 |
3 |
7 |
30 |
| Hamilton’s rule in economic decision-making |
0 |
2 |
9 |
9 |
0 |
4 |
14 |
14 |
| Hedge Fund Holdings and Stock Market Efficiency |
0 |
0 |
4 |
9 |
1 |
2 |
11 |
44 |
| Hedge Funds: A Dynamic Industry in Transition |
0 |
0 |
0 |
20 |
0 |
2 |
6 |
107 |
| Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach |
1 |
1 |
2 |
6 |
1 |
1 |
2 |
31 |
| Identifying and Mitigating Potential Biases in Predicting Drug Approvals |
0 |
0 |
1 |
1 |
0 |
0 |
2 |
2 |
| Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios |
2 |
3 |
6 |
16 |
2 |
7 |
19 |
92 |
| Implementing Option Pricing Models When Asset Returns Are Predictable |
1 |
2 |
6 |
145 |
1 |
3 |
19 |
464 |
| Impossible Frontiers |
0 |
0 |
0 |
14 |
0 |
4 |
28 |
239 |
| Innovation at MIT |
0 |
0 |
0 |
3 |
0 |
0 |
2 |
46 |
| Introduction to Volume 5 of the Annual Review of Financial Economics |
0 |
0 |
0 |
18 |
0 |
0 |
1 |
94 |
| Is the FDA too conservative or too aggressive?: A Bayesian decision analysis of clinical trial design |
0 |
1 |
3 |
12 |
0 |
2 |
15 |
73 |
| Logit versus discriminant analysis: A specification test and application to corporate bankruptcies |
0 |
0 |
1 |
395 |
1 |
1 |
4 |
748 |
| Long-Term Memory in Stock Market Prices |
0 |
1 |
12 |
1,262 |
0 |
4 |
35 |
4,548 |
| MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS |
0 |
1 |
1 |
65 |
0 |
4 |
11 |
328 |
| Macroeconomic Models for Monetary Policy: A Critical Review from a Finance Perspective |
1 |
3 |
5 |
10 |
1 |
7 |
18 |
31 |
| Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data |
0 |
1 |
3 |
37 |
0 |
1 |
6 |
130 |
| Moore's Law versus Murphy's Law: Algorithmic Trading and Its Discontents |
0 |
0 |
2 |
57 |
0 |
0 |
9 |
219 |
| Nonparametric risk management and implied risk aversion |
1 |
5 |
15 |
491 |
1 |
8 |
36 |
1,207 |
| Optimal control of execution costs |
2 |
3 |
11 |
748 |
3 |
14 |
68 |
1,568 |
| Preface to the Annual Review of Financial Economics |
1 |
1 |
2 |
53 |
3 |
4 |
6 |
228 |
| Privacy-Preserving Methods for Sharing Financial Risk Exposures |
0 |
0 |
1 |
21 |
1 |
1 |
6 |
176 |
| Reading about the Financial Crisis: A Twenty-One-Book Review |
4 |
7 |
15 |
423 |
7 |
10 |
31 |
1,259 |
| Regulatory reform in the wake of the financial crisis of 2007-2008 |
0 |
0 |
1 |
49 |
0 |
6 |
37 |
309 |
| Reply to “(Im)Possible Frontiers: A Comment†|
0 |
0 |
0 |
13 |
0 |
0 |
2 |
62 |
| Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
7 |
| Risk and risk management in the credit card industry |
1 |
3 |
4 |
28 |
1 |
7 |
32 |
167 |
| Robert C. Merton: The First Financial Engineer |
0 |
0 |
3 |
7 |
0 |
1 |
9 |
23 |
| Robust ranking and portfolio optimization |
0 |
0 |
0 |
30 |
0 |
0 |
2 |
98 |
| Semi-parametric upper bounds for option prices and expected payoffs |
0 |
0 |
0 |
200 |
0 |
0 |
0 |
356 |
| Spectral factor models |
0 |
2 |
10 |
12 |
3 |
7 |
33 |
44 |
| Statistical tests of contingent-claims asset-pricing models: A new methodology |
0 |
0 |
0 |
77 |
0 |
2 |
5 |
194 |
| Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test |
2 |
3 |
11 |
1,488 |
5 |
14 |
63 |
3,627 |
| Systemic risk and the refinancing ratchet effect |
0 |
0 |
2 |
82 |
0 |
8 |
26 |
521 |
| THE ECONOMETRICS OF FINANCIAL MARKETS |
7 |
13 |
38 |
457 |
16 |
42 |
125 |
1,259 |
| The Derivatives Sourcebook |
0 |
0 |
3 |
54 |
2 |
6 |
26 |
331 |
| The Gordon Gekko effect: the role of culture in the financial industry |
1 |
1 |
2 |
54 |
3 |
8 |
35 |
350 |
| The Origin of Behavior |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
33 |
| The Visible Hand |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
27 |
| The growth of relative wealth and the Kelly criterion |
0 |
0 |
2 |
10 |
0 |
1 |
6 |
69 |
| The origin of cooperation |
0 |
0 |
1 |
1 |
0 |
0 |
7 |
12 |
| The size and power of the variance ratio test in finite samples: A Monte Carlo investigation |
0 |
3 |
11 |
431 |
4 |
10 |
40 |
996 |
| The sources and nature of long-term memory in aggregate output |
0 |
0 |
0 |
80 |
0 |
4 |
28 |
392 |
| To maximize or randomize? An experimental study of probability matching in financial decision making |
0 |
0 |
2 |
2 |
0 |
0 |
9 |
10 |
| Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory |
0 |
0 |
0 |
1 |
1 |
8 |
30 |
940 |
| Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model |
0 |
0 |
0 |
114 |
1 |
2 |
4 |
460 |
| Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments |
0 |
0 |
0 |
9 |
6 |
12 |
18 |
94 |
| What happened to the quants in August 2007? Evidence from factors and transactions data |
1 |
1 |
7 |
334 |
7 |
18 |
67 |
1,376 |
| When Are Contrarian Profits Due to Stock Market Overreaction? |
0 |
1 |
5 |
968 |
1 |
8 |
47 |
2,676 |
| When do stop-loss rules stop losses? |
2 |
5 |
9 |
119 |
6 |
15 |
45 |
457 |
| When is time continuous? |
0 |
0 |
2 |
101 |
1 |
2 |
9 |
452 |
| Total Journal Articles |
42 |
110 |
438 |
12,559 |
121 |
410 |
1,886 |
40,067 |
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