| 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 |
0 |
1 |
104 |
2 |
3 |
14 |
357 |
| A Dynamic Model of Optimal Investment and Financial Policies with Costs of Adjustment and Leverage |
0 |
0 |
0 |
1 |
1 |
1 |
6 |
187 |
| A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks |
1 |
1 |
3 |
155 |
4 |
5 |
23 |
486 |
| A Residuals-Based Wald Test for the Linear Simultaneous Equation |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
285 |
| A Residuals-Based Wald Test for the Linear Simultaneous Equation |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
146 |
| A Simple Specification Test of the Random Walk Hypothesis |
0 |
0 |
0 |
2 |
2 |
4 |
23 |
950 |
| An Econometric Analysis of Nonsynchronous Trading |
1 |
1 |
3 |
351 |
4 |
5 |
22 |
807 |
| An Econometric Analysis of Nonsyschronous-Trading |
0 |
0 |
0 |
0 |
2 |
2 |
13 |
217 |
| An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns |
0 |
0 |
2 |
163 |
0 |
3 |
22 |
549 |
| An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns |
0 |
0 |
2 |
523 |
1 |
3 |
19 |
1,449 |
| An Ordered Probit Analysis of Transaction Stock Prices |
0 |
0 |
0 |
0 |
1 |
5 |
26 |
861 |
| An Ordered Probit Analysis of Transaction Stock Prices |
0 |
1 |
5 |
534 |
1 |
4 |
22 |
1,719 |
| An Ordered Probit Analysis of Transaction Stock Prices (Reprint 029) |
0 |
0 |
0 |
0 |
0 |
0 |
16 |
509 |
| An ordered probit analysis of transaction stock prices |
0 |
0 |
0 |
142 |
1 |
4 |
14 |
395 |
| Asset Prices and Trading Volume Under Fixed Transactions Costs |
0 |
0 |
2 |
67 |
1 |
3 |
20 |
289 |
| Asset Prices and Trading Volume Under Fixed Transactions Costs |
1 |
1 |
4 |
142 |
1 |
6 |
24 |
620 |
| Bayesian Adaptive Clinical Trials for Anti‐Infective Therapeutics during Epidemic Outbreaks |
0 |
5 |
5 |
5 |
2 |
9 |
14 |
14 |
| Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry |
0 |
1 |
6 |
58 |
2 |
4 |
28 |
151 |
| Data Snooping Biases in Tests of Financial Asset Pricing Models (Reprint 002) |
0 |
0 |
0 |
1 |
0 |
1 |
5 |
316 |
| Data-Snooping Biases in Tests of Financial Asset Pricing Models |
0 |
0 |
2 |
137 |
0 |
7 |
29 |
476 |
| Data-snooping biases in tests of financial asset pricing models |
0 |
0 |
1 |
85 |
1 |
4 |
16 |
274 |
| Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors |
0 |
2 |
21 |
346 |
1 |
11 |
61 |
765 |
| Econometric Measures of Systemic Risk in the Finance and Insurance Sectors |
0 |
1 |
14 |
362 |
2 |
12 |
48 |
880 |
| Econometric Models of Limit-Order Executions |
0 |
1 |
2 |
159 |
3 |
4 |
12 |
712 |
| Econometric Models of Limit-Order Executions |
1 |
1 |
3 |
390 |
1 |
3 |
21 |
1,208 |
| Estimating Probabilities of Success of Vaccine and Other Anti-Infective Therapeutic Development Programs |
0 |
7 |
7 |
7 |
1 |
12 |
16 |
16 |
| Fear and Greed in Financial Markets: A Clinical Study of Day-Traders |
0 |
0 |
4 |
286 |
2 |
5 |
25 |
1,290 |
| Financing Vaccines for Global Health Security |
0 |
11 |
12 |
12 |
4 |
13 |
16 |
16 |
| Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation |
0 |
0 |
0 |
1,309 |
4 |
10 |
23 |
2,266 |
| Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation |
1 |
2 |
10 |
1,789 |
8 |
15 |
69 |
3,823 |
| Frontiers of Finance: Evolution and Efficient Markets |
0 |
0 |
0 |
521 |
0 |
1 |
22 |
1,605 |
| Games of Survival in the Newspaper Industry |
0 |
0 |
0 |
0 |
0 |
2 |
6 |
227 |
| Hedge Funds: A Dynamic Industry In Transition |
0 |
1 |
4 |
68 |
2 |
6 |
43 |
156 |
| Hedge fund holdings and stock market efficiency |
0 |
0 |
3 |
59 |
2 |
6 |
28 |
158 |
| Implementing Option Pricing Models When Asset Returns Are Predictable |
0 |
0 |
2 |
456 |
1 |
4 |
20 |
1,465 |
| Implementing option pricing models when asset returns are predictable |
0 |
0 |
0 |
80 |
1 |
2 |
7 |
214 |
| Impossible Frontiers |
0 |
0 |
1 |
60 |
4 |
5 |
20 |
271 |
| Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders |
1 |
1 |
1 |
232 |
1 |
5 |
12 |
865 |
| Is It Real, or Is It Randomized?: A Financial Turing Test |
0 |
0 |
0 |
62 |
0 |
0 |
7 |
146 |
| Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design |
0 |
0 |
0 |
10 |
0 |
0 |
14 |
77 |
| Logit Versus Discriminant Analysis: A Specification Test |
0 |
0 |
0 |
1 |
0 |
0 |
3 |
497 |
| Long-term Memory in Stock Market Prices |
0 |
1 |
3 |
271 |
2 |
7 |
36 |
890 |
| Long-term memory in stock market prices |
0 |
1 |
4 |
157 |
1 |
8 |
35 |
508 |
| Maximizing Predictability in the Stock and Bond Markets |
0 |
0 |
0 |
742 |
0 |
4 |
23 |
1,980 |
| Maximizing predictability in the stock and bond markets |
0 |
0 |
0 |
97 |
3 |
6 |
24 |
308 |
| Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data |
0 |
0 |
0 |
0 |
1 |
2 |
7 |
252 |
| Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data |
0 |
0 |
1 |
404 |
1 |
4 |
20 |
1,038 |
| Models of the term structure of interest rates |
0 |
0 |
0 |
0 |
0 |
1 |
16 |
446 |
| Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices |
0 |
0 |
1 |
572 |
2 |
6 |
15 |
1,975 |
| Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices |
0 |
0 |
0 |
1 |
1 |
5 |
15 |
453 |
| Nonparametric Risk Management and Implied Risk Aversion |
0 |
2 |
5 |
487 |
3 |
12 |
34 |
1,258 |
| Optimal Financing for R&D-Intensive Firms |
0 |
1 |
3 |
42 |
1 |
6 |
20 |
63 |
| Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model |
0 |
0 |
2 |
984 |
4 |
6 |
18 |
3,511 |
| Pricing and hedging derivative securities in incomplete markets: an e-arbitrage approach |
0 |
0 |
0 |
76 |
0 |
1 |
17 |
261 |
| Privacy-Preserving Methods for Sharing Financial Risk Exposures |
0 |
1 |
2 |
12 |
1 |
3 |
12 |
64 |
| Risk and Risk Management in the Credit Card Industry |
0 |
2 |
9 |
78 |
7 |
17 |
53 |
265 |
| Sharing R&D Risk in Healthcare via FDA Hedges |
0 |
0 |
3 |
25 |
2 |
4 |
21 |
59 |
| Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revised: 10-85) |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
144 |
| Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revision of 19-84) |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
176 |
| Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test |
4 |
9 |
13 |
856 |
15 |
40 |
158 |
2,680 |
| Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87) |
0 |
0 |
0 |
0 |
0 |
3 |
13 |
376 |
| Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87) |
0 |
0 |
0 |
0 |
0 |
2 |
10 |
214 |
| Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revision of 5-87) |
0 |
0 |
0 |
0 |
1 |
1 |
17 |
314 |
| Systemic Risk and Hedge Funds |
2 |
3 |
4 |
808 |
6 |
10 |
34 |
2,092 |
| Systemic Risk and the Refinancing Ratchet Effect |
0 |
0 |
2 |
156 |
10 |
13 |
45 |
483 |
| Systemic Risk and the Refinancing Ratchet Effect |
0 |
0 |
0 |
121 |
3 |
4 |
23 |
457 |
| The Gordon Gekko Effect: The Role of Culture in the Financial Industry |
0 |
0 |
3 |
89 |
2 |
6 |
23 |
241 |
| The Psychophysiology of Real-Time Financial Risk Processing |
1 |
2 |
4 |
142 |
3 |
5 |
17 |
513 |
| The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation |
0 |
1 |
9 |
458 |
1 |
4 |
34 |
1,520 |
| The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation |
0 |
0 |
0 |
0 |
1 |
3 |
20 |
964 |
| The Sources and Nature of Long-Term Memory in the Business Cycle |
0 |
0 |
0 |
0 |
1 |
1 |
6 |
500 |
| The Sources and Nature of Long-Term Memory in the Business Cycle |
0 |
0 |
0 |
1 |
0 |
1 |
6 |
202 |
| The Sources and Nature of Long-term Memory in the Business Cycle |
0 |
0 |
0 |
86 |
1 |
2 |
6 |
447 |
| The sources and nature of long-term memory in the business cycle |
0 |
0 |
2 |
38 |
0 |
1 |
8 |
283 |
| Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory |
1 |
1 |
1 |
659 |
3 |
6 |
20 |
2,227 |
| Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model |
0 |
0 |
0 |
231 |
1 |
5 |
20 |
710 |
| WARNING: Physics Envy May Be Hazardous To Your Wealth! |
0 |
1 |
2 |
412 |
6 |
16 |
40 |
1,152 |
| What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data |
0 |
0 |
5 |
249 |
2 |
8 |
53 |
750 |
| When Do Stop-Loss Rules Stop Losses? |
1 |
1 |
4 |
121 |
1 |
4 |
26 |
417 |
| When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001) |
0 |
0 |
0 |
4 |
0 |
0 |
4 |
487 |
| When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001) |
0 |
0 |
0 |
0 |
1 |
1 |
8 |
252 |
| When are Contrarian Profits Due to Stock Market Overreaction? |
0 |
0 |
1 |
402 |
1 |
8 |
26 |
1,057 |
| When are contrarian profits due to stock market overreaction? |
0 |
1 |
2 |
145 |
2 |
8 |
28 |
398 |
| Total Working Papers |
15 |
64 |
205 |
17,605 |
154 |
434 |
1,861 |
60,101 |
| 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 |
1 |
6 |
97 |
3 |
8 |
40 |
382 |
| A Survey of Systemic Risk Analytics |
0 |
3 |
13 |
398 |
3 |
17 |
80 |
1,206 |
| A computational view of market efficiency |
0 |
0 |
2 |
20 |
1 |
5 |
14 |
92 |
| A large-sample chow test for the linear simultaneous equation |
1 |
2 |
4 |
112 |
1 |
2 |
10 |
342 |
| An econometric analysis of nonsynchronous trading |
2 |
2 |
9 |
419 |
3 |
6 |
29 |
995 |
| An econometric model of serial correlation and illiquidity in hedge fund returns |
2 |
3 |
8 |
179 |
3 |
7 |
42 |
728 |
| An ordered probit analysis of transaction stock prices |
0 |
0 |
15 |
542 |
1 |
5 |
63 |
1,342 |
| Asset Prices and Trading Volume under Fixed Transactions Costs |
0 |
1 |
4 |
21 |
3 |
12 |
48 |
380 |
| Asset allocation and derivatives |
0 |
0 |
0 |
14 |
0 |
1 |
12 |
101 |
| Can Financial Engineering Cure Cancer? |
0 |
0 |
0 |
46 |
0 |
2 |
12 |
220 |
| Can hedge funds time market liquidity? |
0 |
2 |
5 |
33 |
2 |
5 |
22 |
152 |
| Consumer credit-risk models via machine-learning algorithms |
11 |
28 |
93 |
340 |
24 |
66 |
240 |
1,162 |
| Data-Snooping Biases in Tests of Financial Asset Pricing Models |
1 |
1 |
5 |
593 |
4 |
9 |
45 |
1,690 |
| Econometric measures of connectedness and systemic risk in the finance and insurance sectors |
5 |
9 |
77 |
379 |
17 |
61 |
243 |
1,123 |
| Econometric models of limit-order executions |
0 |
1 |
5 |
180 |
1 |
3 |
23 |
501 |
| Fear and Greed in Financial Markets: A Clinical Study of Day-Traders |
0 |
1 |
3 |
131 |
2 |
10 |
47 |
586 |
| Implementing Option Pricing Models When Asset Returns Are Predictable |
0 |
0 |
2 |
133 |
1 |
6 |
24 |
414 |
| Impossible Frontiers |
0 |
0 |
0 |
13 |
1 |
3 |
17 |
172 |
| Innovation at MIT |
0 |
0 |
0 |
3 |
0 |
1 |
6 |
33 |
| Introduction to Volume 5 of the Annual Review of Financial Economics |
0 |
0 |
0 |
18 |
1 |
3 |
9 |
87 |
| Logit versus discriminant analysis: A specification test and application to corporate bankruptcies |
1 |
2 |
11 |
388 |
1 |
6 |
30 |
729 |
| Long-Term Memory in Stock Market Prices |
2 |
7 |
28 |
1,223 |
7 |
19 |
137 |
4,400 |
| MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS |
0 |
0 |
0 |
64 |
1 |
6 |
24 |
295 |
| Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data |
0 |
0 |
1 |
31 |
0 |
0 |
9 |
117 |
| Moore's Law versus Murphy's Law: Algorithmic Trading and Its Discontents |
1 |
1 |
4 |
49 |
2 |
5 |
22 |
189 |
| Nonparametric risk management and implied risk aversion |
2 |
8 |
23 |
453 |
5 |
26 |
96 |
1,103 |
| Optimal control of execution costs |
0 |
1 |
10 |
726 |
3 |
11 |
57 |
1,412 |
| Preface to the Annual Review of Financial Economics |
0 |
0 |
0 |
50 |
0 |
4 |
14 |
219 |
| Privacy-Preserving Methods for Sharing Financial Risk Exposures |
0 |
0 |
1 |
19 |
1 |
2 |
21 |
158 |
| Reading about the Financial Crisis: A Twenty-One-Book Review |
3 |
4 |
14 |
390 |
5 |
14 |
77 |
1,134 |
| Regulatory reform in the wake of the financial crisis of 2007-2008 |
1 |
2 |
2 |
44 |
1 |
7 |
25 |
229 |
| Robust ranking and portfolio optimization |
0 |
1 |
4 |
28 |
1 |
2 |
9 |
89 |
| Semi-parametric upper bounds for option prices and expected payoffs |
0 |
0 |
1 |
198 |
0 |
0 |
10 |
349 |
| Statistical tests of contingent-claims asset-pricing models: A new methodology |
0 |
0 |
0 |
75 |
0 |
1 |
9 |
180 |
| Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test |
0 |
0 |
7 |
1,448 |
5 |
13 |
88 |
3,449 |
| Systemic risk and the refinancing ratchet effect |
0 |
0 |
2 |
79 |
9 |
20 |
63 |
445 |
| THE ECONOMETRICS OF FINANCIAL MARKETS |
2 |
5 |
24 |
388 |
13 |
23 |
104 |
967 |
| The Derivatives Sourcebook |
0 |
1 |
1 |
48 |
4 |
16 |
56 |
244 |
| The Gordon Gekko effect: the role of culture in the financial industry |
1 |
1 |
4 |
50 |
5 |
11 |
61 |
255 |
| The size and power of the variance ratio test in finite samples: A Monte Carlo investigation |
0 |
1 |
12 |
398 |
1 |
2 |
44 |
909 |
| The sources and nature of long-term memory in aggregate output |
0 |
0 |
0 |
80 |
0 |
1 |
7 |
342 |
| Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory |
0 |
0 |
0 |
1 |
1 |
4 |
18 |
868 |
| Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model |
0 |
0 |
0 |
114 |
0 |
7 |
24 |
430 |
| What happened to the quants in August 2007? Evidence from factors and transactions data |
1 |
2 |
23 |
308 |
6 |
18 |
102 |
1,217 |
| When Are Contrarian Profits Due to Stock Market Overreaction? |
0 |
2 |
18 |
952 |
6 |
15 |
82 |
2,564 |
| When do stop-loss rules stop losses? |
0 |
3 |
8 |
91 |
1 |
10 |
46 |
331 |
| When is time continuous? |
0 |
1 |
5 |
98 |
0 |
2 |
18 |
435 |
| Total Journal Articles |
36 |
96 |
454 |
11,464 |
149 |
477 |
2,279 |
34,767 |
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