| 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 |
109 |
2 |
4 |
7 |
430 |
| A Cost/Benefit Analysis of Clinical Trial Designs for COVID-19 Vaccine Candidates |
0 |
0 |
0 |
46 |
0 |
0 |
1 |
156 |
| A Dynamic Model of Optimal Investment and Financial Policies with Costs of Adjustment and Leverage |
0 |
0 |
0 |
1 |
2 |
2 |
2 |
191 |
| A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks |
0 |
2 |
9 |
234 |
3 |
11 |
52 |
725 |
| A Residuals-Based Wald Test for the Linear Simultaneous Equation |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
286 |
| A Residuals-Based Wald Test for the Linear Simultaneous Equation |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
152 |
| A Simple Specification Test of the Random Walk Hypothesis |
0 |
0 |
0 |
2 |
1 |
2 |
3 |
1,012 |
| A Survey of Systemic Risk Analytics |
0 |
0 |
3 |
109 |
2 |
5 |
14 |
474 |
| Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery |
0 |
0 |
0 |
3 |
0 |
0 |
3 |
13 |
| An Econometric Analysis of Nonsynchronous Trading |
0 |
0 |
1 |
358 |
2 |
4 |
8 |
846 |
| An Econometric Analysis of Nonsyschronous-Trading |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
230 |
| An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns |
0 |
0 |
2 |
174 |
1 |
4 |
10 |
633 |
| An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns |
0 |
0 |
1 |
531 |
1 |
12 |
15 |
1,549 |
| An Ordered Probit Analysis of Transaction Stock Prices |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
903 |
| An Ordered Probit Analysis of Transaction Stock Prices |
0 |
0 |
0 |
539 |
2 |
2 |
6 |
1,771 |
| An Ordered Probit Analysis of Transaction Stock Prices (Reprint 029) |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
564 |
| An ordered probit analysis of transaction stock prices |
0 |
0 |
0 |
142 |
0 |
2 |
3 |
410 |
| Asset Prices and Trading Volume Under Fixed Transactions Costs |
0 |
0 |
0 |
2 |
2 |
2 |
3 |
8 |
| Asset Prices and Trading Volume Under Fixed Transactions Costs |
0 |
0 |
0 |
145 |
1 |
2 |
6 |
706 |
| Asset Prices and Trading Volume Under Fixed Transactions Costs |
0 |
0 |
0 |
70 |
0 |
1 |
2 |
307 |
| Bayesian Adaptive Clinical Trials for Anti‐Infective Therapeutics during Epidemic Outbreaks |
0 |
0 |
0 |
5 |
1 |
2 |
3 |
47 |
| Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry |
0 |
0 |
0 |
72 |
1 |
1 |
5 |
233 |
| Data Snooping Biases in Tests of Financial Asset Pricing Models (Reprint 002) |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
342 |
| Data-Snooping Biases in Tests of Financial Asset Pricing Models |
0 |
0 |
0 |
145 |
0 |
2 |
4 |
522 |
| Data-snooping biases in tests of financial asset pricing models |
0 |
0 |
0 |
86 |
3 |
4 |
7 |
313 |
| Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors |
0 |
0 |
3 |
380 |
4 |
9 |
19 |
938 |
| Econometric Measures of Systemic Risk in the Finance and Insurance Sectors |
0 |
1 |
3 |
388 |
1 |
7 |
16 |
1,077 |
| Econometric Models of Limit-Order Executions |
0 |
0 |
1 |
398 |
0 |
1 |
3 |
1,257 |
| Econometric Models of Limit-Order Executions |
1 |
1 |
2 |
166 |
1 |
2 |
4 |
748 |
| Estimating Probabilities of Success of Vaccine and Other Anti-Infective Therapeutic Development Programs |
0 |
0 |
0 |
11 |
1 |
1 |
6 |
56 |
| Estimating the Financial Impact of Gene Therapy in the U.S |
0 |
0 |
0 |
15 |
4 |
5 |
7 |
61 |
| Fear and Greed in Financial Markets: A Clinical Study of Day-Traders |
0 |
0 |
4 |
309 |
3 |
9 |
26 |
1,419 |
| Financial Intermediation and the Funding of Biomedical Innovation: A Review |
0 |
0 |
2 |
15 |
0 |
1 |
5 |
34 |
| Financing Vaccines for Global Health Security |
0 |
0 |
0 |
25 |
1 |
1 |
3 |
62 |
| Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation |
1 |
3 |
11 |
1,862 |
11 |
20 |
60 |
4,155 |
| Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation |
0 |
0 |
1 |
1,319 |
0 |
1 |
10 |
2,373 |
| Frontiers of Finance: Evolution and Efficient Markets |
0 |
0 |
0 |
521 |
2 |
4 |
13 |
1,675 |
| Games of Survival in the Newspaper Industry |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
237 |
| Global realignment in financial market dynamics: Evidence from ETF networks |
0 |
0 |
1 |
54 |
1 |
2 |
6 |
91 |
| Hedge Funds: A Dynamic Industry In Transition |
0 |
0 |
1 |
86 |
4 |
4 |
12 |
268 |
| Hedge fund holdings and stock market efficiency |
0 |
0 |
1 |
68 |
0 |
1 |
9 |
266 |
| Implementing Option Pricing Models When Asset Returns Are Predictable |
0 |
0 |
0 |
459 |
1 |
2 |
5 |
1,559 |
| Implementing option pricing models when asset returns are predictable |
0 |
0 |
0 |
80 |
0 |
1 |
4 |
255 |
| Impossible Frontiers |
0 |
0 |
0 |
65 |
0 |
2 |
2 |
304 |
| Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders |
0 |
0 |
0 |
239 |
1 |
2 |
4 |
890 |
| Is It Real, or Is It Randomized?: A Financial Turing Test |
0 |
0 |
0 |
65 |
0 |
0 |
3 |
162 |
| Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design |
0 |
0 |
0 |
14 |
0 |
0 |
2 |
96 |
| Logit Versus Discriminant Analysis: A Specification Test |
0 |
0 |
0 |
1 |
2 |
3 |
5 |
513 |
| Long-term Memory in Stock Market Prices |
0 |
0 |
0 |
286 |
3 |
4 |
10 |
961 |
| Long-term memory in stock market prices |
0 |
0 |
2 |
168 |
2 |
3 |
10 |
571 |
| Maximizing Predictability in the Stock and Bond Markets |
0 |
0 |
2 |
749 |
0 |
0 |
3 |
2,072 |
| Maximizing predictability in the stock and bond markets |
0 |
0 |
1 |
98 |
0 |
1 |
2 |
373 |
| Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data |
0 |
0 |
0 |
0 |
2 |
2 |
5 |
269 |
| Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data |
0 |
1 |
1 |
408 |
1 |
2 |
4 |
1,056 |
| Models of the term structure of interest rates |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
462 |
| Moore's Law vs. Murphy's Law in the financial system: who's winning? |
0 |
0 |
1 |
46 |
1 |
3 |
7 |
89 |
| Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices |
0 |
0 |
0 |
1 |
1 |
1 |
3 |
484 |
| Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices |
0 |
0 |
0 |
576 |
2 |
4 |
8 |
2,024 |
| Nonparametric Risk Management and Implied Risk Aversion |
0 |
1 |
1 |
499 |
4 |
6 |
9 |
1,310 |
| Optimal Financing for R&D-Intensive Firms |
0 |
1 |
1 |
49 |
1 |
2 |
7 |
113 |
| Paying off the Competition: Contracting, Market Power, and Innovation Incentives |
0 |
0 |
0 |
54 |
1 |
2 |
12 |
135 |
| Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model |
0 |
0 |
0 |
986 |
0 |
1 |
3 |
3,607 |
| Pricing and hedging derivative securities in incomplete markets: an e-arbitrage approach |
0 |
0 |
0 |
76 |
2 |
3 |
3 |
293 |
| Privacy-Preserving Methods for Sharing Financial Risk Exposures |
0 |
0 |
0 |
15 |
0 |
0 |
0 |
77 |
| Risk and Risk Management in the Credit Card Industry |
0 |
1 |
2 |
91 |
0 |
1 |
8 |
354 |
| Sharing R&D Risk in Healthcare via FDA Hedges |
0 |
2 |
2 |
30 |
3 |
6 |
8 |
99 |
| Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revised: 10-85) |
0 |
0 |
0 |
0 |
2 |
2 |
3 |
153 |
| Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revision of 19-84) |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
185 |
| Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test |
1 |
5 |
17 |
991 |
5 |
14 |
52 |
3,242 |
| Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87) |
0 |
0 |
0 |
0 |
1 |
1 |
8 |
233 |
| Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87) |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
463 |
| Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revision of 5-87) |
0 |
0 |
0 |
0 |
1 |
1 |
7 |
353 |
| Systemic Risk and Hedge Funds |
0 |
0 |
0 |
823 |
1 |
1 |
4 |
2,226 |
| Systemic Risk and the Refinancing Ratchet Effect |
0 |
0 |
0 |
162 |
1 |
2 |
5 |
564 |
| Systemic Risk and the Refinancing Ratchet Effect |
0 |
0 |
0 |
125 |
2 |
7 |
8 |
557 |
| The Gordon Gekko Effect: The Role of Culture in the Financial Industry |
0 |
0 |
1 |
94 |
0 |
1 |
3 |
294 |
| The Psychophysiology of Real-Time Financial Risk Processing |
0 |
1 |
5 |
167 |
1 |
3 |
12 |
645 |
| The Risk, Reward, and Asset Allocation of Nonprofit Endowment Funds |
1 |
9 |
12 |
12 |
5 |
16 |
23 |
23 |
| The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation |
1 |
2 |
2 |
474 |
3 |
5 |
13 |
1,582 |
| The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation |
0 |
0 |
0 |
0 |
3 |
4 |
7 |
1,004 |
| The Sources and Nature of Long-Term Memory in the Business Cycle |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
510 |
| The Sources and Nature of Long-Term Memory in the Business Cycle |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
217 |
| The Sources and Nature of Long-term Memory in the Business Cycle |
0 |
0 |
0 |
90 |
1 |
2 |
2 |
465 |
| The sources and nature of long-term memory in the business cycle |
0 |
0 |
0 |
40 |
0 |
0 |
0 |
298 |
| Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory |
1 |
1 |
1 |
666 |
2 |
5 |
8 |
2,293 |
| Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model |
0 |
0 |
0 |
233 |
3 |
5 |
7 |
777 |
| WARNING: Physics Envy May Be Hazardous To Your Wealth! |
0 |
0 |
3 |
428 |
2 |
4 |
16 |
1,299 |
| What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data |
0 |
0 |
1 |
260 |
1 |
3 |
12 |
887 |
| When Do Stop-Loss Rules Stop Losses? |
0 |
1 |
4 |
161 |
9 |
23 |
42 |
574 |
| When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001) |
0 |
0 |
0 |
4 |
0 |
0 |
4 |
493 |
| When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001) |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
274 |
| When are Contrarian Profits Due to Stock Market Overreaction? |
0 |
0 |
2 |
409 |
3 |
5 |
16 |
1,168 |
| When are contrarian profits due to stock market overreaction? |
0 |
0 |
0 |
147 |
2 |
4 |
7 |
445 |
| Total Working Papers |
6 |
32 |
108 |
18,733 |
136 |
298 |
774 |
66,892 |
| 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 |
1 |
2 |
5 |
120 |
4 |
10 |
34 |
512 |
| A Survey of Systemic Risk Analytics |
0 |
1 |
11 |
455 |
1 |
4 |
31 |
1,470 |
| A computational view of market efficiency |
0 |
1 |
1 |
21 |
0 |
2 |
2 |
162 |
| A large-sample chow test for the linear simultaneous equation |
0 |
0 |
0 |
117 |
1 |
1 |
2 |
360 |
| An Evolutionary Model of Bounded Rationality and Intelligence |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
9 |
| An econometric analysis of nonsynchronous trading |
1 |
2 |
5 |
455 |
1 |
4 |
13 |
1,123 |
| An econometric model of serial correlation and illiquidity in hedge fund returns |
0 |
3 |
6 |
217 |
6 |
24 |
51 |
1,007 |
| An ordered probit analysis of transaction stock prices |
0 |
1 |
2 |
568 |
6 |
11 |
15 |
1,439 |
| Asset Prices and Trading Volume under Fixed Transactions Costs |
0 |
0 |
0 |
26 |
2 |
3 |
9 |
435 |
| Asset allocation and derivatives |
0 |
0 |
1 |
20 |
0 |
0 |
4 |
127 |
| Can Financial Economics Cure Cancer? |
0 |
0 |
0 |
1 |
0 |
1 |
1 |
22 |
| Can Financial Engineering Cure Cancer? |
0 |
0 |
0 |
57 |
0 |
1 |
5 |
270 |
| Can hedge funds time market liquidity? |
0 |
0 |
1 |
42 |
2 |
2 |
4 |
315 |
| Consumer credit-risk models via machine-learning algorithms |
6 |
15 |
87 |
831 |
47 |
102 |
322 |
2,632 |
| Data-Snooping Biases in Tests of Financial Asset Pricing Models |
0 |
0 |
1 |
618 |
2 |
4 |
13 |
1,808 |
| Econometric measures of connectedness and systemic risk in the finance and insurance sectors |
4 |
14 |
38 |
677 |
13 |
43 |
136 |
2,106 |
| Econometric models of limit-order executions |
0 |
1 |
2 |
200 |
1 |
4 |
13 |
576 |
| Estimating the NIH Efficient Frontier |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
4 |
| Fear and Greed in Financial Markets: A Clinical Study of Day-Traders |
0 |
1 |
3 |
150 |
6 |
11 |
28 |
714 |
| Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation |
1 |
1 |
7 |
28 |
3 |
6 |
43 |
131 |
| Hamilton’s rule in economic decision-making |
0 |
0 |
0 |
11 |
3 |
3 |
4 |
26 |
| Hedge Fund Holdings and Stock Market Efficiency |
0 |
0 |
0 |
13 |
4 |
5 |
9 |
75 |
| Hedge Funds: A Dynamic Industry in Transition |
0 |
0 |
3 |
24 |
1 |
2 |
7 |
132 |
| Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach |
0 |
1 |
2 |
14 |
0 |
4 |
8 |
59 |
| Identifying and Mitigating Potential Biases in Predicting Drug Approvals |
0 |
0 |
3 |
5 |
0 |
1 |
6 |
14 |
| Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios |
0 |
0 |
2 |
25 |
4 |
10 |
29 |
196 |
| Implementing Option Pricing Models When Asset Returns Are Predictable |
0 |
0 |
0 |
148 |
2 |
6 |
9 |
502 |
| Impossible Frontiers |
0 |
0 |
1 |
15 |
1 |
3 |
5 |
264 |
| Innovation at MIT |
0 |
0 |
0 |
3 |
1 |
3 |
4 |
57 |
| Introduction to Volume 5 of the Annual Review of Financial Economics |
0 |
0 |
0 |
18 |
0 |
1 |
1 |
100 |
| Is the FDA too conservative or too aggressive?: A Bayesian decision analysis of clinical trial design |
0 |
0 |
4 |
26 |
3 |
5 |
23 |
141 |
| Logit versus discriminant analysis: A specification test and application to corporate bankruptcies |
0 |
1 |
3 |
404 |
0 |
2 |
6 |
767 |
| Long-Term Memory in Stock Market Prices |
0 |
0 |
8 |
1,287 |
2 |
4 |
31 |
4,642 |
| MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS |
0 |
2 |
3 |
72 |
1 |
5 |
6 |
359 |
| Macroeconomic Models for Monetary Policy: A Critical Review from a Finance Perspective |
0 |
0 |
0 |
23 |
0 |
2 |
4 |
73 |
| Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data |
0 |
1 |
3 |
44 |
0 |
1 |
6 |
147 |
| Moore's Law versus Murphy's Law: Algorithmic Trading and Its Discontents |
0 |
0 |
0 |
61 |
2 |
5 |
10 |
242 |
| Nonparametric risk management and implied risk aversion |
0 |
2 |
4 |
524 |
6 |
12 |
24 |
1,306 |
| Optimal control of execution costs |
0 |
2 |
12 |
858 |
2 |
12 |
47 |
1,853 |
| Preface to the Annual Review of Financial Economics |
0 |
0 |
0 |
53 |
0 |
1 |
6 |
236 |
| Privacy-Preserving Methods for Sharing Financial Risk Exposures |
0 |
0 |
0 |
23 |
3 |
5 |
6 |
186 |
| Reading about the Financial Crisis: A Twenty-One-Book Review |
0 |
0 |
3 |
442 |
7 |
8 |
22 |
1,322 |
| Regulatory reform in the wake of the financial crisis of 2007‐2008 |
0 |
0 |
0 |
50 |
6 |
8 |
17 |
348 |
| Reply to “(Im)Possible Frontiers: A Comment†|
0 |
0 |
0 |
16 |
1 |
1 |
4 |
69 |
| Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform |
0 |
0 |
1 |
4 |
2 |
2 |
5 |
17 |
| Risk and risk management in the credit card industry |
0 |
0 |
2 |
39 |
1 |
3 |
21 |
232 |
| Robert C. Merton: The First Financial Engineer |
0 |
0 |
1 |
13 |
0 |
0 |
4 |
40 |
| Robust ranking and portfolio optimization |
0 |
1 |
4 |
42 |
0 |
3 |
7 |
126 |
| Semi-parametric upper bounds for option prices and expected payoffs |
0 |
0 |
0 |
210 |
1 |
1 |
1 |
373 |
| Spectral factor models |
0 |
2 |
5 |
35 |
1 |
7 |
18 |
120 |
| Statistical tests of contingent-claims asset-pricing models: A new methodology |
0 |
0 |
0 |
78 |
1 |
1 |
3 |
215 |
| Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test |
0 |
2 |
3 |
1,521 |
4 |
12 |
27 |
3,747 |
| Systemic risk and the refinancing ratchet effect |
1 |
1 |
3 |
88 |
1 |
2 |
7 |
574 |
| THE ECONOMETRICS OF FINANCIAL MARKETS |
9 |
15 |
51 |
612 |
20 |
40 |
139 |
1,682 |
| The Derivatives Sourcebook |
0 |
0 |
4 |
64 |
5 |
10 |
32 |
408 |
| The Gordon Gekko effect: the role of culture in the financial industry |
0 |
1 |
4 |
61 |
1 |
6 |
22 |
417 |
| The Origin of Behavior |
1 |
1 |
2 |
14 |
2 |
3 |
4 |
53 |
| The Visible Hand |
0 |
0 |
0 |
6 |
2 |
2 |
2 |
33 |
| The growth of relative wealth and the Kelly criterion |
0 |
1 |
3 |
19 |
0 |
7 |
26 |
105 |
| The origin of cooperation |
0 |
0 |
1 |
2 |
0 |
0 |
1 |
18 |
| The size and power of the variance ratio test in finite samples: A Monte Carlo investigation |
0 |
0 |
0 |
453 |
4 |
8 |
16 |
1,072 |
| The sources and nature of long-term memory in aggregate output |
0 |
0 |
0 |
80 |
1 |
1 |
1 |
437 |
| To maximize or randomize? An experimental study of probability matching in financial decision making |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
12 |
| Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory |
0 |
0 |
0 |
1 |
2 |
5 |
10 |
970 |
| Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model |
0 |
0 |
0 |
117 |
1 |
2 |
9 |
476 |
| Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments |
0 |
0 |
1 |
13 |
1 |
3 |
6 |
119 |
| What happened to the quants in August 2007? Evidence from factors and transactions data |
0 |
0 |
5 |
385 |
3 |
15 |
51 |
1,608 |
| When Are Contrarian Profits Due to Stock Market Overreaction? |
0 |
1 |
4 |
985 |
5 |
10 |
22 |
2,786 |
| When do stop-loss rules stop losses? |
0 |
1 |
6 |
160 |
3 |
17 |
33 |
603 |
| When is time continuous? |
0 |
0 |
0 |
110 |
0 |
3 |
5 |
475 |
| Total Journal Articles |
24 |
77 |
321 |
13,876 |
207 |
509 |
1,496 |
45,056 |
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