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Andrew W. Lo

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.

    Mentioned in:

    1. The mythic quest for early warnings
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2015-04-13 17:40:01
  2. Andrew W. Lo & Mark T. Mueller, 2010. "WARNING: Physics Envy May Be Hazardous To Your Wealth!," Papers 1003.2688, arXiv.org, revised Mar 2010.

    Mentioned in:

    1. links for 2010-05-01
      by Jim in Our Word is Our Weapon on 2010-05-02 08:02:37
    2. Physics envy?
      by Economic Logician in Economic Logic on 2010-04-26 19:24:00
    3. An attack on "Old-Fashioned Economics"
      by Mark Thoma in Economist's View on 2010-04-29 12:33:00
    4. In which I “attack old-fashioned economics,” i.e. utility maximization
      by Nick Krafft in open economics on 2010-04-28 05:35:05
    5. Investor Warning: Physics Envy May Be Hazardous To Your Wealth!
      by Miguel in Simoleon Sense on 2010-04-28 07:24:55
  3. Andrew W. Lo, 2012. "Reading about the Financial Crisis: A Twenty-One-Book Review," Journal of Economic Literature, American Economic Association, vol. 50(1), pages 151-178, March.

    Mentioned in:

    1. Financial Crisis Reading Lists
      by afinetheorem in A Fine Theorem on 2012-08-06 12:08:46
    2. Why Nations Fail predavanje, zašto je Keynes relevantan i još neka čitanja
      by cronomy in Cronomy on 2012-04-12 08:52:29
    3. Why Nations Fail predavanje, zašto je Keynes relevantan i još neka čitanja
      by cronomy in Cronomy on 2012-04-12 08:52:29
    4. Looking Back: The Financial Crisis Began 10 Years Ago This Week
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2017-08-07 16:35:27
    5. Financial Crisis Reading Lists
      by afinetheorem in A Fine Theorem on 2012-08-06 12:08:46
  4. Author Profile
    1. Peers at Work as of August 2016
      by Matthew Kahn in Environmental and Urban Economics on 2016-09-04 19:36:00
    2. The PHD Economics Cohort from 1993
      by Matthew Kahn in Environmental and Urban Economics on 2017-12-05 05:11:00

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Jonathan T. Vu & Benjamin K. Kaplan & Shomesh Chaudhuri & Monique K. Mansoura & Andrew W. Lo, 2020. "Financing Vaccines for Global Health Security," NBER Working Papers 27212, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Health > Immunization

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.

    Mentioned in:

    1. Impossible Frontiers (Management Science 2010) in ReplicationWiki ()

Working papers

  1. Joseph Barberio & Jacob Becraft & Zied Ben Chaouch & Dimitris Bertsimas & Tasuku Kitada & Michael Lingzhi Li & Andrew W. Lo & Kevin Shi & Qingyang Xu, 2022. "Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery," NBER Working Papers 30126, National Bureau of Economic Research, Inc.

    Cited by:

    1. Gaurab Aryal & Federico Ciliberto & Leland E. Farmer & Ekaterina Khmelnitskaya, 2022. "Valuing Pharmaceutical Drug Innovations," Papers 2212.07384, arXiv.org, revised Nov 2023.

  2. Xuelin Li & Andrew W. Lo & Richard T. Thakor, 2021. "Paying off the Competition: Contracting, Market Power, and Innovation Incentives," NBER Working Papers 28964, National Bureau of Economic Research, Inc.

    Cited by:

    1. Graef, Inge & Prüfer, Jens, 2021. "Governance of data sharing: A law & economics proposal," Research Policy, Elsevier, vol. 50(9).
    2. Groh, Carl-Christian, 2023. "Search, Data, and Market Power," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277701, Verein für Socialpolitik / German Economic Association.
    3. Steinbach, Sandro, 2023. "The Corporatization of Veterinary Medicine: An Empirical Analysis of Its Impact on Independent Practices," 2023 Annual Meeting, July 23-25, Washington D.C. 335481, Agricultural and Applied Economics Association.
    4. Decarolis, Francesco & Li, Muxin, 2023. "Regulating Online Search in the EU: From the Android Case to the Digital Markets Act and Digital Services Act," CEPR Discussion Papers 18177, C.E.P.R. Discussion Papers.
    5. Zhijun Chen & Chongwoo Choe & Jiajia Cong & Noriaki Matsushima, 2021. "Data-driven mergers and personalization," ISER Discussion Paper 1108r, Institute of Social and Economic Research, Osaka University, revised Aug 2021.
    6. Lo, Andrew W. & Thakor, Richard T., 2023. "Financial intermediation and the funding of biomedical innovation: A review," Journal of Financial Intermediation, Elsevier, vol. 54(C).
    7. Prado, Tiago S., 2022. "Safeguarding Competition in Digital Markets: A Comparative Analysis of Emerging Policy and Regulatory Regimes," 31st European Regional ITS Conference, Gothenburg 2022: Reining in Digital Platforms? Challenging monopolies, promoting competition and developing regulatory regimes 265666, International Telecommunications Society (ITS).
    8. Soltanzadeh, Javad & Blind, Knut & Elyasi, Mehdi, 2023. "Exploring how regulators face platform business issues in the lifecycle stages: Evidence of iranian ride-hailing platform business," Telecommunications Policy, Elsevier, vol. 47(7).
    9. Andrea Coveri & Claudio Cozza & Dario Guarascio, 2021. "Monopoly Capitalism in the Digital Era," LEM Papers Series 2021/33, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    10. Haucap, Justus & Stiebale, Joel, 2023. "Non-price effects of mergers and acquisitions," DICE Discussion Papers 402, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
    11. Mansour Naser Alraja & Faris Alshubiri & Basel M. Khashab & Mahmood Shah, 2023. "The financial access, ICT trade balance and dark and bright sides of digitalization nexus in OECD countries," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 177-209, June.
    12. Zhang, Tianyu, 2023. "Peer effects in R&D investment based on interlock network: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 89(C).

  3. Billio, Monica & Lo, Andrew W. & Pelizzon, Loriana & Getmansky, Mila & Zareei, Abalfazl, 2021. "Global realignment in financial market dynamics: Evidence from ETF networks," SAFE Working Paper Series 304, Leibniz Institute for Financial Research SAFE.

    Cited by:

    1. Ikhlaas Gurrib & Firuz Kamalov & Elgilani E. Alshareif, 2022. "High Frequency Return and Risk Patterns in U.S. Sector ETFs during COVID-19," International Journal of Energy Economics and Policy, Econjournals, vol. 12(5), pages 441-456, September.

  4. Chi Heem Wong & Dexin Li & Nina Wang & Jonathan Gruber & Rena M. Conti & Andrew W. Lo, 2021. "Estimating the Financial Impact of Gene Therapy in the U.S," NBER Working Papers 28628, National Bureau of Economic Research, Inc.

    Cited by:

    1. Lo, Andrew W. & Thakor, Richard T., 2023. "Financial intermediation and the funding of biomedical innovation: A review," Journal of Financial Intermediation, Elsevier, vol. 54(C).

  5. Donald A. Berry & Scott Berry & Peter Hale & Leah Isakov & Andrew W. Lo & Kien Wei Siah & Chi Heem Wong, 2020. "A Cost/Benefit Analysis of Clinical Trial Designs for COVID-19 Vaccine Candidates," NBER Working Papers 27882, National Bureau of Economic Research, Inc.

    Cited by:

    1. Rachel Glennerster & Christopher M. Snyder & Brandon Joel Tan, 2022. "Calculating the Costs and Benefits of Advance Preparations for Future Pandemics," NBER Working Papers 30565, National Bureau of Economic Research, Inc.
    2. Jonathan Legare & Ping Yao & Victor S. Y. Lo, 2023. "A case for conducting business-to-business experiments with multi-arm multi-stage adaptive designs," Journal of Marketing Analytics, Palgrave Macmillan, vol. 11(3), pages 490-502, September.
    3. Witold Więcek, 2022. "Clinical trials for accelerating pandemic vaccines [‘A Systematic Review of Human Challenge Trials, Designs, and Safety’]," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 38(4), pages 797-817.

  6. Jonathan T. Vu & Benjamin K. Kaplan & Shomesh Chaudhuri & Monique K. Mansoura & Andrew W. Lo, 2020. "Financing Vaccines for Global Health Security," NBER Working Papers 27212, National Bureau of Economic Research, Inc.

    Cited by:

    1. Postigo, Antonio, 2023. "The Economics and Actors in Vaccine Research and Development," EconStor Open Access Book Chapters, in: From Lab to Jab: Improving Asia and the Pacific’s Readiness to Produce and Deliver Vaccines, pages 17-42, ZBW - Leibniz Information Centre for Economics.
    2. Zhang, Ying & Andrew, Jane, 2022. "Financialisation and the Conceptual Framework: An update," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 88(C).

  7. Shomesh Chaudhuri & Andrew W. Lo & Danying Xiao & Qingyang Xu, 2020. "Bayesian Adaptive Clinical Trials for Anti‐Infective Therapeutics during Epidemic Outbreaks," NBER Working Papers 27175, National Bureau of Economic Research, Inc.

    Cited by:

    1. Shomesh E. Chaudhuri & Phillip Adamson & Dean Bruhn-Ding & Zied Ben Chaouch & David Gebben & Liliana Rincon-Gonzalez & Barry Liden & Shelby D. Reed & Anindita Saha & Daniel Schaber & Kenneth Stein & M, 2023. "Patient-Centered Clinical Trial Design for Heart Failure Devices via Bayesian Decision Analysis," The Patient: Patient-Centered Outcomes Research, Springer;International Academy of Health Preference Research, vol. 16(4), pages 359-369, July.

  8. Andrew W. Lo & Kien Wei Siah & Chi Heem Wong, 2020. "Estimating Probabilities of Success of Vaccine and Other Anti-Infective Therapeutic Development Programs," NBER Working Papers 27176, National Bureau of Economic Research, Inc.

    Cited by:

    1. Lo, Andrew W. & Thakor, Richard T., 2023. "Financial intermediation and the funding of biomedical innovation: A review," Journal of Financial Intermediation, Elsevier, vol. 54(C).
    2. Volker Grossmann, 2021. "Medical Innovations and Ageing: A Health Economics Perspective," CESifo Working Paper Series 9387, CESifo.
    3. Donald A. Berry & Scott Berry & Peter Hale & Leah Isakov & Andrew W. Lo & Kien Wei Siah & Chi Heem Wong, 2020. "A Cost/Benefit Analysis of Clinical Trial Designs for COVID-19 Vaccine Candidates," NBER Working Papers 27882, National Bureau of Economic Research, Inc.
    4. Massimo Florio & Chiara Pancotti, 2022. "European pharmaceutical research and development. Could a public infrastructure overcome market failures?," Working Papers 202202, CSIL Centre for Industrial Studies.
    5. Rachel Glennerster & Christopher M. Snyder & Brandon Joel Tan, 2023. "Calculating the Costs and Benefits of Advance Preparations for Future Pandemics," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(3), pages 611-648, September.
    6. Qingyang Xu & Elaheh Ahmadi & Alexander Amini & Daniela Rus & Andrew W. Lo, 2022. "Identifying and Mitigating Potential Biases in Predicting Drug Approvals," Drug Safety, Springer, vol. 45(5), pages 521-533, May.

  9. Adam Jørring & Andrew W. Lo & Tomas J. Philipson & Manita Singh & Richard T. Thakor, 2017. "Sharing R&D Risk in Healthcare via FDA Hedges," NBER Working Papers 23344, National Bureau of Economic Research, Inc.

    Cited by:

    1. Haddad, Valentin & Ho, Paul & Loualiche, Erik, 2022. "Bubbles and the value of innovation," Journal of Financial Economics, Elsevier, vol. 145(1), pages 69-84.
    2. Tonmoy Chatterjee & Nilendu Chatterjee, 2022. "Does Innovation Make Nations More Healthy? Evidence from Developing and Developed Countries," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(4), pages 3296-3325, December.
    3. Richard T. Thakor & Andrew W. Lo, 2017. "Optimal Financing for R&D-Intensive Firms," NBER Working Papers 23831, National Bureau of Economic Research, Inc.
    4. Casey B. Mulligan, 2020. "Economic Activity and the Value of Medical Innovation during a Pandemic," Working Papers 2020-48, Becker Friedman Institute for Research In Economics.
    5. Lo, Andrew W. & Thakor, Richard T., 2023. "Financial intermediation and the funding of biomedical innovation: A review," Journal of Financial Intermediation, Elsevier, vol. 54(C).
    6. Anciaes, Paulo & Jones, Peter, 2020. "Transport policy for liveability – Valuing the impacts on movement, place, and society," Transportation Research Part A: Policy and Practice, Elsevier, vol. 132(C), pages 157-173.
    7. Goldman, Jim & Peress, Joel, 2023. "Firm R&D and financial analysis: How do they interact?," Journal of Financial Intermediation, Elsevier, vol. 53(C).
    8. Casey B. Mulligan, 2020. "Economic Activity and the Value of Medical Innovation during a Pandemic," NBER Working Papers 27060, National Bureau of Economic Research, Inc.

  10. Richard T. Thakor & Andrew W. Lo, 2017. "Optimal Financing for R&D-Intensive Firms," NBER Working Papers 23831, National Bureau of Economic Research, Inc.

    Cited by:

    1. V. Minasyan В. & В. Минасян Б., 2019. "Модели оценки рисков деятельности компаний, реализующих проекты с НИОКР // Risk Assessment Models of the Companies Implementing R&D Projects," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 23(1), pages 133-146.
    2. Adam Jørring & Andrew W. Lo & Tomas J. Philipson & Manita Singh & Richard T. Thakor, 2017. "Sharing R&D Risk in Healthcare via FDA Hedges," NBER Working Papers 23344, National Bureau of Economic Research, Inc.
    3. Pellens, Maikel & Licht, Georg, 2017. "Business angels: Crucial elements of the European financial ecosystem," ZEW policy briefs 5/2017, ZEW - Leibniz Centre for European Economic Research.

  11. Andrew W Lo, 2016. "Moore's Law vs. Murphy's Law in the financial system: who's winning?," BIS Working Papers 564, Bank for International Settlements.

    Cited by:

    1. Claessens, Stijn, 2017. "Regulation and structural change in financial systems," CEPR Discussion Papers 11822, C.E.P.R. Discussion Papers.

  12. Vahid Montazerhodjat & Andrew W. Lo, 2015. "Is the FDA Too Conservative or Too Aggressive?: A Bayesian Decision Analysis of Clinical Trial Design," NBER Working Papers 21499, National Bureau of Economic Research, Inc.

    Cited by:

    1. Shomesh Chaudhuri & Andrew W. Lo & Danying Xiao & Qingyang Xu, 2020. "Bayesian Adaptive Clinical Trials for Anti‐Infective Therapeutics during Epidemic Outbreaks," NBER Working Papers 27175, National Bureau of Economic Research, Inc.
    2. David J. Hebert & Michael D. Curry, 2022. "Optimal lockdowns," Public Choice, Springer, vol. 193(3), pages 263-274, December.
    3. Erin R. Lipman & John Deke & Mariel M. Finucane, 2022. "Bayesian Interpretation Of Cluster‐Robust Subgroup Impact Estimates: The Best Of Both Worlds," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 41(4), pages 1204-1224, September.
    4. Donald A. Berry & Scott Berry & Peter Hale & Leah Isakov & Andrew W. Lo & Kien Wei Siah & Chi Heem Wong, 2020. "A Cost/Benefit Analysis of Clinical Trial Designs for COVID-19 Vaccine Candidates," NBER Working Papers 27882, National Bureau of Economic Research, Inc.
    5. Raymond J. March, 2021. "The FDA and the COVID‐19: A political economy perspective," Southern Economic Journal, John Wiley & Sons, vol. 87(4), pages 1210-1228, April.
    6. Guido W. Imbens, 2020. "Potential Outcome and Directed Acyclic Graph Approaches to Causality: Relevance for Empirical Practice in Economics," Journal of Economic Literature, American Economic Association, vol. 58(4), pages 1129-1179, December.
    7. Clancy, Matthew S. & Sneeringer, Stacy E., 2018. "How Much Does it Cost to Induce R&D in Animal Health?," 2018 Annual Meeting, August 5-7, Washington, D.C. 273865, Agricultural and Applied Economics Association.
    8. Steven Glazerman & Ira Nichols-Barrer & Jon Valant & Alyson Burnett, "undated". "Presenting School Choice Information to Parents: An Evidence-Based Guide, Appendix," Mathematica Policy Research Reports d418c5d8768d4ed8ade319330, Mathematica Policy Research.
    9. Thijssen, Jacco J.J. & Bregantini, Daniele, 2017. "Costly sequential experimentation and project valuation with an application to health technology assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 202-229.
    10. Casey B. Mulligan, 2021. "Peltzman Revisited: Quantifying 21st Century Opportunity Costs of FDA Regulation," NBER Working Papers 29574, National Bureau of Economic Research, Inc.
    11. Stacy Sneeringer & Matt Clancy, 2020. "Incentivizing New Veterinary Pharmaceutical Products to Combat Antibiotic Resistance," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 42(4), pages 653-673, December.

  13. Andrew W. Lo, 2015. "The Gordon Gekko Effect: The Role of Culture in the Financial Industry," NBER Working Papers 21267, National Bureau of Economic Research, Inc.

    Cited by:

    1. Priyank Gandhi & Benjamin Golez & Jens Carsten Jackwerth & Alberto Plazzi, 2019. "Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation," Management Science, INFORMS, vol. 65(11), pages 5268-5289, November.
    2. Goodhart, Charles, 2018. "Behavioural perspectives on bank misdeeds," LSE Research Online Documents on Economics 87507, London School of Economics and Political Science, LSE Library.
    3. Bunderson, Stuart & Thakor, Anjan V., 2022. "Higher purpose, banking and stability," Journal of Banking & Finance, Elsevier, vol. 140(C).
    4. Huang, Sheng & Maharjan, Johan & Thakor, Anjan V., 2020. "Disagreement-induced CEO turnover," Journal of Financial Intermediation, Elsevier, vol. 43(C).
    5. Barth, Andreas & Mansouri, Sasan, 2021. "Corporate culture and banking," Journal of Economic Behavior & Organization, Elsevier, vol. 186(C), pages 46-75.
    6. Bäumer, Marcus, 2020. "What matters to investment professionals in decision making? The role of soft factors in stock selection," EIKV-Schriftenreihe zum Wissens- und Wertemanagement, European Institute for Knowledge & Value Management (EIKV), Luxembourg, volume 44, number 44.
    7. Jennifer Kunz & Mathias Heitz, 2021. "Banks’ risk culture and management control systems: A systematic literature review," Journal of Management Control: Zeitschrift für Planung und Unternehmenssteuerung, Springer, vol. 32(4), pages 439-493, December.
    8. Hagen Rafeld & Sebastian G. Fritz-Morgenthal & Peter N. Posch, 2020. "Whale Watching on the Trading Floor: Unravelling Collusive Rogue Trading in Banks," Journal of Business Ethics, Springer, vol. 165(4), pages 633-657, September.
    9. Anthony Asher & Tracy Wilcox, 2022. "Virtue and Risk Culture in Finance," Journal of Business Ethics, Springer, vol. 179(1), pages 223-236, August.
    10. Song, Fenghua & Thakor, Anjan V., 2019. "Bank culture," Journal of Financial Intermediation, Elsevier, vol. 39(C), pages 59-79.
    11. Francesco Feri & Caterina Giannetti & Pietro Guarnieri, 2017. "Risk taking for others: an experiment on ethics meetings," Discussion Papers 2017/229, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
    12. Ramiro de Ávila Peres, 2020. "Equality and Responsibility in Financial Crisis: an ethical approach to the regulation of bail-outs, moral hazards and accountability," Working Papers Series 520, Central Bank of Brazil, Research Department.

  14. Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015. "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers 21449, National Bureau of Economic Research, Inc.

    Cited by:

    1. Massimo Guidolin & Alexei G. Orlov, 2022. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 1-61, September.
    2. Ben-David, Itzhak & Birru, Justin & Rossi, Andrea, 2020. "The Performance of Hedge Fund Performance Fees," Working Paper Series 2020-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    3. Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2022. "Hedge Fund Performance: A Quantitative Survey," Working Papers IES 2022/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2022.
    4. Hackney, John & Henry, Tyler R. & Koski, Jennifer L., 2020. "Arbitrage vs. informed short selling: Evidence from convertible bond issuers," Journal of Corporate Finance, Elsevier, vol. 65(C).
    5. Bandi, Federico M. & Renò, Roberto, 2022. "β in the tails," Journal of Econometrics, Elsevier, vol. 227(1), pages 134-150.
    6. Yang Gao & Stephen Satchell & Nandini Srivastava, 2020. "Styles through a convergent/divergent lens: the curious case of ESG," Journal of Asset Management, Palgrave Macmillan, vol. 21(1), pages 4-12, February.
    7. Sinclair, Andrew J., 2023. "Do prime brokers intermediate capital?," Journal of Financial Intermediation, Elsevier, vol. 53(C).
    8. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    9. Oliva, I. & Renò, R., 2018. "Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like," Journal of Economic Dynamics and Control, Elsevier, vol. 94(C), pages 242-256.
    10. Johan Knif & Dimitrios Koutmos & Gregory Koutmos, 2020. "Higher Co-Moment CAPM and Hedge Fund Returns," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 48(1), pages 99-113, March.
    11. Monica Billio & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix," Working Papers 2016:01, Department of Economics, University of Venice "Ca' Foscari".
    12. Julien Hambuckers & Marie Kratz & Antoine Usseglio-Carleve, 2023. "Efficient Estimation In Extreme Value Regression Models Of Hedge Fund Tail Risks," Working Papers hal-04090916, HAL.
    13. Julien Hambuckers & Marie Kratz & Antoine Usseglio-Carleve, 2023. "Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks," Papers 2304.06950, arXiv.org.
    14. Daniel Barth & Juha Joenvaara & Mikko Kauppila & Russ Wermers, 2020. "The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think," Working Papers 20-01, Office of Financial Research, US Department of the Treasury.
    15. Priya Malhotra & Pankaj Sinha, 2024. "Balanced Funds in India Amid COVID-19 Crisis: Spreader of Financial Contagion?," IIM Kozhikode Society & Management Review, , vol. 13(1), pages 7-24, January.
    16. Nina Boyarchenko & Thomas M. Eisenbach & Pooja Gupta & Or Shachar & Peter Van Tassel, 2018. "Bank-intermediated arbitrage," Staff Reports 858, Federal Reserve Bank of New York.
    17. Sandro Lunghi & Daniel Schmidt & Bastian von Beschwitz, 2021. "Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data," Finance and Economics Discussion Series 2021-022, Board of Governors of the Federal Reserve System (U.S.).
    18. Faff, Robert W. & Parwada, Jerry T. & Tan, Eric K.M., 2019. "Did connected hedge funds benefit from bank bailouts during the financial crisis?," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
    19. Huang, Wenli & Liu, Wenqiong & Lu, Lei & Mu, Congming, 2023. "Hedge funds trading strategies and leverage," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).

  15. Richard T. Thakor & Andrew W. Lo, 2015. "Competition and R&D Financing Decisions: Theory and Evidence from the Biopharmaceutical Industry," NBER Working Papers 20903, National Bureau of Economic Research, Inc.

    Cited by:

    1. Machokoto, Michael & Chipeta, Chimwemwe & Aftab, Nadeem & Areneke, Geofry, 2021. "The financial conservatism of firms in emerging economies," Research in International Business and Finance, Elsevier, vol. 58(C).
    2. Perotti, Enrico & Döttling, Robin & Ladika, Tomislav, 2018. "The (Self-) Funding of Intangibles," CEPR Discussion Papers 12618, C.E.P.R. Discussion Papers.
    3. Berardino Palazzo & Juliane Begenau, 2015. "Firm Selection and Corporate Cash Holdings," 2015 Meeting Papers 1047, Society for Economic Dynamics.
    4. Richard T. Thakor & Andrew W. Lo, 2017. "Optimal Financing for R&D-Intensive Firms," NBER Working Papers 23831, National Bureau of Economic Research, Inc.
    5. Efstathios Magerakis & Konstantinos Gkillas & Christos Floros & George Peppas, 2022. "Corporate R&D intensity and high cash holdings: post-crisis analysis," Operational Research, Springer, vol. 22(4), pages 3767-3808, September.
    6. Silva, Mario Rafael, 2019. "Corporate finance, monetary policy, and aggregate demand," Journal of Economic Dynamics and Control, Elsevier, vol. 102(C), pages 1-28.
    7. Cornett, Marcia Millon & Erhemjamts, Otgontsetseg & Tehranian, Hassan, 2019. "Competitive environment and innovation intensity," Global Finance Journal, Elsevier, vol. 41(C), pages 44-59.
    8. Machokoto, Michael & Areneke, Geofry, 2020. "Does innovation and financial constraints affect the propensity to save in emerging markets?," Research in International Business and Finance, Elsevier, vol. 52(C).
    9. Adam Jørring & Andrew W. Lo & Tomas J. Philipson & Manita Singh & Richard T. Thakor, 2017. "Sharing R&D Risk in Healthcare via FDA Hedges," NBER Working Papers 23344, National Bureau of Economic Research, Inc.
    10. Hussein Abdoh & Yu Liu, 2021. "Executive risk incentives, product market competition, and R&D," The Financial Review, Eastern Finance Association, vol. 56(1), pages 133-156, February.
    11. Jong-Wan Bae & Sang-Joon Kim, 2022. "How Do Active Firms Implementing Corporate Environmental Responsibility Take Technological Approaches to Environmental Issues? A Resource-Allocation Perspective," Sustainability, MDPI, vol. 14(14), pages 1-13, July.

  16. Florentin Butaru & QingQing Chen & Brian Clark & Sanmay Das & Andrew W. Lo & Akhtar Siddique, 2015. "Risk and Risk Management in the Credit Card Industry," NBER Working Papers 21305, National Bureau of Economic Research, Inc.

    Cited by:

    1. Carl Remlinger & Bri`ere Marie & Alasseur Cl'emence & Joseph Mikael, 2021. "Expert Aggregation for Financial Forecasting," Papers 2111.15365, arXiv.org, revised Jul 2023.
    2. Justin Sirignano & Apaar Sadhwani & Kay Giesecke, 2016. "Deep Learning for Mortgage Risk," Papers 1607.02470, arXiv.org, revised Mar 2018.
    3. Wosnitza, Jan Henrik, 2022. "Calibration alternatives to logistic regression and their potential for transferring the dispersion of discriminatory power into uncertainties of probabilities of default," Discussion Papers 04/2022, Deutsche Bundesbank.
    4. Pan, Shuiyang & Long, Suwan(Cheng) & Wang, Yiming & Xie, Ying, 2023. "Nonlinear asset pricing in Chinese stock market: A deep learning approach," International Review of Financial Analysis, Elsevier, vol. 87(C).
    5. Costello, Anna M. & Down, Andrea K. & Mehta, Mihir N., 2020. "Machine + man: A field experiment on the role of discretion in augmenting AI-based lending models," Journal of Accounting and Economics, Elsevier, vol. 70(2).
    6. Ting Sun & Miklos A. Vasarhelyi, 2018. "Predicting credit card delinquencies: An application of deep neural networks," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 25(4), pages 174-189, October.
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    20. Andrés Alonso & José Manuel Carbó, 2021. "Understanding the performance of machine learning models to predict credit default: a novel approach for supervisory evaluation," Working Papers 2105, Banco de España.
    21. Anastasios Petropoulos & Vasilis Siakoulis & Evaggelos Stavroulakis & Aristotelis Klamargias, 2019. "A robust machine learning approach for credit risk analysis of large loan level datasets using deep learning and extreme gradient boosting," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Are post-crisis statistical initiatives completed?, volume 49, Bank for International Settlements.
    22. Nakagawa, Kei & Sakemoto, Ryuta, 2022. "Cryptocurrency network factors and gold," Finance Research Letters, Elsevier, vol. 46(PB).
    23. Acheampong, Albert & Elshandidy, Tamer, 2021. "Does soft information determine credit risk? Text-based evidence from European banks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
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    25. Haskamp, Ulrich, 2017. "Improving the forecasts of European regional banks' profitability with machine learning algorithms," Ruhr Economic Papers 705, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    26. Richard Chamboko & Jorge Miguel Bravo, 2020. "A Multi-State Approach to Modelling Intermediate Events and Multiple Mortgage Loan Outcomes," Risks, MDPI, vol. 8(2), pages 1-29, June.
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  17. Charles Cao & Bing Liang & Andrew W. Lo & Lubomir Petrasek, 2014. "Hedge fund holdings and stock market efficiency," Finance and Economics Discussion Series 2014-36, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Xi Dong & Shu Feng & Ronnie Sadka, 2019. "Liquidity Risk and Mutual Fund Performance," Management Science, INFORMS, vol. 65(3), pages 1020-1041, March.
    2. Chen, Yong & Kelly, Bryan & Wu, Wei, 2020. "Sophisticated investors and market efficiency: Evidence from a natural experiment," Journal of Financial Economics, Elsevier, vol. 138(2), pages 316-341.
    3. Sinclair, Andrew J., 2023. "Do prime brokers intermediate capital?," Journal of Financial Intermediation, Elsevier, vol. 53(C).
    4. Byoung-Hyoun Hwang & Baixiao Liu & Wei Xu, 2019. "Arbitrage Involvement and Security Prices," Management Science, INFORMS, vol. 67(6), pages 2858-2875, June.
    5. Aharon, David Y. & Kizys, Renatas & Umar, Zaghum & Zaremba, Adam, 2023. "Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices," Research in International Business and Finance, Elsevier, vol. 64(C).
    6. Feng, Hongrui & Rao, Ramesh P., 2022. "The positive externalities of leveraged buyouts," Journal of Banking & Finance, Elsevier, vol. 135(C).
    7. Nezafat, Mahdi & Shen, Tao & Wang, Qinghai & Wu, Julie, 2022. "Longs, shorts, and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 138(C).
    8. Oehler, Andreas & Schmitz, Jonas Tobias, 2021. "Does intensified communication of hedge funds with letters affect abnormal returns?," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 127-142.
    9. Chen, Haosi (Chelsea) & Puckett, Andy, 2023. "Do Hedge Funds Value Sell-Side Analysts Differently?," Journal of Banking & Finance, Elsevier, vol. 154(C).
    10. Tomy Lee, 2019. "Latency in Fragmented Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 128-153, July.
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    12. Laleh Samarbakhsh & Amanjot Singh, 2022. "COVID‐19 and hedge fund equity ownership," International Review of Finance, International Review of Finance Ltd., vol. 22(2), pages 356-364, June.

  18. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Working Papers 12-01, Office of Financial Research, US Department of the Treasury.

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    1. Naeem, Muhammad Abubakr & Yousaf, Imran & Karim, Sitara & Yarovaya, Larisa & Ali, Shoaib, 2023. "Tail-event driven NETwork dependence in emerging markets," Emerging Markets Review, Elsevier, vol. 55(C).
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    7. Aldasoro, Iñaki & Alves, Iván, 2016. "Multiplex interbank networks and systemic importance – An application to European data," ESRB Working Paper Series 20, European Systemic Risk Board.
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    11. Kreis, Yvonne & Leisen, Dietmar P.J., 2018. "Systemic risk in a structural model of bank default linkages," Journal of Financial Stability, Elsevier, vol. 39(C), pages 221-236.
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    1. Daniel Goroff & Jules Polonetsky & Omer Tene, 2018. "Privacy Protective Research: Facilitating Ethically Responsible Access to Administrative Data," The ANNALS of the American Academy of Political and Social Science, , vol. 675(1), pages 46-66, January.
    2. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
    3. Taylor Reynolds & Sarah Scheffler & Daniel J. Weitzner & Angelina Wu, 2024. "Mind the Gap: Securely modeling cyber risk based on security deviations from a peer group," Papers 2402.04166, arXiv.org.
    4. David Cerezo S'anchez, 2021. "JUBILEE: Secure Debt Relief and Forgiveness," Papers 2109.07267, arXiv.org.
    5. Wang, Yi-Ran & Ma, Chao-Qun & Ren, Yi-Shuai, 2022. "A model for CBDC audits based on blockchain technology: Learning from the DCEP," Research in International Business and Finance, Elsevier, vol. 63(C).
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    7. Douglas J. Elliott & Greg Feldberg & Andreas Lehnert, 2013. "The History of Cyclical Macroprudential Policy in the United States," Working Papers 13-08, Office of Financial Research, US Department of the Treasury.
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  21. Andrew W. Lo & Mark T. Mueller, 2010. "WARNING: Physics Envy May Be Hazardous To Your Wealth!," Papers 1003.2688, arXiv.org, revised Mar 2010.

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    1. Jennifer Jhun & Patricia Palacios & James Owen Weatherall, 2017. "Market Crashes as Critical Phenomena? Explanation, Idealization, and Universality in Econophysics," Papers 1704.02392, arXiv.org.
    2. Arnab Acharya & Giulia Greco & Edoardo Masset, 2010. "The economics approach to evaluation of health interventions in developing countries through randomised field trial," Journal of Development Effectiveness, Taylor & Francis Journals, vol. 2(4), pages 401-420.
    3. Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous volatility and asset pricing in continuous time," Papers 1301.4614, arXiv.org.
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    7. Dirk G Baur & Thomas K.J. McDermott, 2012. "Safe Haven Assets and Investor Behavior Under Uncertainty," Working Paper Series 173, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    8. Stavros Drakopoulos & Ioannis Katselidis, 2015. "From Edgeworth to econophysics: a methodological perspective," Journal of Economic Methodology, Taylor & Francis Journals, vol. 22(1), pages 77-95, March.
    9. Asmeret Naugle & Adam Russell & Kiran Lakkaraju & Laura Swiler & Stephen Verzi & Vicente Romero, 2023. "The Ground Truth program: simulations as test beds for social science research methods," Computational and Mathematical Organization Theory, Springer, vol. 29(1), pages 1-19, March.
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    13. Henry T. C. Hu, 2011. "Systemic Risk and Financial Innovation: Toward a "Unified" Approach," NBER Chapters, in: Quantifying Systemic Risk, pages 11-28, National Bureau of Economic Research, Inc.
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    16. Trojan, Sebastian, 2013. "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series 1341, University of St. Gallen, School of Economics and Political Science, revised Aug 2014.
    17. Michael Dempsey, 2015. "Stock Markets, Investments and Corporate Behavior:A Conceptual Framework of Understanding," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number p1007, January.
    18. Burzoni, Matteo & Riedel, Frank & Soner, Halil Mete, 2017. "Viability and arbitrage under Knightian Uncertainty," Center for Mathematical Economics Working Papers 575, Center for Mathematical Economics, Bielefeld University.
    19. Mark R. Powell, 2015. "Risk‐Based Sampling: I Don't Want to Weight in Vain," Risk Analysis, John Wiley & Sons, vol. 35(12), pages 2172-2182, December.
    20. Tian, Dejian & Tian, Weidong, 2014. "Optimal risk-sharing under mutually singular beliefs," Mathematical Social Sciences, Elsevier, vol. 72(C), pages 41-49.
    21. Lok Man Michel Tong & Gianluca Marcato, 2018. "Modelling Competitive Mortgage Termination Option Strategies: Default vs Restructuring and Prepayment vs Defeasance," ERES eres2018_300, European Real Estate Society (ERES).
    22. Bautista, Rafael, 2014. "A quantitative model of the human capital contribution to the value of a project," Galeras. Working Papers Series 039, Universidad de Los Andes. Facultad de Administración. School of Management.
    23. Patrick Schotanus, 2022. "Cognitive economics and the Market Mind Hypothesis: Exploring the final frontier of economics," Economic Affairs, Wiley Blackwell, vol. 42(1), pages 87-114, February.
    24. Andrew Kumiega & Ben Van Vliet & Apostolos Xanthopoulos, 2012. "Preventing Another Crisis: Quality Data for MBS Markets," Accounting and Finance Research, Sciedu Press, vol. 1(1), pages 162-162, May.

  22. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.

    Cited by:

    1. Binici, Mahir & Köksal, Bülent & Orman, Cüneyt, 2012. "Stock return comovement and systemic risk in the Turkish banking system," MPRA Paper 38663, University Library of Munich, Germany.
    2. Mensah, Jones Odei & Premaratne, Gamini, 2017. "Systemic interconnectedness among Asian Banks," Japan and the World Economy, Elsevier, vol. 41(C), pages 17-33.
    3. Carlos León & Clara Machado & Andrés Murcia, 2013. "Macro-prudential assessment of Colombian financial institutions’ systemic importance," Borradores de Economia 11105, Banco de la Republica.
    4. Kuzubaş, Tolga Umut & Ömercikoğlu, Inci & Saltoğlu, Burak, 2014. "Network centrality measures and systemic risk: An application to the Turkish financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 203-215.
    5. Zimo Yang & Tao Zhou & Pak Ming Hui & Jian-Hong Ke, 2012. "Instability in Evolutionary Games," PLOS ONE, Public Library of Science, vol. 7(11), pages 1-9, November.
    6. Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," Finance and Economics Discussion Series 2011-08, Board of Governors of the Federal Reserve System (U.S.).
    7. Seungjun Lee & Jaewoon Koo & Youngsik Kwak, 2014. "Determinants Of Common Factors In Korean Banks’ Credit Default Swap Premiums," American Journal of Economics and Business Administration, Science Publications, vol. 6(3), pages 100-108, December.
    8. Renata Karkowska, 2013. "The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility," Faculty of Management Working Paper Series 32013, University of Warsaw, Faculty of Management.
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    32. Seo Joon Choi & Kanghyun Kim & Sunyoung Park, 2020. "Is systemic risk systematic? Evidence from the U.S. stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 642-663, October.
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    39. Zulu, Thulani & Manguzvane, Mathias Mandla & Bonga-Bonga, Lumengo, 2023. "Assessing the contribution of South African Insurance Firms to Systemic Risk," MPRA Paper 116815, University Library of Munich, Germany.
    40. Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2012. "How to Calculate Systemic Risk Surcharges," NBER Chapters, in: Quantifying Systemic Risk, pages 175-212, National Bureau of Economic Research, Inc.
    41. Calomiris, Charles W. & Love, Inessa & Martínez Pería, María Soledad, 2012. "Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 743-765.
    42. Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers 75, Central Bank of Luxembourg.
    43. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series 1327, European Central Bank.
    44. Andreas Jobst & Mr. Dale F Gray, 2013. "Systemic Contingent Claims Analysis: Estimating Market-Implied Systemic Risk," IMF Working Papers 2013/054, International Monetary Fund.
    45. Lin, Sihan & Chen, Shoudong, 2021. "Dynamic connectedness of major financial markets in China and America," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 646-656.
    46. Martin Eling & David Antonius Pankoke, 2016. "Systemic Risk in the Insurance Sector: A Review and Directions for Future Research," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 19(2), pages 249-284, September.
    47. Renata Karkowska, 2015. "The role of investment banking in systemic risk profiles. Evidence from a panel of EU banking sectors," Faculty of Management Working Paper Series 22015, University of Warsaw, Faculty of Management.
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    49. Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven, 2010. "Modeling Financial Contagion Using Mutually Exciting Jump Processes," NBER Working Papers 15850, National Bureau of Economic Research, Inc.
    50. Charles W. Calomiris & Inessa Love & Maria Soledad Martinez Peria, 2010. "Crisis "Shock Factors" and the Cross-Section of Global Equity Returns," NBER Working Papers 16559, National Bureau of Economic Research, Inc.
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  23. Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola, 2010. "Is It Real, or Is It Randomized?: A Financial Turing Test," Papers 1002.4592, arXiv.org.

    Cited by:

    1. Élise PAYZAN LE NESTOUR, 2010. "Bayesian Learning in UnstableSettings: Experimental Evidence Based on the Bandit Problem," Swiss Finance Institute Research Paper Series 10-28, Swiss Finance Institute.

  24. Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009. "Systemic Risk and the Refinancing Ratchet Effect," Harvard Business School Working Papers 10-023, Harvard Business School, revised Jul 2010.

    Cited by:

    1. Campbell, John Y. & Tufano, Peter & Madrian, Brigitte C. & Jackson, Howell Edmunds, 2011. "Consumer Financial Protection," Scholarly Articles 9887620, Harvard University Department of Economics.
    2. Aobdia, Daniel & Dou, Yiwei & Kim, Jungbae, 2021. "Public audit oversight and the originate-to-distribute model," Journal of Accounting and Economics, Elsevier, vol. 72(1).
    3. Martin Eichenbaum & Sergio Rebelo & Arlene Wong, 2022. "State-Dependent Effects of Monetary Policy: The Refinancing Channel," American Economic Review, American Economic Association, vol. 112(3), pages 721-761, March.
    4. Cengiz Tunc, 2020. "The Effect of Credit Supply on House Prices: Evidence From Turkey," Housing Policy Debate, Taylor & Francis Journals, vol. 30(2), pages 228-242, March.
    5. Willem H. Buiter, 2008. "Housing Wealth Isn't Wealth," NBER Working Papers 14204, National Bureau of Economic Research, Inc.
    6. Ebrahim, M. Shahid & Shackleton, Mark B. & Wojakowski, Rafal M., 2011. "Participating mortgages and the efficiency of financial intermediation," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3042-3054, November.
    7. Edward L. Glaeser & Joshua D. Gottlieb & Joseph Gyourko, 2010. "Can Cheap Credit Explain the Housing Boom?," NBER Working Papers 16230, National Bureau of Economic Research, Inc.
    8. International Monetary Fund, 2010. "United States: Publication of Financial Sector Assessment Program Documentation: Technical Note on Stress Testing," IMF Staff Country Reports 2010/244, International Monetary Fund.
    9. Raisul Islam & Vladimir Volkov, 2022. "Contagion or interdependence? Comparing spillover indices," Empirical Economics, Springer, vol. 63(3), pages 1403-1455, September.
    10. Stefan Nagel & Amiyatosh Purnanandam & Itay Goldstein, 2020. "Banks’ Risk Dynamics and Distance to Default [Robust comparative statics in large dynamic economies]," The Review of Financial Studies, Society for Financial Studies, vol. 33(6), pages 2421-2467.
    11. Fischer, Thomas & Riedler, Jesper, 2012. "Prices, debt and market structure in an agent-based model of the financial market," ZEW Discussion Papers 12-045, ZEW - Leibniz Centre for European Economic Research.
    12. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
    13. Huang, MeiChi, 2014. "Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 2-16.
    14. International Monetary Fund, 2011. "Sweden: Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk and Stress Test the Swedish Banking Sector," IMF Staff Country Reports 2011/286, International Monetary Fund.
    15. Yi Wu & Nicole Lux, 2018. "U.K. House Prices: Bubbles or Market Efficiency? Evidence from Regional Analysis," JRFM, MDPI, vol. 11(3), pages 1-16, September.
    16. Escobari, Diego & Damianov, Damian & Bello, Andres, 2012. "A time series test to identify housing bubbles," MPRA Paper 44360, University Library of Munich, Germany.
    17. Hui Chen & Michael Michaux & Nikolai Roussanov, 2013. "Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty," NBER Working Papers 19421, National Bureau of Economic Research, Inc.
    18. Deeksha Gupta, 2018. "Too Much Skin-in-the-Game? The Effect of Mortgage Market Concentration on Credit and House Prices," 2018 Meeting Papers 512, Society for Economic Dynamics.
    19. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
    20. John Y. Campbell, 2012. "Mortgage Market Design," NBER Working Papers 18339, National Bureau of Economic Research, Inc.
    21. Anufriev, Mikhail & Panchenko, Valentyn, 2015. "Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 241-255.
    22. Pol, Eduardo, 2012. "The preponderant causes of the USA banking crisis 2007–08," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 41(5), pages 519-528.
    23. Kim, Jiseob, 2020. "Macroeconomic effects of the mortgage refinance and the home equity lines of credit," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
    24. Andra C. Ghent & Kristian R. Miltersen & Walter N. Torous, 2020. "Second Mortgages: Valuation and Implications for the Performance of Structured Financial Products," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(4), pages 1234-1273, December.
    25. Dungey, Mardi & Islam, Raisul & Volkov, Vladimir, 2019. "Crisis transmission: visualizing vulnerability," Working Papers 2019-07, University of Tasmania, Tasmanian School of Business and Economics.
    26. John Y. Campbell & Nuno Clara & João F. Cocco, 2020. "Structuring Mortgages for Macroeconomic Stability," NBER Working Papers 27676, National Bureau of Economic Research, Inc.
    27. Dillingh, Rik & Prast, Henriette & Rossi, Mariacristina & Urzì Brancati, Cesira, 2017. "Who wants to have their home and eat it too? Interest in reverse mortgages in the Netherlands," Journal of Housing Economics, Elsevier, vol. 38(C), pages 25-37.
    28. Ebner, André, 2013. "A micro view on home equity withdrawal and its determinants: Evidence from Dutch households," Journal of Housing Economics, Elsevier, vol. 22(4), pages 321-337.
    29. Carol Royal & Loretta O’Donnell, 2013. "Beyond the illusion of numbers: A challenge for financial regulators and analysts," The Economic and Labour Relations Review, , vol. 24(4), pages 568-583, December.
    30. Manuel Adelino & Antoinette Schoar & Felipe Severino, 2012. "Credit Supply and House Prices: Evidence from Mortgage Market Segmentation," NBER Working Papers 17832, National Bureau of Economic Research, Inc.
    31. Andreas Jobst & Mr. Dale F Gray, 2013. "Systemic Contingent Claims Analysis: Estimating Market-Implied Systemic Risk," IMF Working Papers 2013/054, International Monetary Fund.
    32. Islam, Raisul & Volkov, Vladimir, 2020. "Contagion or interdependence? Comparing signed and unsigned spillovers," Working Papers 2020-05, University of Tasmania, Tasmanian School of Business and Economics.
    33. Dillingh, Rik, 2016. "Empirical essays on behavioral economics and lifecycle decisions," Other publications TiSEM 0e2143e3-bd86-4302-90eb-e, Tilburg University, School of Economics and Management.
    34. Jin, Justin Y. & Ma, Mary L.Z. & Song, Victor & Guo, Mengyang, 2021. "Banks’ loan charge-offs and macro-level risk," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
    35. Kuang-Liang Chang & Nan-Kuang Chen & Charles Ka Yui Leung, 2016. "Losing Track of the Asset Markets: the Case of Housing and Stock," International Real Estate Review, Global Social Science Institute, vol. 19(4), pages 435-492.
    36. Thi Mai Luong, 2020. "Selection Effects of Lender and Borrower Choices on Risk Measurement, Management and Prudential Regulation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2020.
    37. Chang, Yuk Ying & Anderson, Hamish & Shi, Song, 2018. "China and international housing price growth," China Economic Review, Elsevier, vol. 50(C), pages 294-312.
    38. Corina Boar & Denis Gorea & Virgiliu Midrigan, 2017. "Liquidity Constraints in the U.S. Housing Market," NBER Working Papers 23345, National Bureau of Economic Research, Inc.
    39. Goel, Anand M. & Song, Fenghua & Thakor, Anjan V., 2014. "Correlated leverage and its ramifications," Journal of Financial Intermediation, Elsevier, vol. 23(4), pages 471-503.
    40. Fernandez-Pol, Eduardo, 2010. "The Financial Crisis 2007-08 and Causality: A Hicksian Perspective," Economics Working Papers wp10-03, School of Economics, University of Wollongong, NSW, Australia.
    41. Shi, Song & Jou, Jyh-Bang & Tripe, David, 2014. "Can interest rates really control house prices? Effectiveness and implications for macroprudential policy," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 15-28.
    42. Gavin Wood & Sharon Parkinson & Beverley Searle & Susan J. Smith, 2013. "Motivations for Equity Borrowing: A Welfare-switching Effect," Urban Studies, Urban Studies Journal Limited, vol. 50(12), pages 2588-2607, September.
    43. in ’t Veld, Daan & van Lelyveld, Iman, 2014. "Finding the core: Network structure in interbank markets," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 27-40.
    44. Sun, Xiaojin & Tsang, Kwok Ping, 2019. "Large price movements in housing markets," Journal of Economic Behavior & Organization, Elsevier, vol. 163(C), pages 1-23.
    45. Xiong, Shi & Chen, Weidong, 2022. "A robust hybrid method using dynamic network analysis and Weighted Mahalanobis distance for modeling systemic risk in the international energy market," Energy Economics, Elsevier, vol. 109(C).
    46. Anson T. Y. Ho & Jie Zhou, 2016. "Housing and Tax-Deferred Retirement Accounts," Staff Working Papers 16-24, Bank of Canada.
    47. Guharay, Samar K. & Thakur, Gaurav S. & Goodman, Fred J. & Rosen, Scott L. & Houser, Daniel, 2013. "Analysis of non-stationary dynamics in the financial system," Economics Letters, Elsevier, vol. 121(3), pages 454-457.
    48. Levitin, Adam & Wachter, Susan, 2012. "Explaining the Housing Bubble," MPRA Paper 41920, University Library of Munich, Germany.
    49. Yin, Libo & Feng, Jiabao & Han, Liyan, 2021. "Systemic risk in international stock markets: Role of the oil market," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 592-619.

  25. Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola, 2009. "A Computational View of Market Efficiency," Papers 0908.4580, arXiv.org.

    Cited by:

    1. Yang, Ann Shawing & Pangastuti, Airin, 2016. "Stock market efficiency and liquidity: The Indonesia Stock Exchange merger," Research in International Business and Finance, Elsevier, vol. 36(C), pages 28-40.
    2. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
    3. Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.
    4. Zhijian Lai & Akiko Yoshise, 2022. "Completely positive factorization by a Riemannian smoothing method," Computational Optimization and Applications, Springer, vol. 83(3), pages 933-966, December.
    5. Bell, Peter, 2019. "Arbitrage Trading Strategy in Gold Futures," MPRA Paper 96124, University Library of Munich, Germany.
    6. Van Vliet, Ben, 2017. "Capability satisficing in high frequency trading," Research in International Business and Finance, Elsevier, vol. 42(C), pages 509-521.
    7. Brender, Nathalie & Markov, Iliya, 2013. "Risk perception and risk management in cloud computing: Results from a case study of Swiss companies," International Journal of Information Management, Elsevier, vol. 33(5), pages 726-733.

  26. Thomas J. Brennan & Andrew W. Lo, 2008. "Impossible Frontiers," NBER Working Papers 14525, National Bureau of Economic Research, Inc.

    Cited by:

    1. Chiaki Hara & Toshiki Honda, 2016. "Mutual Fund Theorem for Ambiguity-Averse Investors and the Optimality of the Market Portfolio," KIER Working Papers 943, Kyoto University, Institute of Economic Research.
    2. Wenzelburger, Jan, 2020. "Mean-variance analysis and the Modified Market Portfolio," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    3. Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev, 2023. "Enhancing CVaR portfolio optimisation performance with GAM factor models," Papers 2401.00188, arXiv.org.
    4. Levy, Haim & Levy, Moshe, 2014. "The benefits of differential variance-based constraints in portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 372-381.
    5. Kim, Jang Ho & Kim, Woo Chang & Fabozzi, Frank J., 2016. "Portfolio selection with conservative short-selling," Finance Research Letters, Elsevier, vol. 18(C), pages 363-369.
    6. Levy, Moshe & Levy, Haim, 2015. "Keeping up with the Joneses and optimal diversification," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 29-38.
    7. Diacogiannis, George & Ioannidis, Christos, 2022. "Linear beta pricing with efficient/inefficient benchmarks and short-selling restrictions," International Review of Financial Analysis, Elsevier, vol. 81(C).

  27. Amir E. Khandani & Andrew W. Lo, 2008. "What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data," NBER Working Papers 14465, National Bureau of Economic Research, Inc.

    Cited by:

    1. Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 109-141, March.
    2. Ignashkina, Anna & Rinne, Kalle & Suominen, Matti, 2022. "Short-term reversals, returns to liquidity provision and the costs of immediacy," Journal of Banking & Finance, Elsevier, vol. 138(C).
    3. Andrew W. Lo, 2009. "Regulatory reform in the wake of the financial crisis of 2007‐2008," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 1(1), pages 4-43, April.
    4. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2012. "Revisiting Mutual Fund Performance Evaluation," MPRA Paper 36644, University Library of Munich, Germany.
    5. Rama Cont & Lakshithe Wagalath, 2012. "Fire Sales Forensics: Measuring Endogenous Risk," Working Papers hal-00697224, HAL.
    6. Daniel Ritter, 2019. "Mathematical Modeling of Systemic Risk in Financial Networks: Managing Default Contagion and Fire Sales," Papers 1911.07313, arXiv.org.
    7. Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017. "Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds," Working Papers 17-07, Office of Financial Research, US Department of the Treasury.
    8. Cortes, Fabio & Lindner, Peter & Malik, Sheheryar & Segoviano, Miguel, 2018. "A comprehensive multi-sector tool for analysis of Systemic Risk and Interconnectedness (SyRIN)," LSE Research Online Documents on Economics 118928, London School of Economics and Political Science, LSE Library.
    9. Kondor, Peter & Zawadowski, Adam, 2016. "Learning in crowded markets," LSE Research Online Documents on Economics 118972, London School of Economics and Political Science, LSE Library.
    10. Ding, Wenzhi & Levine, Ross & Lin, Chen & Xie, Wensi, 2021. "Corporate immunity to the COVID-19 pandemic," Journal of Financial Economics, Elsevier, vol. 141(2), pages 802-830.
    11. Shea D. Chen & Andrew E. B. Lim, 2020. "A Generalized Black–Litterman Model," Operations Research, INFORMS, vol. 68(2), pages 381-410, March.
    12. Danielsson, Jon & Macrae, Robert & Uthemann, Andreas, 2022. "Artificial intelligence and systemic risk," LSE Research Online Documents on Economics 111601, London School of Economics and Political Science, LSE Library.
    13. Raisul Islam & Vladimir Volkov, 2022. "Contagion or interdependence? Comparing spillover indices," Empirical Economics, Springer, vol. 63(3), pages 1403-1455, September.
    14. Yanxi Li & Siu Kai Choy & Mingzhu Wang, 2022. "The potential built‐in supply effect from margin trading in the Chinese stock market," The Financial Review, Eastern Finance Association, vol. 57(4), pages 835-861, November.
    15. Benos, Evangelos & Wetherilt, Anne, 2012. "The role of designated market makers in the new trading landscape," Bank of England Quarterly Bulletin, Bank of England, vol. 52(4), pages 343-353.
    16. Christopher Krauss & Xuan Anh Do & Nicolas Huck, 2017. "Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500," Post-Print hal-01515120, HAL.
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    44. Soosung Hwang & Alexandre Rubesam, 2015. "The disappearance of momentum," The European Journal of Finance, Taylor & Francis Journals, vol. 21(7), pages 584-607, May.
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    54. Racicot, François-Éric & Théoret, Raymond, 2016. "Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 41-61.

  30. Andrew W. Lo & Dmitry V. Repin & Brett N. Steenbarger, 2005. "Fear and Greed in Financial Markets: A Clinical Study of Day-Traders," NBER Working Papers 11243, National Bureau of Economic Research, Inc.

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    1. Paola Morales Acevedo & Steven Ongena, 2019. "Fear, Anger and Credit. On Bank Robberies and Loan Conditions," Swiss Finance Institute Research Paper Series 19-42, Swiss Finance Institute.
    2. Friedrich Schneider & Gebhard Kirchgässner, 2009. "Financial and world economic crisis: What did economists contribute?," Public Choice, Springer, vol. 140(3), pages 319-327, September.
    3. Andrew W. Lo & Dmitry V. Repin & Brett N. Steenbarger, 2005. "Fear and Greed in Financial Markets: A Clinical Study of Day-Traders," NBER Working Papers 11243, National Bureau of Economic Research, Inc.
    4. Su (Sally) Gan & Richard Heaney & Paul Gerrans, 2015. "Individual investor portfolio performance in retirement savings accounts," Australian Journal of Management, Australian School of Business, vol. 40(4), pages 652-671, November.
    5. Brice Corgnet & Cary Deck & Mark Desantis & David Porter, 2022. "Forecasting Skills in Experimental Market : Illusion or Reality?," Post-Print hal-04325544, HAL.
    6. Chris Brooks & Ivan Sangiorgi & Anastasiya Saraeva & Carola Hillenbrand & Kevin Money, 2023. "The importance of staying positive: The impact of emotions on attitude to risk," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3232-3261, July.
    7. van Winden, Frans & Krawczyk, Michal & Hopfensitz, Astrid, 2011. "Investment, resolution of risk, and the role of affect," Journal of Economic Psychology, Elsevier, vol. 32(6), pages 918-939.
    8. Sangita Choudhary & Mohit Yadav & Anugamini Priya Srivastava, 2024. "Cognitive Biases Among Millennial Indian Investors: Do Personality and Demographic Factors Matter?," FIIB Business Review, , vol. 13(1), pages 106-117, January.
    9. Xing Gao & Daniel Ladley, 2022. "Noise trading and market stability," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1283-1301, October.
    10. Daniel Serra, 2019. "La neuroéconomie en question : débats et controverses," CEE-M Working Papers halshs-02160911, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
    11. Eisenbach, Thomas M. & Schmalz, Martin C., 2016. "Anxiety in the face of risk," Journal of Financial Economics, Elsevier, vol. 121(2), pages 414-426.
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    13. Hopfensitz, Astrid & Wranik, Tanja, 2009. "How to adapt to changing markets: experience and personality in a repeated investment game," MPRA Paper 17835, University Library of Munich, Germany.
    14. Brice Corgnet & Camille Cornand & Nobuyuki Hanaki, 2020. "Negative Tail Events, Emotions & Risk Taking," Working Papers 2016, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    15. Chen, Yuyang & Bi, Kaiming & Zhao, Songnian & Ben-Arieh, David & Wu, Chih-Hang John, 2017. "Modeling individual fear factor with optimal control in a disease-dynamic system," Chaos, Solitons & Fractals, Elsevier, vol. 104(C), pages 531-545.
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    23. Marc T. P. Adam & Timm Teubner & Henner Gimpel, 2018. "No Rage Against the Machine: How Computer Agents Mitigate Human Emotional Processes in Electronic Negotiations," Group Decision and Negotiation, Springer, vol. 27(4), pages 543-571, August.
    24. Kocher, Martin & Lucks, Konstantin & Schindler, David, 2018. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Rationality and Competition Discussion Paper Series 81, CRC TRR 190 Rationality and Competition.
    25. Camelia M Kuhnen & Gregory R Samanez-Larkin & Brian Knutson, 2013. "Serotonergic Genotypes, Neuroticism, and Financial Choices," PLOS ONE, Public Library of Science, vol. 8(1), pages 1-9, January.
    26. Dimitrios Kourtidis & Željko Šević & Prodromos Chatzoglou, 2016. "Mood and stock returns: evidence from Greece," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 43(2), pages 242-258, May.
    27. Kelly, Patrick J. & Meschke, Felix, 2010. "Sentiment and stock returns: The SAD anomaly revisited," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1308-1326, June.
    28. Prachi Deuskar & Deng Pan & Fei Wu & Hongfeng Zhou, 2021. "How does regret affect investor behaviour? Evidence from Chinese stock markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 1851-1896, April.
    29. Gambetti, Elisa & Giusberti, Fiorella, 2012. "The effect of anger and anxiety traits on investment decisions," Journal of Economic Psychology, Elsevier, vol. 33(6), pages 1059-1069.
    30. Brice Corgnet & Camille Cornand & Nobuyuki Hanaki, 2020. "Tail events, emotions and risk taking," Working Papers halshs-02613344, HAL.
    31. Bäumer, Marcus, 2020. "What matters to investment professionals in decision making? The role of soft factors in stock selection," EIKV-Schriftenreihe zum Wissens- und Wertemanagement, European Institute for Knowledge & Value Management (EIKV), Luxembourg, volume 44, number 44.
    32. Subrahmanyam, Avanidhar, 2008. "Learning from experience and trading volume," Review of Financial Economics, Elsevier, vol. 17(4), pages 245-260, December.
    33. Jean-Philippe Bouchaud & Damien Challet, 2016. "Why have asset price properties changed so little in 200 years," Papers 1605.00634, arXiv.org.
    34. Manda, Vijaya Kittu & Sana, Alekhya, 2021. "Impact Of Mental Health And Well-Being Of Indian Stock Market Traders," MPRA Paper 109941, University Library of Munich, Germany.
    35. Eran Rubin & Amir Rubin, 2021. "On the economic effects of the text completion interface: empirical analysis of financial markets," Electronic Markets, Springer;IIM University of St. Gallen, vol. 31(3), pages 717-735, September.
    36. Bellofatto, Anthony & Broihanne, Marie-Hélène & D'Hondt, Catherine, 2019. "Appetite for information and trading behavior," LIDAM Discussion Papers LFIN 2019002, Université catholique de Louvain, Louvain Finance (LFIN).
    37. Donald T. Wargo & Norman A. Baglini & Katherine A. Nelson, 2010. "The New Millennium’s First Global Financial Crisis: The Neuroeconomics of Greed, Self-interest, Deception, False Trust, Overconfidence and Risk Perception," Chapters, in: Angela A. Stanton & Mellani Day & Isabell M. Welpe (ed.), Neuroeconomics and the Firm, chapter 5, Edward Elgar Publishing.
    38. Kenning, Peter & Mohr, Peter & Erk, Susanne & Walter, Henrik & Plassmann, Hilke, 2006. "The role of fear in home-biased decision making: first insights from neuroeconomics," MPRA Paper 1076, University Library of Munich, Germany, revised 18 Nov 2006.
    39. Liew, Ping-Xin & Lim, Kian-Ping & Goh, Kim-Leng, 2020. "Does proprietary day trading provide liquidity at a cost to investors?," International Review of Financial Analysis, Elsevier, vol. 68(C).
    40. Adriana Breaban & Charles N. Noussair, 2013. "Emotional State and Market Behavior," Working Papers 2013/08, Economics Department, Universitat Jaume I, Castellón (Spain).
    41. Brooks, Chris & Williams, Louis, 2021. "The impact of personality traits on attitude to financial risk," Research in International Business and Finance, Elsevier, vol. 58(C).
    42. Thomas M. Eisenbach & Martin C. Schmalz, 2015. "Anxiety and pro-cyclical risk taking with Bayesian agents," Staff Reports 711, Federal Reserve Bank of New York.
    43. Baddeley, M. & Burke, C. & Schultz, W. & Tobler, P., 2012. "Herding in Financial Behaviour: A Behavioural and Neuroeconomic Analysis of Individual Differences," Cambridge Working Papers in Economics 1225, Faculty of Economics, University of Cambridge.
    44. Rupali Misra & Sumita Srivastava & D. K. Banwet, 2019. "Are type B investors efficacious? Exploring role of personality in ambidextrous investment decision-making," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 46(1), pages 27-34, March.
    45. Ryan Chipwanya, 2023. "Stock Market Directional Bias Prediction Using ML Algorithms," Papers 2310.16855, arXiv.org.
    46. Breaban, A.G., 2014. "Behavior and asset markets : Individual decisions, emotions and fundamental value trajectories," Other publications TiSEM a20e6a40-f15e-4331-83cb-c, Tilburg University, School of Economics and Management.
    47. Avanidhar Subrahmanyam, 2008. "Learning from experience and trading volume," Review of Financial Economics, John Wiley & Sons, vol. 17(4), pages 245-260, December.
    48. Locke, Peter R. & Mann, Steven C., 2009. "Daily income target effects: Evidence from a large sample of professional commodities traders," Journal of Financial Markets, Elsevier, vol. 12(4), pages 814-831, November.
    49. Volk, Stefan & Thoeni, Christian & Ruigrok, Winfried, 2011. "Temporal stability and psychological foundations of cooperation preferences," Economics Working Paper Series 1101, University of St. Gallen, School of Economics and Political Science.
    50. Ola Andersson & Håkan J. Holm & Jean‐Robert Tyran & Erik Wengström, 2020. "Risking Other People's Money: Experimental Evidence on the Role of Incentives and Personality Traits," Scandinavian Journal of Economics, Wiley Blackwell, vol. 122(2), pages 648-674, April.
    51. Lackes, Richard & Siepermann, Markus & Vetter, Georg, 2020. "What drives decision makers to follow or ignore forecasting tools - A game based analysis," Journal of Business Research, Elsevier, vol. 106(C), pages 315-322.
    52. Anum Khan & Muhammad Shujaat Mubarik, 2022. "Measuring the role of neurotransmitters in investment decision: A proposed constructs," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 258-274, January.
    53. Anderson, Irina & Thoma, Volker, 2021. "The edge of reason: A thematic analysis of how professional financial traders understand analytical decision making," European Management Journal, Elsevier, vol. 39(2), pages 304-314.
    54. Lucks, Konstantin, 2016. "The Impact of Self-Control on Investment Decisions," MPRA Paper 73099, University Library of Munich, Germany.
    55. Steve Sapra & Laura E Beavin & Paul J Zak, 2012. "A Combination of Dopamine Genes Predicts Success by Professional Wall Street Traders," PLOS ONE, Public Library of Science, vol. 7(1), pages 1-7, January.
    56. Vuong, Quan-Hoang & Tri, Nguyen Phuong & Jin, Ruining & Hoang, Giang & La, Viet-Phuong & Le, Tam-Tri & Nguyen, Minh-Hoang, 2023. "Information-based investigation into fear and fear regulation of Chinese and Vietnamese stock investors in the extremely volatile markets," OSF Preprints 54z9y, Center for Open Science.
    57. Evodia Mankuroane & Wilme van Heerden & Sune Ferreira-Schenk & Zandri Dickason-Koekemoer, 2022. "Psychological and Behavioural Drivers of Short-Term Investment Intentions," International Journal of Economics and Financial Issues, Econjournals, vol. 12(4), pages 19-27, July.
    58. Elisa Gambetti & Micaela Maria Zucchelli & Raffaella Nori & Fiorella Giusberti, 2022. "Default rules in investment decision-making: trait anxiety and decision-making styles," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-26, December.
    59. K.S. Muehlfeld & G.U. Weitzel & A. van Witteloostuijn, 2012. "Fight or freeze? Individual differences in investors’ motivational systems and trading in experimental asset markets," Working Papers 12-18, Utrecht School of Economics.
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  31. Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc.

    Cited by:

    1. Berzins, Janis & Liu, Crocker H. & Trzcinka, Charles, 2013. "Asset management and investment banking," Journal of Financial Economics, Elsevier, vol. 110(1), pages 215-231.
    2. Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 109-141, March.
    3. Charles Cao & Grant Farnsworth & Hong Zhang, 2021. "The Economics of Hedge Fund Startups: Theory and Empirical Evidence," Journal of Finance, American Finance Association, vol. 76(3), pages 1427-1469, June.
    4. Massimo Guidolin & Alexei G. Orlov, 2022. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 1-61, September.
    5. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
    6. Patrick M McGuire & Kostas Tsatsaronis, 2008. "Estimating hedge fund leverage," BIS Working Papers 260, Bank for International Settlements.
    7. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II : The Loss Carry Forward Scheme," Working Papers 2013-23, Center for Research in Economics and Statistics.
    8. Miguel Antón & Christopher Polk, 2014. "Connected Stocks," Journal of Finance, American Finance Association, vol. 69(3), pages 1099-1127, June.
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    12. Trottier, Denis-Alexandre & Lai, Van Son & Godin, Frédéric, 2019. "A characterization of CAT bond performance indices," Finance Research Letters, Elsevier, vol. 28(C), pages 431-437.
    13. Godwin, Alexander, 2022. "Hedge fund alpha and beta corrected for stale pricing," MPRA Paper 112509, University Library of Munich, Germany.
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    15. Bilo, Stéphanie & Christophers, Hans & Degosciu, Michèl & Zimmermann, Heinz, 2005. "Risk, returns, and biases of listed private equity portfolios," Working papers 2005/01, Faculty of Business and Economics - University of Basel.
    16. DeVault, Luke & Sias, Richard, 2017. "Hedge fund politics and portfolios," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 80-97.
    17. Duarte, Jefferson & Longstaff, Francis A. & Yu, Fan, 2005. "Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?," University of California at Los Angeles, Anderson Graduate School of Management qt6zx6m7fp, Anderson Graduate School of Management, UCLA.
    18. Vikas Agarwal & Stefan Ruenzi & Florian Weigert, 2018. "Unobserved Performance of Hedge Funds," Working Papers on Finance 1825, University of St. Gallen, School of Finance.
    19. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    20. Shawky, Hany A. & Dai, Na & Cumming, Douglas, 2012. "Diversification in the hedge fund industry," Journal of Corporate Finance, Elsevier, vol. 18(1), pages 166-178.
    21. Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017. "Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds," Working Papers 17-07, Office of Financial Research, US Department of the Treasury.
    22. Timmermann, Allan & Møller, Stig & Pedersen, Thomas & Schütte, Erik Christian Montes, 2021. "Search and Predictability of Prices in the Housing Market," CEPR Discussion Papers 15875, C.E.P.R. Discussion Papers.
    23. Jean-Christophe Delfim & Martin Hoesli, 2019. "Robust Desmoothed Real Estate Returns," Swiss Finance Institute Research Paper Series 19-32, Swiss Finance Institute.
    24. Nicolas Bollen, 2011. "The financial crisis and hedge fund returns," Review of Derivatives Research, Springer, vol. 14(2), pages 117-135, July.
    25. Jiaqi Chen & Michael Tindall & Wenbo Wu, 2016. "Hedge Fund Return Prediction and Fund Selection: A Machine-Learning Approach," Occasional Papers 16-4, Federal Reserve Bank of Dallas.
    26. Teo, Melvyn, 2011. "The liquidity risk of liquid hedge funds," Journal of Financial Economics, Elsevier, vol. 100(1), pages 24-44, April.
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    28. Chen, Li-Wen & Chen, Fan, 2009. "Does concurrent management of mutual and hedge funds create conflicts of interest?," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1423-1433, August.
    29. Bali, Turan G. & Gokcan, Suleyman & Liang, Bing, 2007. "Value at risk and the cross-section of hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1135-1166, April.
    30. Ang, Andrew & Gorovyy, Sergiy & van Inwegen, Gregory B., 2011. "Hedge fund leverage," Journal of Financial Economics, Elsevier, vol. 102(1), pages 102-126, October.
    31. Aragon, George O., 2007. "Share restrictions and asset pricing: Evidence from the hedge fund industry," Journal of Financial Economics, Elsevier, vol. 83(1), pages 33-58, January.
    32. Daniel Barth & Phillip Monin, 2020. "Illiquidity in Intermediate Portfolios: Evidence from Large Hedge Funds," Working Papers 20-03, Office of Financial Research, US Department of the Treasury.
    33. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
    34. De Santis, Paola & Drago, Carlo, 2014. "Asimmetria del rischio sistematico dei titoli immobiliari americani: nuove evidenze econometriche [Systematic Risk Asymmetry of the American Real Estate Securities: Some New Econometric Evidence]," MPRA Paper 59381, University Library of Munich, Germany.
    35. Georges Gallais-Hamonno & Huyen Nguyen-Thi-Thanh, 2007. "The Necessity to Correct Hedge Fund Returns: Empirical Evidence and Correction Method," Working Papers CEB 07-034.RS, ULB -- Universite Libre de Bruxelles.
    36. Lan, Yingcong & Wang, Neng & Yang, Jinqiang, 2013. "The economics of hedge funds," Journal of Financial Economics, Elsevier, vol. 110(2), pages 300-323.
    37. Wong, Wing-Keung & Phoon, Kok Fai & Lean, Hooi Hooi, 2008. "Stochastic dominance analysis of Asian hedge funds," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 204-223, June.
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    39. Racicot, François-Éric & Théoret, Raymond, 2019. "Hedge fund return higher moments over the business cycle," Economic Modelling, Elsevier, vol. 78(C), pages 73-97.
    40. Dandan Song & Jinqiang Yang & Zhaojun Yang, 2013. "High-Water Marks and Hedge Fund Management Contracts with Partial Information," Computational Economics, Springer;Society for Computational Economics, vol. 42(3), pages 327-350, October.
    41. Michael Busack & Wolfgang Drobetz & Jan Tille, 2017. "Can investors benefit from the performance of alternative UCITS funds?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 69-111, February.
    42. Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2019. "Hedge Fund Strategies: A non-Parametric Analysis," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201902, University of Turin.
    43. Mustafa Onur Caglayan & Sevan Ulutas, 2014. "Emerging Market Exposures and the Predictability of Hedge Fund Returns," Financial Management, Financial Management Association International, vol. 43(1), pages 149-180, March.
    44. Cyril Coste & Raphaël Douady & Ilija I. Zovko, 2011. "The Stress VaR: A New Risk Concept for Extreme Risk and Fund Allocation," Post-Print hal-00666234, HAL.
    45. Arnaud Dufays & Aristide Houndetoungan & Alain Coen, 2024. "Selective linear segmentation for detecting relevant parameter changes," Papers 2402.05329, arXiv.org.
    46. Ding, Bill & Shawky, Hany A. & Tian, Jianbo, 2009. "Liquidity shocks, size and the relative performance of hedge fund strategies," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 883-891, May.
    47. Petri Jylhä & Kalle Rinne & Matti Suominen, 2014. "Do Hedge Funds Supply or Demand Liquidity?," Review of Finance, European Finance Association, vol. 18(4), pages 1259-1298.
    48. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.
    49. Michael S. O’Doherty & N. E. Savin & Ashish Tiwari, 2016. "Evaluating Hedge Funds with Pooled Benchmarks," Management Science, INFORMS, vol. 62(1), pages 69-89, January.
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    3. Ricardo Lagos & Guillaume Rocheteau, 2008. "Liquidity in asset markets with search frictions," Staff Report 408, Federal Reserve Bank of Minneapolis.
    4. Jack Favilukis, 2007. "Inequality, Stock Market Participation, and the Equity Premium," FMG Discussion Papers dp602, Financial Markets Group.
    5. Cohen, Samuel N. & Henckel, Timo & Menzies, Gordon D. & Muhle-Karbe, Johannes & Zizzo, Daniel J., 2019. "Switching cost models as hypothesis tests," Economics Letters, Elsevier, vol. 175(C), pages 32-35.
    6. Bian, Jiangze & Su, Tie & Wang, Jun, 2022. "Non-marketability and one-day selling lockup," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 1-23.
    7. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
    8. Eduardo Dávila, 2020. "Optimal Financial Transaction Taxes," NBER Working Papers 27826, National Bureau of Economic Research, Inc.
    9. Dimitri Vayanos & Jiang Wang, 2012. "Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition," The Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1339-1365.
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    11. Martins-da-Rocha, Victor Filipe & Vailakis, Yiannis, 2008. "Endogenous Transaction Costs," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 680, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    12. Kei-Ichiro Inaba, 2018. "Liquidity and Pricing of Credit Default Swaps in Japan: Evidence from a Benchmark Index for Corporate Debt Claims," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(1), pages 111-143, August.
    13. Ricardo Lagos & Guillaume Rocheteau, 2006. "Search in asset markets," Working Papers (Old Series) 0607, Federal Reserve Bank of Cleveland.
    14. Sattar Mansi & Jianping Qi & Han Shi, 2020. "Advertising and tax avoidance," Review of Quantitative Finance and Accounting, Springer, vol. 54(2), pages 479-516, February.
    15. Antzoulatos, Angelos A., 2002. "Benchmark Yield Undershooting in the E.M.U," Discussion Paper Series 26207, Hamburg Institute of International Economics.
    16. Vayanos, Dimitri & Weill, Pierre-Olivier, 2007. "A search-based theory of the on-the-run phenomenon," LSE Research Online Documents on Economics 24474, London School of Economics and Political Science, LSE Library.
    17. Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2007. "Crashes and recoveries in illiquid markets," Working Papers (Old Series) 0708, Federal Reserve Bank of Cleveland.
    18. Pereira, João Pedro & Zhang, Harold H., 2010. "Stock Returns and the Volatility of Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 1077-1110, August.
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    76. Robert J. Elliott & Dilip B. Madan & Tak Kuen Siu, 2021. "Two price economic equilibria and financial market bid/ask prices," Annals of Finance, Springer, vol. 17(1), pages 27-43, March.
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    81. Eckbo, B Espen & Norli, Øyvind, 2005. "Liquidity Risk, Leverage and Long-Run IPO Returns," CEPR Discussion Papers 4832, C.E.P.R. Discussion Papers.
    82. Lukas Gonon & Johannes Muhle-Karbe & Xiaofei Shi, 2019. "Asset Pricing with General Transaction Costs: Theory and Numerics," Papers 1905.05027, arXiv.org, revised Apr 2020.
    83. Johnson, Timothy C., 2008. "Volume, liquidity, and liquidity risk," Journal of Financial Economics, Elsevier, vol. 87(2), pages 388-417, February.
    84. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2020. "The price effects of liquidity shocks: A study of the SEC’s tick size experiment," Journal of Financial Economics, Elsevier, vol. 138(3), pages 700-724.
    85. Isaenko, Sergei, 2010. "Portfolio choice under transitory price impact," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2375-2389, November.
    86. Lenkey, Stephen L., 2017. "Insider trading and the short-swing profit rule," Journal of Economic Theory, Elsevier, vol. 169(C), pages 517-545.
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    88. Johannes Muhle-Karbe & Xiaofei Shi & Chen Yang, 2020. "An Equilibrium Model for the Cross-Section of Liquidity Premia," Papers 2011.13625, arXiv.org.
    89. Huang, Ming, 2003. "Liquidity shocks and equilibrium liquidity premia," Journal of Economic Theory, Elsevier, vol. 109(1), pages 104-129, March.
    90. Inaba, Kei-Ichiro, 2021. "An empirical illustration of the integration of sovereign bond markets," Journal of Multinational Financial Management, Elsevier, vol. 61(C).
    91. Xue, Xiaolin & Zhang, Junrui & Yu, Yangxin, 2020. "Distracted passive institutional shareholders and firm transparency," Journal of Business Research, Elsevier, vol. 110(C), pages 347-359.
    92. Lukas Gonon & Johannes Muhle‐Karbe & Xiaofei Shi, 2021. "Asset pricing with general transaction costs: Theory and numerics," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 595-648, April.
    93. Albert Altarovici & Johannes Muhle-Karbe & Halil Soner, 2015. "Asymptotics for fixed transaction costs," Finance and Stochastics, Springer, vol. 19(2), pages 363-414, April.
    94. Takino, Kazuhiro, 2016. "An equilibrium model for the OTC derivatives market with a collateral agreement," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 41-55.
    95. Shi-Nan Cao & Jing Deng & Honggang Li, 2010. "Prospect theory and risk appetite: an application to traders’ strategies in the financial market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 5(2), pages 249-259, December.
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    107. Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamai, 2019. "Equilibrium Asset Pricing with Transaction Costs," Papers 1901.10989, arXiv.org, revised Sep 2020.
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    109. Jeffrey Ng & Tjomme O. Rusticus & Rodrigo S. Verdi, 2008. "Implications of Transaction Costs for the Post–Earnings Announcement Drift," Journal of Accounting Research, Wiley Blackwell, vol. 46(3), pages 661-696, June.

  33. Andrew W. Lo & Jiang Wang, 2001. "Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model," NBER Working Papers 8565, National Bureau of Economic Research, Inc.

    Cited by:

    1. Amir E. Khandani & Andrew W. Lo, 2008. "What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data," NBER Working Papers 14465, National Bureau of Economic Research, Inc.
    2. Azi Ben‐Rephael & Bruce I. Carlin & Zhi Da & Ryan D. Israelsen, 2021. "Information Consumption and Asset Pricing," Journal of Finance, American Finance Association, vol. 76(1), pages 357-394, February.
    3. Serge Darolles & Gaëlle Le Fol, 2014. "Trading Volume and Arbitrage," Post-Print hal-01632848, HAL.
    4. John Cotter & Enrique Salvador, 2014. "The non-linear trade-off between return and risk: a regime-switching multi-factor framework," Working Papers 201414, Geary Institute, University College Dublin.
    5. Zhang, Wei & Wang, Guanying & Wang, Xingchun & Xiong, Xiong & Lei, Xuan, 2018. "Profitability of reversal strategies: A modified version of the Carhart model in China," Economic Modelling, Elsevier, vol. 69(C), pages 26-37.
    6. Leilei Shi & Bing Han & Yingzi Zhu & Liyan Han & Yiwen Wang & Yan Piao, 2023. "Market Crowds' Trading Behaviors, Agreement Prices, and the Implications of Trading Volume," Papers 2310.05322, arXiv.org.
    7. John M. Griffin & Federico Nardari & Rene M. Stulz, 2004. "Stock Market Trading and Market Conditions," NBER Working Papers 10719, National Bureau of Economic Research, Inc.
    8. Bruno Biais & Peter Bossaerts & Chester Spatt, "undated". "Equilibrium Asset Pricing Under Heterogeneous Information," GSIA Working Papers 2003-E42, Carnegie Mellon University, Tepper School of Business.
    9. Blanka Francová, 2017. "Valuation of Government Bonds: the Exchange Rate Is an Important Aspect," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(6), pages 1911-1916.
    10. Cotter, John & Salvador, Enrique, 2022. "The non-linear trade-off between return and risk and its determinants," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 100-132.
    11. Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," Harvard Institute of Economic Research Working Papers 1977, Harvard - Institute of Economic Research.
    12. Machado, André & Lima, Fabiano Guasti, 2021. "Sell-side analyst reports and decision-maker reactions: Role of heuristics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
    13. Snigaroff, Robert & Wroblewski, David, 2021. "Earnings and liquidity factors," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 508-523.
    14. Orhan ERDEM & Evren ARIK & Serkan YÜKSEL, 2014. "Trading Puzzle, Puzzling Trade," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 29(345), pages 83-102.
    15. Martijn Cremers & Jianping Mei, 2004. "Turning Over Turnover," Yale School of Management Working Papers ysm429, Yale School of Management, revised 01 May 2008.
    16. Chen Jau-er, 2015. "Factor instrumental variable quantile regression," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 71-92, February.
    17. Yu Chen & Thomas Cosimano & Alex Himonas, 2010. "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 42(3), pages 461-503, March.
    18. Chen, Zhongdong & Craig, Karen Ann, 2023. "Active attention, retail investor base, and stock returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    19. Pascal St-Amour, 2005. "Direct Preference Wealth in Aggregate Household Portfolios," FAME Research Paper Series rp136, International Center for Financial Asset Management and Engineering.
    20. Hauser, Shmuel & Kedar-Levy, Haim, 2018. "Liquidity might come at cost: The role of heterogeneous preferences," Journal of Financial Markets, Elsevier, vol. 39(C), pages 1-23.
    21. Chang, Eric C. & Cheng, Joseph W. & Pinegar, J. Michael, 2008. "The factor structure of time-varying conditional volume," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 251-264, March.
    22. Villena, Marcelo J. & Reus, Lorenzo, 2016. "On the strategic behavior of large investors: A mean-variance portfolio approach," European Journal of Operational Research, Elsevier, vol. 254(2), pages 679-688.
    23. Taisei Kaizoji, 2013. "Modelling of Stock Returns and Trading Volume," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 147-155, July.
    24. Christopher Hrdlicka, 2022. "Trading Volume and Time Varying Betas [Alpha or beta in the eye of the beholder: what drives hedge fund flows?]," Review of Finance, European Finance Association, vol. 26(1), pages 79-116.
    25. Deqiu Chen & Yujing Ma & Xiumin Martin & Roni Michaely, 2020. "On the Fast Track: Information Acquisition Costs and Information Production," Swiss Finance Institute Research Paper Series 20-14, Swiss Finance Institute.
    26. Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross‐section of Stock Returns," Journal of Finance, American Finance Association, vol. 65(4), pages 1369-1407, August.
    27. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
    28. Malamud, Semyon & Vilkov, Grigory, 2018. "Non-myopic betas," Journal of Financial Economics, Elsevier, vol. 129(2), pages 357-381.
    29. Andrea Marcello Buffa, 2004. "Strategic Insider Trading with Imperfect Information: A Trading Volume Analysis," Rivista di Politica Economica, SIPI Spa, vol. 94(6), pages 101-143, November-.
    30. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    31. Zhaodan Huang & James B. Heian, 2010. "Trading‐Volume Shocks And Stock Returns: An Empirical Analysis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(2), pages 153-177, June.
    32. Camilleri, Silvio John & Galea, Francelle, 2019. "The Determinants of Securities Trading Activity: Evidence from four European Equity Markets," MPRA Paper 95298, University Library of Munich, Germany.
    33. Robert Snigaroff & David Wroblewski, 2023. "Consumption with earnings, liquidity, and market based models," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 501-530, February.
    34. Gaiyan Zhang, 2007. "A Model of Price, Volume, and Sequential Information," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 6(3), pages 207-223, December.
    35. Omid Sabbaghi & Navid Sabbaghi, 2014. "An empirical analysis of the Carbon Financial Instrument," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(2), pages 209-234, April.
    36. Shi, Leilei & Wang, Binghong & Guo, Xinshuai & Li, Honggang, 2021. "A price dynamic equilibrium model with trading volume weights based on a price-volume probability wave differential equation," International Review of Financial Analysis, Elsevier, vol. 74(C).
    37. Pascal St-Amour, 2005. "Direct Preference for Wealth in Aggregate Household Portfolio," Cahiers de Recherches Economiques du Département d'économie 05.04, Université de Lausanne, Faculté des HEC, Département d’économie.
    38. Robert Elliott & Tak Siu, 2015. "Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(2), pages 133-149, May.
    39. Hiroshi Konno & Yuuhei Morita & Rei Yamamoto, 2010. "A maximal predictability portfolio using absolute deviation reformulation," Computational Management Science, Springer, vol. 7(1), pages 47-60, January.
    40. Maio, Paulo & Santa-Clara, Pedro, 2012. "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, vol. 106(3), pages 586-613.
    41. Bohmann, Marc & Michayluk, David & Patel, Vinay & Walsh, Kathleen, 2019. "Liquidity and earnings in event studies: Does data granularity matter?," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 118-131.
    42. Hiren Patel, 2021. "Target Price Achievement and Target Price Accuracy Models: An Analysis of Advisory Firms’ Recommendation for the Indian Banking Stocks," Global Business Review, International Management Institute, vol. 22(2), pages 459-473, April.
    43. Alain Guéniche & Philippe Dupuy & Wan Ni Lai, 2023. "Price contingent and price-volume contingent portfolio strategies," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 173-183, May.
    44. Zhong-Guo Zhou, 2010. "The high-volume return premium: evidence from the Chinese stock market," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 295-313, October.
    45. Boyce Watkins, 2006. "Do emerging markets with consistent returns have better future performance?," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 411-422.

  34. Andrew W. Lo & Dmitry V. Repin, 2001. "The Psychophysiology of Real-Time Financial Risk Processing," NBER Working Papers 8508, National Bureau of Economic Research, Inc.

    Cited by:

    1. Falato, Antonio, 2009. "Happiness maintenance and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1247-1262, June.
    2. Anya Krivelyova & Cesare Robotti, 2003. "Playing the field: Geomagnetic storms and international stock markets," FRB Atlanta Working Paper 2003-5, Federal Reserve Bank of Atlanta.
    3. Lucy F. Ackert & Bryan K. Church & Richard Deaves, 2003. "Emotion and financial markets," Economic Review, Federal Reserve Bank of Atlanta, vol. 88(Q2), pages 33-41.
    4. Dowling, Michael & Lucey, Brian M., 2005. "Weather, biorhythms, beliefs and stock returns--Some preliminary Irish evidence," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 337-355.
    5. Lubomír Cingl, 2013. "Does Herd Behaviour Arise Easier Under Time Pressure? Experimental Approach," Prague Economic Papers, Prague University of Economics and Business, vol. 2013(4), pages 558-582.
    6. Maria Strydom & Amale Scally & John Watson, 2019. "Impact of mood and gender on individual investors’ reactions to retractions and corrections of earnings forecasts," Applied Economics, Taylor & Francis Journals, vol. 51(9), pages 941-955, February.
    7. Anderson, Irina & Thoma, Volker, 2021. "The edge of reason: A thematic analysis of how professional financial traders understand analytical decision making," European Management Journal, Elsevier, vol. 39(2), pages 304-314.
    8. Melo, L, 2010. "Earth magnetism and the economic behavior," MPRA Paper 21656, University Library of Munich, Germany.
    9. Dr. Peter Kenning & Hilke Plassmann, 2004. "NeuroEconomics," Experimental 0412005, University Library of Munich, Germany.

  35. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," NBER Working Papers 7613, National Bureau of Economic Research, Inc.

    Cited by:

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    10. Tim Bollerslev & Viktor Todorov, 2010. "Tails, Fears and Risk Premia," Working Papers 10-33, Duke University, Department of Economics.
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    22. Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2011. "Option pricing with discrete time jump processes," Documents de travail du Centre d'Economie de la Sorbonne 11037r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2012.
    23. Leiss, Matthias & Nax, Heinrich H. & Sornette, Didier, 2015. "Super-exponential growth expectations and the global financial crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 1-13.
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    15. Carl Chiarella & Tony He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Computing in Economics and Finance 2002 135, Society for Computational Economics.
    16. Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    17. J. Doyne Farmer & John Geanakoplos, 2008. "The Virtues and Vices of Equilibrium and the Future of Financial Economics," Levine's Working Paper Archive 122247000000002067, David K. Levine.
    18. Rodriguez, E. & Aguilar-Cornejo, M. & Femat, R. & Alvarez-Ramirez, J., 2014. "US stock market efficiency over weekly, monthly, quarterly and yearly time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 554-564.
    19. João Sousa & Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Eveidence from the euro area, the U.K and the U.S," NIPE Working Papers 21/2011, NIPE - Universidade do Minho.
    20. Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2020. "An evolutionary finance model with a risk-free asset," Annals of Finance, Springer, vol. 16(4), pages 593-607, December.
    21. Ghazani, Majid Mirzaee & Ebrahimi, Seyed Babak, 2019. "Testing the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the crude oil prices," Finance Research Letters, Elsevier, vol. 30(C), pages 60-68.
    22. Mushinada, Venkata Narasimha Chary, 2020. "Are individual investors irrational or adaptive to market dynamics?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 25(C).
    23. Harald A. Benink & Jose Luis Gordillo & Juan Pablo Pardo & Christopher R. Stephens, 2004. "A Study of Neo-Austrian Economics using an Artificial Stock Market," Finance 0411038, University Library of Munich, Germany.
    24. Oet, Mikhail V. & Gramlich, Dieter & Sarlin, Peter, 2016. "Evaluating measures of adverse financial conditions," Journal of Financial Stability, Elsevier, vol. 27(C), pages 234-249.
    25. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
    26. Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2007. "Sistemas complexos, criticalidade e leis de potencia," MPRA Paper 3850, University Library of Munich, Germany.
    27. Yi-Jang Yu, 2015. "Short-term Technical Predictive Ability in the Taipei Stock Market," Research in World Economy, Research in World Economy, Sciedu Press, vol. 6(2), pages 50-61, June.
    28. Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2003. "Evolutionary Stability of Portfolio Rules in Incomplete Markets," Discussion Papers 03-03, University of Copenhagen. Department of Economics.
    29. Akash P. POOJARI & Siva Kiran GUPTHA & G Raghavender RAJU, 2022. "Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(632), A), pages 61-80, Autumn.
    30. Ferreira, Paulo & Dionisio, Andreia, 2008. "The Entropic Analysis Of Electoral Results: The Case Of European Countries," MPRA Paper 9234, University Library of Munich, Germany.
    31. Alvarez-Ramirez, Jose & Rodriguez, Eduardo & Espinosa-Paredes, Gilberto, 2012. "Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5643-5647.
    32. Van Vliet, Ben, 2017. "Capability satisficing in high frequency trading," Research in International Business and Finance, Elsevier, vol. 42(C), pages 509-521.
    33. J. Doyne Farmer, 1999. "Market Force, Ecology, and Evolution," Computing in Economics and Finance 1999 651, Society for Computational Economics.
    34. Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola, 2009. "A Computational View of Market Efficiency," Papers 0908.4580, arXiv.org.
    35. Rabah Amir & Sergei Belkov & Igor Evstigneev & Thorsten Hens, 2022. "An evolutionary finance model with short selling and endogenous asset supply," Post-Print hal-02617447, HAL.
    36. Thomas Schuster, 2003. "Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media," Finance 0307014, University Library of Munich, Germany.
    37. Rothenstein, Roland & Pawelzik, Klaus, 2005. "Limited profit in predictable stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 348(C), pages 419-427.
    38. Alvarez-Ramirez, Jose & Rodriguez, Eduardo & Alvarez, Jesus, 2012. "A multiscale entropy approach for market efficiency," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 64-69.
    39. Philip V. Fellman & Jonathan Vos Post & Roxana Wright & Usha Dasari, 2007. "Adaptation and Coevolution on an Emergent Global Competitive Landscape," Papers 0707.0854, arXiv.org.
    40. Evstigneev, Igor V. & Hens, Thorsten & Schenk-Hoppé, Klaus Reiner, 2008. "Globally evolutionarily stable portfolio rules," Journal of Economic Theory, Elsevier, vol. 140(1), pages 197-228, May.
    41. Choi, Jaehyung, 2014. "Physical approach to price momentum and its application to momentum strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 61-72.

  39. Andrew Lo & Nicholas Chan & Blake LeBaron & Tomaso Poggio, 1999. "Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders," Computing in Economics and Finance 1999 653, Society for Computational Economics.

    Cited by:

    1. Shu‐Heng Chen & Shu G. Wang, 2011. "Emergent Complexity In Agent‐Based Computational Economics," Journal of Economic Surveys, Wiley Blackwell, vol. 25(3), pages 527-546, July.
    2. Shu-Heng Chan & Shu G. Wang, 2010. "Emergent Complexity in Agent-Based Computational Economics," ASSRU Discussion Papers 1017, ASSRU - Algorithmic Social Science Research Unit.

  40. Andrew W. Lo & A. Craig MacKinlay & June Zhang, 1997. "Econometric Models of Limit-Order Executions," NBER Working Papers 6257, National Bureau of Economic Research, Inc.

    Cited by:

    1. Burton Hollifield & Robert A. Miller & patrik Sandas, "undated". "An Empirical Analysis of Limit Order Markets," Rodney L. White Center for Financial Research Working Papers 29-99, Wharton School Rodney L. White Center for Financial Research.
    2. Adam Ponzi & Fabrizio Lillo & Rosario N. Mantegna, 2006. "Market reaction to temporary liquidity crises and the permanent market impact," Papers physics/0608032, arXiv.org.
    3. Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario Mantegna, 2009. "Diffusive behavior and the modeling of characteristic times in limit order executions," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 547-563.
    4. Al-Suhaibani, Mohammad & Kryzanowski, Lawrence, 2000. "An exploratory analysis of the order book, and order flow and execution on the Saudi stock market," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1323-1357, August.
    5. Jón Daníelsson & Richard Payne, 2012. "Liquidity determination in an order-driven market," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 799-821, October.
    6. Alvaro Arroyo & Alvaro Cartea & Fernando Moreno-Pino & Stefan Zohren, 2023. "Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers," Papers 2306.05479, arXiv.org.
    7. Johannes Prix & Otto Loistl & Michael Huetl, 2007. "Algorithmic Trading Patterns in Xetra Orders," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 717-739.
    8. Federico Gonzalez & Mark Schervish, 2017. "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers 1707.01167, arXiv.org, revised Oct 2017.
    9. Panayi, Efstathios & Peters, Gareth W. & Danielsson, Jon & Zigrandd, Jean-Pierre, 2018. "Designating market maker behaviour in limit order book markets," LSE Research Online Documents on Economics 90424, London School of Economics and Political Science, LSE Library.
    10. Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2003. "Anomalous waiting times in high-frequency financial data," Papers cond-mat/0310305, arXiv.org.
    11. Ainsworth, Andrew & Lee, Adrian D., 2014. "Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia," Journal of Financial Markets, Elsevier, vol. 20(C), pages 101-128.
    12. Angel Pardo & Roberto Pascual, 2012. "On the hidden side of liquidity," The European Journal of Finance, Taylor & Francis Journals, vol. 18(10), pages 949-967, November.
    13. Lo, Andrew W. & MacKinlay, A. Craig & Zhang, June, 2002. "Econometric models of limit-order executions," Journal of Financial Economics, Elsevier, vol. 65(1), pages 31-71, July.
    14. Danielsson, Jon & Saltoglu, Burak, 2003. "Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis," LSE Research Online Documents on Economics 24855, London School of Economics and Political Science, LSE Library.
    15. Hardy Johnson & Brian Roseman, 2017. "Odd Lot Order Aggressiveness And Stealth Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(2), pages 249-281, June.
    16. Damien Challet & Robin Stinchcombe, 2003. "Non-constant rates and over-diffusive prices in a simple model of limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 155-162.
    17. Alexander, Gordon J. & Peterson, Mark A., 1999. "Short Selling on the New York Stock Exchange and the Effects of the Uptick Rule," Journal of Financial Intermediation, Elsevier, vol. 8(1-2), pages 90-116, January.
    18. Juhani T. Linnainmaa, 2011. "Why Do (Some) Households Trade So Much?," The Review of Financial Studies, Society for Financial Studies, vol. 24(5), pages 1630-1666.
    19. Gao, Xuefeng & Xu, Tianrun, 2022. "Order scoring, bandit learning and order cancellations," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    20. Timoth'ee Fabre & Vincent Ragel, 2023. "Tackling the Problem of State Dependent Execution Probability: Empirical Evidence and Order Placement," Papers 2307.04863, arXiv.org.
    21. McCauley, Joseph L., 1999. "The Futility of Utility: how market dynamics marginalize Adam Smith," MPRA Paper 2163, University Library of Munich, Germany.
    22. Pagliacci, Carolina, 2006. "The Venezuelan Overnight Fund Market: Understanding a Credit Constraint Limit Order Market," MPRA Paper 106541, University Library of Munich, Germany.
    23. Yamamoto, Ryuichi, 2014. "An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 369-383.
    24. Enrico Scalas & Taisei Kaizoji & Michael Kirchler & Juergen Huber & Alessandra Tedeschi, 2006. "Waiting times between orders and trades in double-auction markets," Papers physics/0608273, arXiv.org.
    25. Yu-Sheng Hsu & Pei-Chun Chen & Cheng-Hsun Wu, 2020. "The Optimal Limit Prices of Limit Orders under an Extended Geometric Brownian Motion with Bankruptcy Risk," Mathematics, MDPI, vol. 9(1), pages 1-13, December.
    26. Harris, Lawrence E. & Panchapagesan, Venkatesh, 2005. "The information content of the limit order book: evidence from NYSE specialist trading decisions," Journal of Financial Markets, Elsevier, vol. 8(1), pages 25-67, February.
    27. Alexander, Gordon J. & Peterson, Mark A., 2002. "Implications of a Reduction in Tick Size on Short-Sell Order Execution," Journal of Financial Intermediation, Elsevier, vol. 11(1), pages 37-60, January.
    28. Chen, Yuanyuan & Gao, Xuefeng & Li, Duan, 2018. "Optimal order execution using hidden orders," Journal of Economic Dynamics and Control, Elsevier, vol. 94(C), pages 89-116.
    29. Marcelo Fernandes & Joachim Grammig, 2000. "Non-Parametric Specification Tests For Conditional Duration Models," Computing in Economics and Finance 2000 40, Society for Computational Economics.
    30. Jakša Cvitanić & Charles Plott & Chien-Yao Tseng, 2015. "Markets with random lifetimes and private values: mean reversion and option to trade," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(1), pages 1-19, April.
    31. Rossella Agliardi & Ramazan Gençay, 2017. "Optimal Trading Strategies With Limit Orders," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-16, February.
    32. Linda Ponta & Mailan Trinh & Marco Raberto & Enrico Scalas & Silvano Cincotti, 2012. "Modeling non-stationarities in high-frequency financial time series," Papers 1212.0479, arXiv.org, revised Feb 2017.
    33. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004. "Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications," IDEI Working Papers 253, Institut d'Économie Industrielle (IDEI), Toulouse.
    34. Yamamoto, Ryuichi, 2020. "Limit order submission risks, order choice, and tick size," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
    35. Ulrich Horst & Michael Paulsen, 2017. "A Law of Large Numbers for Limit Order Books," Mathematics of Operations Research, INFORMS, vol. 42(4), pages 1280-1312, November.
    36. Irwan A. Ekaputra & Chunlin Liu & S. Ghon Rhee & Hongchao Zeng, 2021. "Intraday order placement and execution in a limit order market: Evidence from the Indonesia stock market," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 404-429, June.
    37. Bidisha Chakrabarty & Zhaohui Han & Konstantin Tyurin & Xiaoyong Zheng, 2006. "A Competing Risk Analysis of Executions and Cancellations in a Limit Order Market," CAEPR Working Papers 2006-015, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    38. Esser, Angelika & Monch, Burkart, 2007. "The navigation of an iceberg: The optimal use of hidden orders," Finance Research Letters, Elsevier, vol. 4(2), pages 68-81, June.
    39. Chiu, Junmao & Chen, Chin-Ho, 2023. "Limit order revisions across investor sophistication," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 74-90.
    40. Wei‐Yu Kuo & Ching‐Ting Lin, 2018. "Trader types and fleeting orders: Evidence from Taiwan Futures Exchange," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1443-1469, December.
    41. Konstantin Tyurin, 2004. "High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market," Econometric Society 2004 North American Summer Meetings 579, Econometric Society.
    42. Paulo M.M. Rodrigues & Gabriel Zsurkis, 2020. "The expected time to cross a threshold and its determinants: A simple and flexible framework," Working Papers w202006, Banco de Portugal, Economics and Research Department.
    43. Terrence Hendershott & Ryan Riordan, 2009. "Algorithmic Trading and Information," Working Papers 09-08, NET Institute, revised Aug 2009.
    44. Hasbrouck, Joel & Saar, Gideon, 2009. "Technology and liquidity provision: The blurring of traditional definitions," Journal of Financial Markets, Elsevier, vol. 12(2), pages 143-172, May.
    45. Tristan Fletcher & John Shawe-Taylor, 2013. "Multiple Kernel Learning with Fisher Kernels for High Frequency Currency Prediction," Computational Economics, Springer;Society for Computational Economics, vol. 42(2), pages 217-240, August.
    46. Kalaitzoglou, Iordanis Angelos & Ibrahim, Boulis Maher, 2023. "Market conditions and order-type preference," International Review of Financial Analysis, Elsevier, vol. 87(C).
    47. Kaminski, Kathryn & Lo, Andrew W., 2008. "When Do Stop-Loss Rules Stop Losses?," SIFR Research Report Series 63, Institute for Financial Research.
    48. Ming-Chang Wang & Lon-Ping Zu & Chau-Jung Kuo, 2010. "Risk aversion, order strategy and price formation," Applied Economics, Taylor & Francis Journals, vol. 42(5), pages 627-640.
    49. Dan Ladley & Klaus Reiner Schenk-Hoppe, 2007. "Do Stylised Facts of Order Book Markets Need Strategic Behaviour?," Swiss Finance Institute Research Paper Series 07-20, Swiss Finance Institute.
    50. Gaël Giraud, 2004. "The limit-price exchange process," Cahiers de la Maison des Sciences Economiques b04118, Université Panthéon-Sorbonne (Paris 1).
    51. Ulrich Horst & Michael Paulsen, 2015. "A law of large numbers for limit order books," Papers 1501.00843, arXiv.org.
    52. Chris Kenyon & Jan Camenisch, 2011. "Provably linkable trading," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 641-651.
    53. Perotti, Pietro, 2010. "Order aggressiveness as a metric to assess the usefulness of accounting information," The International Journal of Accounting, Elsevier, vol. 45(3), pages 306-333, September.
    54. Anh Tu Le & Thai-Ha Le & Wai-Man Liu & Kingsley Y. Fong, 2021. "Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model," Annals of Operations Research, Springer, vol. 297(1), pages 241-275, February.
    55. Sofiene El Aoud & Frédéric Abergel, 2015. "A stochastic control approach for options market making," Post-Print hal-01061852, HAL.
    56. Kyungsub Lee & Byoung Ki Seo, 2021. "Analytic formula for option margin with liquidity costs under dynamic delta hedging," Papers 2103.15302, arXiv.org.
    57. Rose, Annica, 2014. "The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 171-184.
    58. Hendershott, Terrence & Jones, Charles M. & Menkveld, Albert J., 2008. "Does algorithmic trading improve liquidity?," CFS Working Paper Series 2008/41, Center for Financial Studies (CFS).
    59. Garvey, Ryan & Wu, Fei, 2010. "Speed, distance, and electronic trading: New evidence on why location matters," Journal of Financial Markets, Elsevier, vol. 13(4), pages 367-396, November.
    60. Lee, Kyungsub & Seo, Byoung Ki, 2017. "Marked Hawkes process modeling of price dynamics and volatility estimation," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 174-200.
    61. Bessembinder, Hendrik & Panayides, Marios & Venkataraman, Kumar, 2009. "Hidden liquidity: An analysis of order exposure strategies in electronic stock markets," Journal of Financial Economics, Elsevier, vol. 94(3), pages 361-383, December.
    62. Roberto Pascual & David Veredas, 2009. "What pieces of limit order book information matter in explaining order choice by patient and impatient traders?," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 527-545.
    63. Scalas, Enrico, 2006. "The application of continuous-time random walks in finance and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 225-239.
    64. Ciamac C. Moallemi & Mehmet Sağlam, 2013. "OR Forum---The Cost of Latency in High-Frequency Trading," Operations Research, INFORMS, vol. 61(5), pages 1070-1086, October.
    65. Garvey, Ryan & Wu, Fei, 2011. "Information, speed vs. cost trade-offs, and order routing decisions in U.S. equity markets," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 408-422, June.
    66. Alessandro Beber & Cecilia Caglio, 2005. "Order Submission Strategies and Information: Empirical Evidence from the NYSE," FAME Research Paper Series rp146, International Center for Financial Asset Management and Engineering.
    67. Naes, Randi & Skjeltorp, Johannes A., 2003. "Equity trading by institutional investors: Evidence on order submission strategies," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1779-1817, September.
    68. Wei Cui & Anthony Brabazon & Michael O'Neill, 2011. "Dynamic trade execution: a grammatical evolution approach," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 2(1/2), pages 4-31.
    69. Yoshida, Yushi & Susai, Masayuki, 2016. "Stepping out of the limit order book: Empirical evidence from the EBS FX market," MPRA Paper 70291, University Library of Munich, Germany.
    70. McCauley, Joseph L., 2000. "The futility of utility: how market dynamics marginalize Adam Smith," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(3), pages 506-538.
    71. Ban Zheng & Eric Moulines & Frédéric Abergel, 2013. "Price jump prediction in a limit order book," Post-Print hal-00684716, HAL.
    72. Danny Lo, 2015. "Essays in Market Microstructure and Investor Trading," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2015.
    73. Fong, Kingsley Y.L. & Liu, Wai-Man, 2010. "Limit order revisions," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1873-1885, August.
    74. Tseng, Yi-Heng & Chen, Shu-Heng, 2015. "Limit order book transparency and order aggressiveness at the closing call: Lessons from the TWSE 2012 new information disclosure mechanism," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 241-272.
    75. Gava, Luana, 2005. "The speed of limit order execution in the Spanish stock exchange," DEE - Working Papers. Business Economics. WB wb057718, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    76. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

  41. Bertsimas, Dimitris. & Kogan, Leonid, 1974- & Lo, Andrew W., 1997. "Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach," Working papers WP 3973-97., Massachusetts Institute of Technology (MIT), Sloan School of Management.

    Cited by:

    1. A, Bizid & Elyès Jouini & Pf. Koehl, 1997. "Pricing of Non-redundant Derivatives in a Complete Market," Working Papers 97-51, Center for Research in Economics and Statistics.
    2. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "When Is Time Continuous?," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 3, pages 71-102, World Scientific Publishing Co. Pte. Ltd..
    3. Merton, Robert C, 1998. "Applications of Option-Pricing Theory: Twenty-Five Years Later," American Economic Review, American Economic Association, vol. 88(3), pages 323-349, June.
    4. D. G. Luenberger, 2004. "Pricing a Nontradeable Asset and Its Derivatives," Journal of Optimization Theory and Applications, Springer, vol. 121(3), pages 465-487, June.
    5. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 2002. "An approximation algorithm for optimal consumption/investment problems," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 11(2), pages 55-69, April.
    6. Peter Ryan, 2000. "Tighter Option Bounds from Multiple Exercise Prices," Review of Derivatives Research, Springer, vol. 4(2), pages 155-188, May.

  42. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc.

    Cited by:

    1. A, Bizid & Elyès Jouini & Pf. Koehl, 1997. "Pricing of Non-redundant Derivatives in a Complete Market," Working Papers 97-51, Center for Research in Economics and Statistics.
    2. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "When Is Time Continuous?," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 3, pages 71-102, World Scientific Publishing Co. Pte. Ltd..
    3. Merton, Robert C, 1998. "Applications of Option-Pricing Theory: Twenty-Five Years Later," American Economic Review, American Economic Association, vol. 88(3), pages 323-349, June.
    4. D. G. Luenberger, 2004. "Pricing a Nontradeable Asset and Its Derivatives," Journal of Optimization Theory and Applications, Springer, vol. 121(3), pages 465-487, June.
    5. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 2002. "An approximation algorithm for optimal consumption/investment problems," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 11(2), pages 55-69, April.
    6. Peter Ryan, 2000. "Tighter Option Bounds from Multiple Exercise Prices," Review of Derivatives Research, Springer, vol. 4(2), pages 155-188, May.

  43. Andrew W. Lo & A. Craig MacKinlay, 1995. "Maximizing Predictability in the Stock and Bond Markets," NBER Working Papers 5027, National Bureau of Economic Research, Inc.

    Cited by:

    1. Xue, Wen-Jun & Zhang, Li-Wen, 2017. "Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models," Economic Modelling, Elsevier, vol. 60(C), pages 391-401.
    2. Antonis Demos & George Vasillelis, 2007. "U.K. Stock Market Inefficiencies and the Risk Premium," Multinational Finance Journal, Multinational Finance Journal, vol. 11(1-2), pages 97-122, March-Jun.
    3. Chih-Ling Tsai & Hansheng Wang & Ning Zhu, 2010. "Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(1), pages 109-116, February.
    4. Lin, Wen-Ling, 1995. "Market closure and predictability of intradaily stock returns in the United States and Japan," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 19-44, March.
    5. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2014. "Predictions of corporate bond excess returns," Journal of Financial Markets, Elsevier, vol. 21(C), pages 123-152.
    6. H. Konno & K. Tsuchiya & R. Yamamoto, 2007. "Minimization of the Ratio of Functions Defined as Sums of the Absolute Values," Journal of Optimization Theory and Applications, Springer, vol. 135(3), pages 399-410, December.
    7. Nuerxiati Abudurexiti & Kai He & Dongdong Hu & Svetlozar T. Rachev & Hasanjan Sayit & Ruoyu Sun, 2021. "Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models," Papers 2111.04311, arXiv.org, revised Feb 2023.
    8. Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.
    9. K. J. Martijn Cremers, 2002. "Stock Return Predictability: A Bayesian Model Selection Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1223-1249.
    10. Andrew W. Lo & Jiang Wang, 1994. "Implementing Option Pricing Models When Asset Returns Are Predictable," NBER Working Papers 4720, National Bureau of Economic Research, Inc.
    11. Andrew W. Lo & Jiang Wang, 2001. "Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model," NBER Working Papers 8565, National Bureau of Economic Research, Inc.
    12. Uppal, Raman & Kogan, Leonid, 2002. "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," CEPR Discussion Papers 3306, C.E.P.R. Discussion Papers.
    13. Jiang Wang, 2002. "Trading Volume and Asset Prices," Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 299-359, November.
    14. Meghana Ayyagari & Asli Demirgüç-Kunt & Vojislav Maksimovic, 2013. "What Determines Protection of Property Rights? An Analysis of Direct and Indirect Effects," Journal of Financial Econometrics, Oxford University Press, vol. 11(4), pages 610-649, September.
    15. Korkie, Bob & Sivakumar, Ranjini & Turtle, Harry, 2002. "The dual contributions of information instruments in return models: magnitude and direction predictability," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 511-523, December.
    16. Timmermann, Allan & Granger, Clive, 2002. "Efficient Market Hypothesis and Forecasting," CEPR Discussion Papers 3593, C.E.P.R. Discussion Papers.
    17. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," Journal of Finance, American Finance Association, vol. 55(4), pages 1705-1765, August.
    18. Wen-Jun Xue & Li-Wen Zhang, 2016. "Stock Return Autocorrelations and Predictability in the Chinese Stock Market: Evidence from Threshold Quantile Autoregressive Models," Working Papers 1605, Florida International University, Department of Economics.
    19. Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, vol. 64(3), pages 423-458, June.
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    112. Geman, Hélyette & Roncoroni, Andrea, 2003. "A Class of Marked Point Processes for Modelling Electricity Prices," ESSEC Working Papers DR 03004, ESSEC Research Center, ESSEC Business School.
    113. Monika Piazzesi, 2001. "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," NBER Working Papers 8246, National Bureau of Economic Research, Inc.
    114. Tauchen, George, 2001. "Notes on financial econometrics," Journal of Econometrics, Elsevier, vol. 100(1), pages 57-64, January.
    115. Thornton, Michael A. & Chambers, Marcus J., 2016. "The exact discretisation of CARMA models with applications in finance," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 739-761.
    116. Ram Bhar & Carl Chiarella & Wolfgang Runggaldier, 2001. "Filtering Equity Risk Premia From Derivative Prices," Research Paper Series 69, Quantitative Finance Research Centre, University of Technology, Sydney.
    117. Seungmoon Choi, 2015. "Maximum Likelihood Estimation of Continuous-Time Diffusion Models for Korean Short-Term Interest Rates," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 21(4), pages 28-58, December.
    118. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    119. Faff, Robert & Gray, Philip, 2006. "On the estimation and comparison of short-rate models using the generalised method of moments," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3131-3146, November.
    120. Olavi Rantala, 1992. "An econometric diffusion model of exchange rate movements within a band : implications for interest rate differential and credibility of exchange rate policy," Finnish Economic Papers, Finnish Economic Association, vol. 5(2), pages 98-109, Autumn.
    121. Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2009. "Modelling Multivariate Interest Rates using Time-Varying Copulas and Reducible Non-Linear Stochastic Differential," Economics Working Papers 09-02, Queen's Management School, Queen's University Belfast.
    122. Carl Chiarella & Thuy-Duong To, 2005. "The Multifactor Nature of the Volatility of the Eurodollar Futures Market," Research Paper Series 150, Quantitative Finance Research Centre, University of Technology, Sydney.
    123. Vanden, Joel M., 2005. "Equilibrium analysis of volatility clustering," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 374-417, June.
    124. Chacko, George & Viceira, Luis M., 2003. "Spectral GMM estimation of continuous-time processes," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 259-292.

  55. Andrew Lo & Craig A. Mackinlay, "undated". "When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001)," Rodney L. White Center for Financial Research Working Papers 4-89, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Wan, Jer-Yuh & Kao, Chung-Wei, 2009. "Evidence on the contrarian trading in foreign exchange markets," Economic Modelling, Elsevier, vol. 26(6), pages 1420-1431, November.

  56. Yacine Aït-Sahalia & Andrew W. Lo, "undated". "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," CRSP working papers 332, Center for Research in Security Prices, Graduate School of Business, University of Chicago.

    Cited by:

    1. Clement, E. & Gourieroux, C. & Monfort, A., 2000. "Econometric specification of the risk neutral valuation model," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 117-143.
    2. Peng Cheng & Olivier Scaillet, 2002. "Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility," FAME Research Paper Series rp67, International Center for Financial Asset Management and Engineering.
    3. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," Center for Financial Institutions Working Papers 97-37, Wharton School Center for Financial Institutions, University of Pennsylvania.
    4. F. Fornari & A. Mele, 2000. "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," THEMA Working Papers 2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    5. Jondeau, Eric & Rockinger, Michael, 1998. "Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities," CEPR Discussion Papers 2009, C.E.P.R. Discussion Papers.
    6. Campa, J.M. & Chang, P.H.K., 1995. "The Forecasting Ability of Correlations Implied in Foreign Exchange Options," Papers 95-26, Columbia - Graduate School of Business.
    7. Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers 96s-24, CIRANO.
    8. Guidolin, Massimo & Timmermann, Allan, 2003. "Option prices under Bayesian learning: implied volatility dynamics and predictive densities," Journal of Economic Dynamics and Control, Elsevier, vol. 27(5), pages 717-769, March.
    9. Ait-Sahalia, Yacine & Duarte, Jefferson, 2003. "Nonparametric option pricing under shape restrictions," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 9-47.
    10. Joe Akira Yoshino, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, vol. 6, pages 385-403, November.
    11. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
    12. Joshua V. Rosenberg, 2003. "Nonparametric pricing of multivariate contingent claims," Staff Reports 162, Federal Reserve Bank of New York.
    13. Dumas, Bernard J & Fleming, Jeff & Whaley, Robert E, 1996. "Implied Volatility Functions: Empirical Tests," CEPR Discussion Papers 1369, C.E.P.R. Discussion Papers.
    14. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-079, New York University, Leonard N. Stern School of Business-.
    15. Gabriele Fiorentini & Angel León & Gonzalo Rubio, "undated". "Short-term options with stochastic volatility: Estimation and empirical performance," Studies on the Spanish Economy 02, FEDEA.
    16. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society.
    17. Alonso, Francisco & Blanco, Roberto & Rubio Irigoyen, Gonzalo, 2005. "Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    18. Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers 96s-26, CIRANO.
    19. Christoffersen, Peter & Heston, Steve & Jacobs, Kris, 2006. "Option valuation with conditional skewness," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 253-284.
    20. Rama CONT, 1998. "Beyond implied volatility: extracting information from option prices," Finance 9804002, University Library of Munich, Germany.
    21. Bhupinder Bahra, 1997. "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England.
    22. Vladislav Kargin, 2003. "Consistent Estimation of Pricing Kernels from Noisy Price Data," Finance 0311001, University Library of Munich, Germany.
    23. GARCIA, René & RENAULT, Éric, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Cahiers de recherche 9801, Universite de Montreal, Departement de sciences economiques.
    24. Liuren Wu, 2006. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1445-1474, May.
    25. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society.
    26. Balbás, Alejandro & López, Susana, 2001. "Financial innovation and arbitrage in the Spanish bond market," DEE - Working Papers. Business Economics. WB wb010101, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    27. GHYSELS, Eric & PATILEA, Valentin & RENAULT, Eric & TORRES, Olivier, 1997. "Nonparametric methods and option pricing," LIDAM Discussion Papers CORE 1997075, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    28. Alexey MEDVEDEV & Olivier SCAILLET, 2004. "A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics," FAME Research Paper Series rp93, International Center for Financial Asset Management and Engineering.
    29. Kazuhiko NISHINA & Tatsuro Nabil MAGHREBI & Moo-Sung KIM, 2006. "Stock Market Volatility And The Forecasting Accuracy Of Implied Volatility Indices," Discussion Papers in Economics and Business 06-09, Osaka University, Graduate School of Economics.
    30. Perotti, Enrico & Driessen, Joost, 2004. "Confidence Building on Euro Conversion: Theory and Evidence from Currency Options," CEPR Discussion Papers 4180, C.E.P.R. Discussion Papers.
    31. Jose M. Campa & P.H. Kevin Chang & Robert L. Reider, 1997. "Implied Exchange Rate Distributions: Evidence from OTC Option Markets," NBER Working Papers 6179, National Bureau of Economic Research, Inc.
    32. Joshua Rosenberg, 2000. "Asset Pricing Puzzles: Evidence from Options Markets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-025, New York University, Leonard N. Stern School of Business-.
    33. Marie Briere, 2006. "Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles," Working Papers CEB 38, ULB -- Universite Libre de Bruxelles.
    34. Christoffersen, Peter & Jacobs, Kris, 2004. "The importance of the loss function in option valuation," Journal of Financial Economics, Elsevier, vol. 72(2), pages 291-318, May.
    35. William R. Melick & Charles P. Thomas, 1996. "Using options prices to infer PDF'S for asset prices: an application to oil prices during the Gulf crisis," International Finance Discussion Papers 541, Board of Governors of the Federal Reserve System (U.S.).
    36. Bruce Mizrach, 2002. "When Did The Smart Money in Enron Lose Its' Smirk?," Departmental Working Papers 200224, Rutgers University, Department of Economics.
    37. Joshua Rosenberg, 1999. "Implied Volatility Functions: A Reprise," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-027, New York University, Leonard N. Stern School of Business-.
    38. Jose M. Campa & P.H. Kevin Chang & James F. Refalo, 1999. "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1997," NBER Working Papers 6929, National Bureau of Economic Research, Inc.
    39. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," Alea Tech Reports 010, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    40. Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Working papers 47, Banque de France.
    41. René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO.
    42. Mondher Bellalah & Marc Lavielle, 2002. "A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(2), pages 99-130, June.
    43. Peter A. Abken & Saikat Nandi, 1996. "Options and volatility," Economic Review, Federal Reserve Bank of Atlanta, vol. 81(Dec), pages 21-35.
    44. Michael P. Leahy & Charles P. Thomas, 1996. "The sovereignty option: the Quebec referendum and market views on the Canadian dollar," International Finance Discussion Papers 555, Board of Governors of the Federal Reserve System (U.S.).
    45. Joshua Rosenberg, 1999. "Semiparametric Pricing of Multivariate Contingent Claims," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-028, New York University, Leonard N. Stern School of Business-.
    46. Campa, Jose M. & Chang, P. H. Kevin & Reider, Robert L., 1998. "Implied exchange rate distributions: evidence from OTC option markets1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 117-160, February.
    47. Kazuhiko Nishina & Nabil Maghrebi & Mark J. Holmes, 2006. "Are Volatility Expectations Characterized By Regime Shifts? Evidence From Implied Volatility Indices," Discussion Papers in Economics and Business 06-20, Osaka University, Graduate School of Economics.
    48. Yacine Ait-Sahalia & Robert Kimmel, 2004. "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers 10579, National Bureau of Economic Research, Inc.
    49. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns," Monash Econometrics and Business Statistics Working Papers 4/02, Monash University, Department of Econometrics and Business Statistics.
    50. Bronka Rzepkowski, 2000. "The Expectations of Hong Kong Dollar Devaluation and Their Determinants," Working Papers 2000-04, CEPII research center.

  57. Andrew W. Lo & Craig A. MacKinlay, "undated". "Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87)," Rodney L. White Center for Financial Research Working Papers 05-87, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Subrata Roy, 2020. "Stock Market Asymmetry and Investors’ Sensation on Prime Minister: Indian Evidence," Jindal Journal of Business Research, , vol. 9(2), pages 148-161, December.
    2. Juan Jose Echavarria & Mauricio Villamizar-Villegas, 2016. "Great expectations? evidence from Colombia’s exchange rate survey," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 25(1), pages 1-27, December.
    3. Claude Diebolt & Mohamed Chikhi, 2021. "Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation," Working Papers 09-21, Association Française de Cliométrie (AFC).
    4. Ben Moews & J. Michael Herrmann & Gbenga Ibikunle, 2018. "Lagged correlation-based deep learning for directional trend change prediction in financial time series," Papers 1811.11287, arXiv.org, revised Nov 2018.
    5. Durlauf, Steven N. & Hall, Robert E., 1988. "Bounds on the Variances of Specification Errors in Models with Expectations," CEPR Publications 244420, Stanford University, Center for Economic Policy Research.
    6. Takatoshi Ito & V. Vance Roley, 1988. "Intraday yen/dollar exchange rate movements: news or noise?," Research Working Paper 88-07, Federal Reserve Bank of Kansas City.
    7. Matheus José Silva de Souza & Danilo Guimarães Franco Ramos & Marina Garcia Pena & Vinicius Amorim Sobreiro & Herbert Kimura, 2018. "Examination of the profitability of technical analysis based on moving average strategies in BRICS," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-18, December.

  58. Jerry A. Hausman & Andrew W. Lo & Craig A. MacKinlay, "undated". "An Ordered Probit Analysis of Transaction Stock Prices (Reprint 029)," Rodney L. White Center for Financial Research Working Papers 26-91, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
    2. Debdulal Thakur & Shrabani Mukherjee, 2016. "Parents’ Choice Function for Wards’ School Continuation in Rural India: A Case Study in West Bengal," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 10(1), pages 119-142, February.
    3. Mi Yung Yoon, 1997. "Explaining U.S. Intervention in Third World Internal Wars, 1945-1989," Journal of Conflict Resolution, Peace Science Society (International), vol. 41(4), pages 580-602, August.
    4. Ghysels, E. & Jasiak, J., 1994. "Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects," Cahiers de recherche 9403, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    5. Shrabani Mukherjee, 2015. "Entrepreneurial Choice of Investment Capital for House-based Industries," Review of Market Integration, India Development Foundation, vol. 7(3), pages 214-241, December.
    6. Koopman, S.J.M. & Lai, H.N., 1998. "Modelling bid-ask spreads in competitive dealership markets," Discussion Paper 1998-032, Tilburg University, Center for Economic Research.
    7. Stephan Grimm & Thomas Guhr, 2018. "How spread changes affect the order book: Comparing the price responses of order deletions and placements to trades," Papers 1812.09067, arXiv.org.
    8. Stephan Grimm & Thomas Guhr, 2019. "How spread changes affect the order book: comparing the price responses of order deletions and placements to trades," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 92(6), pages 1-11, June.
    9. González, M. & Minguez, R., 2005. "The Method Of Simulated Maximum Likelihood For The Estimaton Of Dynamic Ordered Probit: An Application To Country-Risk For Non-Developed Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(3), pages 99-133.

  59. Joseph G. Haubrich & Andrew W. Lo, "undated". "The Sources and Nature of Long-Term Memory in the Business Cycle," Rodney L. White Center for Financial Research Working Papers 5-89, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Kenneth D. West & Dongchul Cho, 1994. "The Predictive Ability of Several Models of Exchange Rate Volatility," NBER Technical Working Papers 0152, National Bureau of Economic Research, Inc.
    2. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?," Working Papers halshs-00559170, HAL.
    3. Yin-Wong Cheung & Francis X. Diebold, 1993. "On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean," Working Papers 93-5, Federal Reserve Bank of Philadelphia.
    4. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    5. Peter C.B. Phillips & Mico Loretan, 1990. "Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns," Cowles Foundation Discussion Papers 947, Cowles Foundation for Research in Economics, Yale University.
    6. Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    7. Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility," Papers 89-02, Rochester, Business - General.
    8. Joseph G. Haubrich, 1990. "Consumption and fractional differencing: old and new anomalies," Working Papers (Old Series) 9010, Federal Reserve Bank of Cleveland.
    9. Silverberg, G. & Verspagen, Bart, 1999. "Long Memory in Time Series of Economic Growth and Convergence," Working Papers 99.8, Eindhoven Center for Innovation Studies.
    10. Silverberg, Gerald & Verspagen, Bart, 2000. "A Note on Michelacci and Zaffaroni, Long Memory, and Time Series of Economic Growth," Research Memorandum 031, Maastricht University, Maastricht Economic Research Institute on Innovation and Technology (MERIT).
    11. Comte, F. & Renault, E., 1996. "Long memory continuous time models," Journal of Econometrics, Elsevier, vol. 73(1), pages 101-149, July.
    12. Pérez, Ana & Ruiz Ortega, Esther, 2001. "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. Estadística y Econometría. DS ds010101, Universidad Carlos III de Madrid. Departamento de Estadística.
    13. David K. Backus & Stanley E. Zin, 1993. "Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," NBER Technical Working Papers 0133, National Bureau of Economic Research, Inc.
    14. John Okunev & Pat Wilson, 1996. "Fractional Co-Integration in Domestic and International Real Estate and Stock Markets," Working Paper Series 65, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    15. Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July.
    16. Liu, Ming, 2000. "Modeling long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 99(1), pages 139-171, November.
    17. Zaffaroni, Paolo, 2004. "Contemporaneous aggregation of linear dynamic models in large economies," Journal of Econometrics, Elsevier, vol. 120(1), pages 75-102, May.
    18. Dominique, C-René & Rivera-Solis, Luis Eduardo, 2011. "Mixed fractional Brownian motion, short and long-term Dependence and economic conditions: the case of the S&P-500 Index," MPRA Paper 34860, University Library of Munich, Germany.
    19. Gil-Alana, Luis A. & Yaya, OlaOluwa S & Shittu, Olanrewaju I, 2014. "GDP Per Capita in Africa before the Global Financial Crisis: Persistence, Mean Reversion and Long Memory Features," MPRA Paper 88758, University Library of Munich, Germany.
    20. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
    21. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.

  60. Andrew W. Lo & Craig A. MacKinlay, "undated". "Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revision of 5-87)," Rodney L. White Center for Financial Research Working Papers 29-87, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Subrata Roy, 2020. "Stock Market Asymmetry and Investors’ Sensation on Prime Minister: Indian Evidence," Jindal Journal of Business Research, , vol. 9(2), pages 148-161, December.
    2. Juan Jose Echavarria & Mauricio Villamizar-Villegas, 2016. "Great expectations? evidence from Colombia’s exchange rate survey," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 25(1), pages 1-27, December.
    3. Claude Diebolt & Mohamed Chikhi, 2021. "Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation," Working Papers 09-21, Association Française de Cliométrie (AFC).
    4. Ben Moews & J. Michael Herrmann & Gbenga Ibikunle, 2018. "Lagged correlation-based deep learning for directional trend change prediction in financial time series," Papers 1811.11287, arXiv.org, revised Nov 2018.
    5. Matheus José Silva de Souza & Danilo Guimarães Franco Ramos & Marina Garcia Pena & Vinicius Amorim Sobreiro & Herbert Kimura, 2018. "Examination of the profitability of technical analysis based on moving average strategies in BRICS," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-18, December.

  61. Andrew W. Lo & Craig A. MacKinlay, "undated". "A Simple Specification Test of the Random Walk Hypothesis," Rodney L. White Center for Financial Research Working Papers 13-87, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.

  62. Andrew W. Lo, "undated". "Logit Versus Discriminant Analysis: A Specification Test," Rodney L. White Center for Financial Research Working Papers 11-85, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Selcuk Caner & Mehmet Baha Karan, 2012. "Screening Creditworthiness of SME's: The Case of Small Business Assistance in Turkey," Multinational Finance Journal, Multinational Finance Journal, vol. 16(1-2), pages 1-20, March - J.
    2. Oscar Martínez A., 2003. "Determinantes de Fragilidad en las Empresas Colombianas," Borradores de Economia 259, Banco de la Republica de Colombia.
    3. Hamerle, Alfred & Liebig, Thilo & Rösch, Daniel, 2003. "Credit Risk Factor Modeling and the Basel II IRB Approach," Discussion Paper Series 2: Banking and Financial Studies 2003,02, Deutsche Bundesbank.
    4. Стайков, Ивайло, 2007. "Антидискриминационни Аспекти На Колективното Трудово Договаряне [Anti-discrimination aspects of collective bargaining]," MPRA Paper 107232, University Library of Munich, Germany.
    5. Mehmet Karan & Aydın Ulucan & Mustafa Kaya, 2013. "Credit risk estimation using payment history data: a comparative study of Turkish retail stores," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 21(2), pages 479-494, March.

  63. Andrew W. Lo & Craig A. MacKinlay, "undated". "Data Snooping Biases in Tests of Financial Asset Pricing Models (Reprint 002)," Rodney L. White Center for Financial Research Working Papers 21-89, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Ray Ball, 1990. "Discussion of “Specification problems with information content of earnings: Revisions and rationality of expectations and self†selection bias†," Contemporary Accounting Research, John Wiley & Sons, vol. 7(1), pages 178-184, September.

Articles

  1. Moshe Levy & Andrew W. Lo, 2022. "Hamilton’s rule in economic decision-making," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 119(16), pages 2108590119-, April.

    Cited by:

    1. Flüter-Hoffmann, Christiane & Traub, Patricia, 2023. "Menschen mit Behinderungen im Homeoffice: Erleichterung für die Inklusion? Eine Gegenüberstellung von Deutschland und einigen angelsächsischen Ländern," IW-Reports 10/2023, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
    2. Moshe Levy, 2022. "An evolutionary explanation of the Allais paradox," Journal of Evolutionary Economics, Springer, vol. 32(5), pages 1545-1574, November.

  2. Nihal Koduri & Andrew W. Lo, 2021. "The origin of cooperation," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 118(26), pages 2015572118-, June.

    Cited by:

    1. Ennio Bilancini & Leonardo Boncinelli & Eugenio Vicario, 2022. "Assortativity in cognition," Papers 2205.15114, arXiv.org.

  3. Andrew W Lo & Katherine P Marlowe & Ruixun Zhang, 2021. "To maximize or randomize? An experimental study of probability matching in financial decision making," PLOS ONE, Public Library of Science, vol. 16(8), pages 1-20, August.

    Cited by:

    1. Tuoyuan Cheng & Kan Chen, 2023. "A General Framework for Portfolio Construction Based on Generative Models of Asset Returns," Papers 2312.03294, arXiv.org.
    2. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).

  4. Bandi, Federico M. & Chaudhuri, Shomesh E. & Lo, Andrew W. & Tamoni, Andrea, 2021. "Spectral factor models," Journal of Financial Economics, Elsevier, vol. 142(1), pages 214-238.

    Cited by:

    1. Thomas Conlon & John Cotter & Chenglu Jin, 2019. "Co-skewness across Return Horizons," Working Papers 201910, Geary Institute, University College Dublin.
    2. Louis R. Piccotti, 2022. "Portfolio returns and consumption growth covariation in the frequency domain, real economic activity, and expected returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 513-549, September.
    3. Dickerson, Alexander & Mueller, Philippe & Robotti, Cesare, 2023. "Priced risk in corporate bonds," Journal of Financial Economics, Elsevier, vol. 150(2).
    4. Jozef Barunik & Josef Kurka, 2021. "Risks of heterogeneously persistent higher moments," Papers 2104.04264, arXiv.org, revised Mar 2024.
    5. Simone Cerreia-Vioglio & Fulvio Ortu & Federico Severino & Claudio Tebaldi, 2023. "Multivariate Wold decompositions: a Hilbert A-module approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 46(1), pages 45-96, June.
    6. Ben-Rephael, Azi & Cookson, J. Anthony & izhakian, yehuda, 2022. "Trading, Ambiguity and Information in the Options Market," SocArXiv ewunv, Center for Open Science.
    7. Vaclav Broz & Evzen Kocenda, 2020. "Mortgage-related bank penalties and systemic risk among U.S. banks," KIER Working Papers 1024, Kyoto University, Institute of Economic Research.
    8. Kais Tissaoui & Ilyes Abidi & Nadia Azibi & Mariem Nsaibi, 2024. "Spillover Effects between Crude Oil Returns and Uncertainty: New Evidence from Time-Frequency Domain Approaches," Energies, MDPI, vol. 17(2), pages 1-24, January.
    9. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2022. "Long-memory and volatility spillovers across petroleum futures," Energy, Elsevier, vol. 243(C).
    10. Jozef Barunik & Lukas Vacha, 2024. "Forecasting Volatility of Oil-based Commodities: The Model of Dynamic Persistence," Papers 2402.01354, arXiv.org.

  5. Andrew W. Lo, 2021. "Can Financial Economics Cure Cancer?," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 49(1), pages 3-21, March.

    Cited by:

    1. Lo, Andrew W. & Thakor, Richard T., 2023. "Financial intermediation and the funding of biomedical innovation: A review," Journal of Financial Intermediation, Elsevier, vol. 54(C).
    2. Costa, Evaldo & Rodrigues Teixeira, Ana Carolina & Silva Costa, Suellen Caroline & Consoni, Flavia L., 2022. "Influence of public policies on the diffusion of wind and solar PV sources in Brazil and the possible effects of COVID-19," Renewable and Sustainable Energy Reviews, Elsevier, vol. 162(C).

  6. Andrew W. Lo, 2020. "Robert C. Merton: The First Financial Engineer," Annual Review of Financial Economics, Annual Reviews, vol. 12(1), pages 1-18, December.

    Cited by:

    1. Li, Jiaqi, 2023. "Predicting the demand for central bank digital currency: A structural analysis with survey data," Journal of Monetary Economics, Elsevier, vol. 134(C), pages 73-85.

  7. Winston W. Dou & Andrew W. Lo & Ameya Muley & Harald Uhlig, 2020. "Macroeconomic Models for Monetary Policy: A Critical Review from a Finance Perspective," Annual Review of Financial Economics, Annual Reviews, vol. 12(1), pages 95-140, December.

    Cited by:

    1. F Boissay & F Collard & J Galí & C Manea, 2022. "Monetary Policy and Endogenous Financial Crises," Working Papers hal-03763108, HAL.
    2. Frédéric Boissay & Fabrice Collard & Jordi Galí & Cristina Manea, 2022. "Monetary Policy and Endogenous Financial Crises," Working Papers hal-03509283, HAL.
    3. Olkhov, Victor, 2022. "Economic Policy - the Forth Dimension of the Economic Theory," MPRA Paper 112685, University Library of Munich, Germany.
    4. Li, Zehao, 2022. "Financial intermediary leverage and monetary policy transmission," European Economic Review, Elsevier, vol. 144(C).
    5. Frédéric Boissay & Fabrice Collard & Jordi Gali & Cristina Manea, 2023. "Monetary Policy and Endogenous Financial Crises," Working Papers hal-03917780, HAL.
    6. Tobias Mueller & Steven Gronau, 2023. "Fostering Macroeconomic Research on Hydrogen-Powered Aviation: A Systematic Literature Review on General Equilibrium Models," Energies, MDPI, vol. 16(3), pages 1-33, February.
    7. Frederic Boissay & Fabrice Collard & Jordi Galí & Cristina Manea, 2021. "Monetary Policy and Endogenous Financial Crises," Working Papers 1308, Barcelona School of Economics.

  8. Isakov, Leah & Lo, Andrew W. & Montazerhodjat, Vahid, 2019. "Is the FDA too conservative or too aggressive?: A Bayesian decision analysis of clinical trial design," Journal of Econometrics, Elsevier, vol. 211(1), pages 117-136.
    See citations under working paper version above.
  9. Charles Cao & Bing Liang & Andrew W Lo & Lubomir Petrasek, 2018. "Hedge Fund Holdings and Stock Market Efficiency," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 8(1), pages 77-116.
    See citations under working paper version above.
  10. Thomas J. Brennan & Andrew W. Lo & Ruixun Zhang, 2018. "Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 1-39, September.

    Cited by:

    1. Songjia Fan & Yi Tao & Cong Li, 2022. "Evolutionary rationality of risk preference," Papers 2206.09813, arXiv.org.
    2. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    3. Richard Sias & Laura Starks & Harry J. Turtle, 2020. "Molecular Genetics, Risk Aversion, Return Perceptions, and Stock Market Participation," NBER Working Papers 27638, National Bureau of Economic Research, Inc.

  11. Andrew W. Lo & H. Allen Orr & Ruixun Zhang, 2018. "The growth of relative wealth and the Kelly criterion," Journal of Bioeconomics, Springer, vol. 20(1), pages 49-67, April.

    Cited by:

    1. Igor V. Evstigneev & Thorsten Hens & Valeriya Potapova & Klaus Reiner Schenk-Hoppé, 2020. "Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets," Swiss Finance Institute Research Paper Series 20-19, Swiss Finance Institute.
    2. Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2020. "An evolutionary finance model with a risk-free asset," Annals of Finance, Springer, vol. 16(4), pages 593-607, December.
    3. Chung-Han Hsieh, 2022. "On Solving Robust Log-Optimal Portfolio: A Supporting Hyperplane Approximation Approach," Papers 2202.03858, arXiv.org.
    4. Mu-En Wu & Jia-Hao Syu & Chien-Ming Chen, 2022. "Kelly-Based Options Trading Strategies on Settlement Date via Supervised Learning Algorithms," Computational Economics, Springer;Society for Computational Economics, vol. 59(4), pages 1627-1644, April.
    5. Thomas J. Brennan & Andrew W. Lo & Ruixun Zhang, 2018. "Variety Is the Spice of Life: Irrational Behavior as Adaptation to Stochastic Environments," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 1-39, September.
    6. Rabah Amir & Sergei Belkov & Igor Evstigneev & Thorsten Hens, 2022. "An evolutionary finance model with short selling and endogenous asset supply," Post-Print hal-02617447, HAL.
    7. Chung-Han Hsieh, 2021. "On Asymptotic Log-Optimal Buy-and-Hold Strategy," Papers 2103.04898, arXiv.org.
    8. I. V. Evstigneev & T. Hens & M. J. Vanaei, 2023. "Evolutionary finance: a model with endogenous asset payoffs," Journal of Bioeconomics, Springer, vol. 25(2), pages 117-143, August.
    9. Chung-Han Hsieh, 2020. "Necessary and Sufficient Conditions for Frequency-Based Kelly Optimal Portfolio," Papers 2004.12099, arXiv.org.

  12. Charles Cao & Grant Farnsworth & Bing Liang & Andrew W. Lo, 2017. "Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform," Management Science, INFORMS, vol. 63(7), pages 2233-2250, July.

    Cited by:

    1. Kim, Tae Yoon & Lee, Hee Soo, 2018. "Does your hedge fund manager smooth returns intentionally or inadvertently?," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 33-40.

  13. Andrew W. Lo, 2016. "The Gordon Gekko effect: the role of culture in the financial industry," Economic Policy Review, Federal Reserve Bank of New York, issue Aug, pages 17-42.
    See citations under working paper version above.
  14. Butaru, Florentin & Chen, Qingqing & Clark, Brian & Das, Sanmay & Lo, Andrew W. & Siddique, Akhtar, 2016. "Risk and risk management in the credit card industry," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 218-239.
    See citations under working paper version above.
  15. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    See citations under working paper version above.
  16. Kaminski, Kathryn M. & Lo, Andrew W., 2014. "When do stop-loss rules stop losses?," Journal of Financial Markets, Elsevier, vol. 18(C), pages 234-254.
    See citations under working paper version above.
  17. Cao, Charles & Chen, Yong & Liang, Bing & Lo, Andrew W., 2013. "Can hedge funds time market liquidity?," Journal of Financial Economics, Elsevier, vol. 109(2), pages 493-516.

    Cited by:

    1. Polk, Christopher & Lou, Dong & Huang, Shiyang, 2016. "The Booms and Busts of Beta Arbitrage," CEPR Discussion Papers 11531, C.E.P.R. Discussion Papers.
    2. Dupret, Jean-Loup & Hainaut, Donatien, 2023. "A fractional Hawkes process for illiquidity modeling," LIDAM Discussion Papers ISBA 2023001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Frank, Murray Z. & Nezafat, Mahdi, 2019. "Testing the credit-market-timing hypothesis using counterfactual issuing dates," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 187-207.
    4. Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.
    5. Charles Cao & Grant Farnsworth & Hong Zhang, 2021. "The Economics of Hedge Fund Startups: Theory and Empirical Evidence," Journal of Finance, American Finance Association, vol. 76(3), pages 1427-1469, June.
    6. Campbell R. Harvey & Yan Liu, 2022. "Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence," Journal of Finance, American Finance Association, vol. 77(3), pages 1921-1966, June.
    7. Wattanatorn, Woraphon & Padungsaksawasdi, Chaiyuth, 2020. "Coskewness timing ability in the mutual fund industry," Research in International Business and Finance, Elsevier, vol. 53(C).
    8. Vikas Agarwal & Stefan Ruenzi & Florian Weigert, 2018. "Unobserved Performance of Hedge Funds," Working Papers on Finance 1825, University of St. Gallen, School of Finance.
    9. Jung‐Soon Shin & Minki Kim & Dongjun Oh & Tong Suk Kim, 2019. "Do hedge funds time market tail risk? Evidence from option‐implied tail risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 205-237, February.
    10. Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017. "Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds," Working Papers 17-07, Office of Financial Research, US Department of the Treasury.
    11. Wang, Xiaoxiao, 2023. "Bank affiliation and mutual funds’ trading strategy distinctiveness," International Review of Financial Analysis, Elsevier, vol. 88(C).
    12. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
    13. Xi Dong & Shu Feng & Ronnie Sadka, 2019. "Liquidity Risk and Mutual Fund Performance," Management Science, INFORMS, vol. 65(3), pages 1020-1041, March.
    14. Daniel Barth & Phillip Monin, 2020. "Illiquidity in Intermediate Portfolios: Evidence from Large Hedge Funds," Working Papers 20-03, Office of Financial Research, US Department of the Treasury.
    15. Mahfooz Alam & Valeed Ahmad Ansari, 2020. "Mutual fund managers’ market timing abilities: Indian evidence," Journal of Asset Management, Palgrave Macmillan, vol. 21(4), pages 342-354, July.
    16. Sebastian Bunnenberg & Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2019. "Jensen's alpha and the market‐timing puzzle," Review of Financial Economics, John Wiley & Sons, vol. 37(2), pages 234-255, April.
    17. Kim, Donghyun & Li, Chengcheng & Wang, Xiaoqiong, 2023. "Liquidity Dry-ups in equity markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
    18. George O. Aragon & Ji-Woong Chung & Byoung Uk Kang, 2023. "Do Prime Brokers Matter in the Search for Informed Hedge Fund Managers?," Management Science, INFORMS, vol. 69(8), pages 4932-4952, August.
    19. Maria Ludovica Drudi & Giulio Carlo Venturi, 2023. "Assessing the liquidity premium in the Italian bond market," Questioni di Economia e Finanza (Occasional Papers) 795, Bank of Italy, Economic Research and International Relations Area.
    20. Petri Jylhä & Kalle Rinne & Matti Suominen, 2014. "Do Hedge Funds Supply or Demand Liquidity?," Review of Finance, European Finance Association, vol. 18(4), pages 1259-1298.
    21. Huang, Shiyang & Liu, Xin & Lou, Dong & Polk, Christopher, 2023. "The booms and busts of beta arbitrage," LSE Research Online Documents on Economics 120807, London School of Economics and Political Science, LSE Library.
    22. Julio A. Crego & Julio Gálvez, 2021. "Brexit: Cyclical dependence in market neutral hedge funds," Working Papers 2141, Banco de España.
    23. Ma, Tianyi & Tee, Kai-Hong & Li, Baibing, 2022. "Timing the volatility risk of beta anomaly: Evidence from hedge fund strategies," International Review of Financial Analysis, Elsevier, vol. 81(C).
    24. Efe Cotelioglu & Francesco A. Franzoni & Alberto Plazzi, 2013. "What Constrains Liquidity Provision? Evidence From Hedge Fund Trades," Swiss Finance Institute Research Paper Series 13-10, Swiss Finance Institute.
    25. Zheng, Yao & Osmer, Eric & Zhang, Ruiyi, 2018. "Sentiment hedging: How hedge funds adjust their exposure to market sentiment," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 147-160.
    26. Ni, Zhongxin & Wang, Linyu & Li, Weishu, 2021. "Do fund managers time implied tail risk? — Evidence from Chinese mutual funds," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    27. He, Xiufen & Liu, Yunong & Rehman, Ali & Wang, Li, 2021. "A novel air separation unit with energy storage and generation and its energy efficiency and economy analysis," Applied Energy, Elsevier, vol. 281(C).
    28. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2019. "Upside potential of hedge funds as a predictor of future performance," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 212-229.
    29. Denitsa Stefanova & Arjen Siegmann, 2014. "The Evolving Beta-Liquidity Relationship of Hedge Funds," LSF Research Working Paper Series 14-12, Luxembourg School of Finance, University of Luxembourg.
    30. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Journal of Finance, American Finance Association, vol. 75(5), pages 2503-2553, October.
    31. DeLisle, R. Jared & McTier, Brian C. & Smedema, Adam R., 2016. "Systematic limited arbitrage and the cross-section of stock returns: Evidence from exchange traded funds," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 118-136.
    32. Wattanatorn, Woraphon & Padungsaksawasdi, Chaiyuth & Chunhachinda, Pornchai & Nathaphan, Sarayut, 2020. "Mutual fund liquidity timing ability in the higher moment framework," Research in International Business and Finance, Elsevier, vol. 51(C).
    33. Chen, Yong & Kelly, Bryan & Wu, Wei, 2020. "Sophisticated investors and market efficiency: Evidence from a natural experiment," Journal of Financial Economics, Elsevier, vol. 138(2), pages 316-341.
    34. Oleg Chuprinin & Massimo Massa & Bastian von Beschwitz, 2015. "Why Do Short Sellers Like Qualitative News?," International Finance Discussion Papers 1149, Board of Governors of the Federal Reserve System (U.S.).
    35. Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2012. "Flights to Safety," Working Paper Research 230, National Bank of Belgium.
    36. Frank Hespeler & Giuseppe Loiacono, 2017. "Monitoring systemic risk in the hedge fund sector," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1859-1883, December.
    37. Zheng, Yao & Osmer, Eric & Bai, Yidan, 2021. "Timing market confidence in the Chinese domestic security market," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 298-311.
    38. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature I: Hedge funds and hedge funds' managerial characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 85-97.
    39. Huang, Haitao & Jiang, Lei & Leng, Xuan & Peng, Liang, 2023. "Bootstrap analysis of mutual fund performance," Journal of Econometrics, Elsevier, vol. 235(1), pages 239-255.
    40. Yong Chen & Bing Han & Jing Pan, 2021. "Sentiment Trading and Hedge Fund Returns," Journal of Finance, American Finance Association, vol. 76(4), pages 2001-2033, August.
    41. Chen, Honghui & Kumar, Alok & Lu, Yan & Singh, Ajai, 2022. "Do Hedge Fund Managers Understand Politics? Political Sensitivity and Investment Skill," Journal of Banking & Finance, Elsevier, vol. 135(C).
    42. George J. Jiang & Bing Liang & Huacheng Zhang, 2022. "Hedge Fund Manager Skill and Style-Shifting," Management Science, INFORMS, vol. 68(3), pages 2284-2307, March.
    43. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
    44. Baibing Li & Ji Luo & Kai†Hong Tee, 2017. "The Market Liquidity Timing Skills of Debt†oriented Hedge Funds," European Financial Management, European Financial Management Association, vol. 23(1), pages 32-54, January.
    45. Li, Lu & Li, Yihang & Wang, Xueding & Xiao, Tusheng & Zhu, Hongjun, 2022. "Hedge fund networks, information dissemination, and stock price comovement: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 83(C).
    46. Cao, Charles & Petrasek, Lubomir, 2014. "Liquidity risk and institutional ownership," Journal of Financial Markets, Elsevier, vol. 21(C), pages 76-97.
    47. Li, Chenlu & Li, Baibing & Tee, Kai-Hong, 2020. "Are hedge funds active market liquidity timers?," International Review of Financial Analysis, Elsevier, vol. 67(C).
    48. Soumaya Ben Khelife & Christian Urom & Khaled Guesmi & Ramzi Benkraiem, 2022. "American hedge funds industry, market timing and COVID-19 crisis," Journal of Asset Management, Palgrave Macmillan, vol. 23(5), pages 390-399, September.
    49. Ekaterini Panopoulou & Nikolaos Voukelatos, 2022. "Should hedge funds deviate from the benchmark?," Financial Management, Financial Management Association International, vol. 51(3), pages 767-795, September.
    50. Guohua He & Zirun Hu, 2023. "Precautionary Saving and Liquidity Shortage," Sustainability, MDPI, vol. 15(3), pages 1-15, January.
    51. Charles Cao & Bing Liang & Andrew W. Lo & Lubomir Petrasek, 2014. "Hedge fund holdings and stock market efficiency," Finance and Economics Discussion Series 2014-36, Board of Governors of the Federal Reserve System (U.S.).
    52. Chen, Yong & Eaton, Gregory W. & Paye, Bradley S., 2018. "Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity," Journal of Financial Economics, Elsevier, vol. 130(1), pages 48-73.
    53. Zheng, Yao & Osmer, Eric & Zheng, Liancun, 2021. "Can mutual fund managers time commonality in stock market misvaluation?," Journal of Economics and Business, Elsevier, vol. 117(C).
    54. Liao, Li & Zhang, Xueyong & Zhang, Yeqing, 2017. "Mutual fund managers' timing abilities," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 80-96.
    55. Yi, Li & He, Lei, 2016. "False discoveries in style timing of Chinese mutual funds," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 194-208.
    56. Wang, Hu & Li, Shouwei & Ma, Yuyin & Jiang, Shuyang, 2022. "Does investor sentiment affect fund crashes? Evidence from Chinese open-end funds," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    57. Ergys Islamaj & Maziar Kazemi, 2014. "Returns to Active Management: The Case of Hedge Funds," International Finance Discussion Papers 1112, Board of Governors of the Federal Reserve System (U.S.).
    58. Wenbo Wu & Jiaqi Chen & Zhibin (Ben) Yang & Michael L. Tindall, 2021. "A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection," Management Science, INFORMS, vol. 67(7), pages 4577-4601, July.
    59. Lambert, Marie & Platania, Federico, 2020. "The macroeconomic drivers in hedge fund beta management," Economic Modelling, Elsevier, vol. 91(C), pages 65-80.
    60. Ferson, Wayne & Mo, Haitao, 2016. "Performance measurement with selectivity, market and volatility timing," Journal of Financial Economics, Elsevier, vol. 121(1), pages 93-110.
    61. Lou, Dong & Polk, Christopher & Huang, Shiyang, 2014. "The booms and busts of beta arbitrage," LSE Research Online Documents on Economics 119019, London School of Economics and Political Science, LSE Library.
    62. Faff, Robert W. & Parwada, Jerry T. & Tan, Eric K.M., 2019. "Did connected hedge funds benefit from bank bailouts during the financial crisis?," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
    63. Namvar, Ethan & Phillips, Blake & Pukthuanthong, Kuntara & Raghavendra Rau, P., 2016. "Do hedge funds dynamically manage systematic risk?," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 1-15.
    64. Dragomirescu-Gaina, Catalin & Philippas, Dionisis & Tsionas, Mike G., 2021. "Trading off accuracy for speed: Hedge funds' decision-making under uncertainty," International Review of Financial Analysis, Elsevier, vol. 75(C).
    65. Rui Chen & Zhennan Gao & Xueyong Zhang & Min Zhu, 2018. "Mutual Fund Managers’ Prior Work Experience and Their Investment Skill," Financial Management, Financial Management Association International, vol. 47(1), pages 3-24, March.
    66. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    67. Jiao, Yawen & Massa, Massimo & Zhang, Hong, 2016. "Short selling meets hedge fund 13F: An anatomy of informed demand," Journal of Financial Economics, Elsevier, vol. 122(3), pages 544-567.
    68. Osinga, Albert Jakob & Schauten, Marc B.J. & Zwinkels, Remco C.J., 2021. "Timing is money: The factor timing ability of hedge fund managers," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 266-281.
    69. Ludwig Chincarini, 2014. "The Impact of Quantitative Methods on Hedge Fund Performance," European Financial Management, European Financial Management Association, vol. 20(5), pages 857-890, November.
    70. Liu, Weiyi & Liu, Yangyi & Luo, Ronghua & Ding, Yue, 2021. "Ability parity model for optimal fund allocation: Evidence from China's mutual fund markets," Emerging Markets Review, Elsevier, vol. 48(C).
    71. Benson, Karen & Faff, Robert & Smith, Tom, 2015. "Injecting liquidity into liquidity research," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 533-540.
    72. Agarwal, Vikas & Green, Tracy Clifton & Ren, Honglin, 2017. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," CFR Working Papers 15-08, University of Cologne, Centre for Financial Research (CFR), revised 2017.
    73. Akbas, Ferhat & Armstrong, Will J. & Sorescu, Sorin & Subrahmanyam, Avanidhar, 2015. "Smart money, dumb money, and capital market anomalies," Journal of Financial Economics, Elsevier, vol. 118(2), pages 355-382.
    74. Cao, Charles & Petrasek, Lubomir, 2014. "Liquidity risk in stock returns: An event-study perspective," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 72-83.
    75. Luo, Ji & Tee, Kai-Hong & Li, Baibing, 2017. "Timing liquidity in the foreign exchange market: Did hedge funds do it?," Journal of Multinational Financial Management, Elsevier, vol. 40(C), pages 47-62.
    76. Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015. "Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings," Working Papers on Finance 1508, University of St. Gallen, School of Finance.
    77. Agarwal, Vikas & Green, T. Clifton & Ren, Honglin, 2018. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," Journal of Financial Economics, Elsevier, vol. 127(3), pages 417-434.
    78. Yi, Li & Liu, Zilan & He, Lei & Qin, Zilong & Gan, Shunli, 2018. "Do Chinese mutual funds time the market?," Pacific-Basin Finance Journal, Elsevier, vol. 47(C), pages 1-19.
    79. Linda Mhalla & Julien Hambuckers & Marie Lambert, 2022. "Extremal connectedness of hedge funds," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 988-1009, August.
    80. Agarwal, Vikas & Aragon, George O. & Shi, Zhen, 2015. "Funding liquidity risk of funds of hedge funds: Evidence from their holdings," CFR Working Papers 15-12, University of Cologne, Centre for Financial Research (CFR).
    81. Riccardo Poli & Marco Taboga, 2021. "A composite indicator of sovereign bond market liquidity in the euro area," Questioni di Economia e Finanza (Occasional Papers) 663, Bank of Italy, Economic Research and International Relations Area.
    82. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Papers 2006.04269, arXiv.org.
    83. von Beschwitz, Bastian & Chuprinin, Oleg & Massa, Massimo, 2017. "Why Do Short Sellers Like Qualitative News?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(2), pages 645-675, April.
    84. Hillert, Alexander & Maug, Ernst & Obernberger, Stefan, 2016. "Stock repurchases and liquidity," Journal of Financial Economics, Elsevier, vol. 119(1), pages 186-209.
    85. Peng, Hao & Shan, Xuekun & Yang, Yu & Ling, Xiang, 2018. "A study on performance of a liquid air energy storage system with packed bed units," Applied Energy, Elsevier, vol. 211(C), pages 126-135.
    86. Ma, Tianyi & Li, Baibing & Tee, Kai-Hong, 2022. "Mispricing chasing and hedge fund returns," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 34-49.
    87. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2014. "Macroeconomic risk and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 114(1), pages 1-19.
    88. Mustafa O. Caglayan & Umut Celiker & Gokhan Sonaer, 2022. "Disagreement between hedge funds and other institutional investors and the cross‐section of expected stock returns," The Financial Review, Eastern Finance Association, vol. 57(3), pages 663-689, August.
    89. Zheng Sun & Ashley W. Wang & Lu Zheng, 2016. "Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions," Finance and Economics Discussion Series 2016-030, Board of Governors of the Federal Reserve System (U.S.).
    90. Racicot, François-Éric & Théoret, Raymond, 2016. "Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 41-61.
    91. Soumaya Ben Khelifa & Dorra Mezzez Hmaied, 2016. "Do European hedge fund managers time market liquidity?," Journal of Asset Management, Palgrave Macmillan, vol. 17(6), pages 393-407, October.
    92. Jiang, George J. & Zaynutdinova, Gulnara R. & Zhang, Huacheng, 2021. "Stock-selection timing," Journal of Banking & Finance, Elsevier, vol. 125(C).

  18. Andrew W. Lo, 2013. "Introduction to Volume 5 of the Annual Review of Financial Economics," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 1-7, November.

    Cited by:

    1. Joseph J. Cabral & Chaoqun Deng & M. V. Shyam Kumar, 2020. "Internal Resource Allocation and External Alliance Activity of Diversified Firms," Journal of Management Studies, Wiley Blackwell, vol. 57(8), pages 1690-1717, December.
    2. Asli M. Colpan & Takashi Hikino, 2016. "Diversified Business Groups in the West: History and Theory," Harvard Business School Working Papers 17-035, Harvard Business School.

  19. Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C., 2013. "Systemic risk and the refinancing ratchet effect," Journal of Financial Economics, Elsevier, vol. 108(1), pages 29-45.
    See citations under working paper version above.
  20. David E. Fagnan & Jose Maria Fernandez & Andrew W. Lo & Roger M. Stein, 2013. "Can Financial Engineering Cure Cancer?," American Economic Review, American Economic Association, vol. 103(3), pages 406-411, May.

    Cited by:

    1. Ewens, Michael & Nanda, Ramana & Rhodes-Kropf, Matthew, 2018. "Cost of experimentation and the evolution of venture capital," Journal of Financial Economics, Elsevier, vol. 128(3), pages 422-442.
    2. Edouard Debonneuil & Stéphane Loisel & Frédéric Planchet, 2015. "Do actuaries believe in longevity deceleration?," Working Papers hal-01219270, HAL.
    3. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    4. Christopher J. Neely, 2015. "Financial Engineering Versus Cancer," Economic Synopses, Federal Reserve Bank of St. Louis, issue 18.
    5. Onur Bayar & Thomas J. Chemmanur & Mark H. Liu, "undated". "How to Motivate Fundamental Innovation: Subsidies versus Prizes and the Role of Venture Capital," Working Papers 0175fin, College of Business, University of Texas at San Antonio, revised 06 Jan 2016.
    6. John Liechty & Stefan Wuyts, 2021. "'If I had a hedge fund, I would cure diabetes': endogenous mechanisms for creating public goods," SN Business & Economics, Springer, vol. 1(10), pages 1-18, October.
    7. Lo, Andrew W. & Thakor, Richard T., 2023. "Financial intermediation and the funding of biomedical innovation: A review," Journal of Financial Intermediation, Elsevier, vol. 54(C).

  21. Andrei A. Kirilenko & Andrew W. Lo, 2013. "Moore's Law versus Murphy's Law: Algorithmic Trading and Its Discontents," Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 51-72, Spring.

    Cited by:

    1. Giorgio Fagiolo & Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini, 2015. "Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading," Post-Print hal-03411703, HAL.
    2. Li-Xin Wang, 2014. "Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models," Papers 1401.1888, arXiv.org, revised Feb 2016.
    3. Rossi, S & Tinn, K, 2012. "Man or Machine? Rational trading without information about fundamentals," Working Papers 12194, Imperial College, London, Imperial College Business School.
    4. Jaqueson K. Galimberti & Nicolas Suhadolnik & Sergio Silva, 2017. "Cowboying Stock Market Herds with Robot Traders," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 393-423, October.
    5. Corsetti, G. & Lafarguette, R. & Mehl, A., 2019. "Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market," Cambridge Working Papers in Economics 1970, Faculty of Economics, University of Cambridge.
    6. Tamer Khraisha & Keren Arthur, 2018. "Can we have a general theory of financial innovation processes? A conceptual review," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-27, December.
    7. Gianluca Piero Maria Virgilio, 2019. "High-frequency trading: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 183-208, June.
    8. Fung, Derrick W.H. & Lee, Wing Yan & Yeh, Jason J.H. & Yuen, Fei Lung, 2020. "Friend or foe: The divergent effects of FinTech on financial stability," Emerging Markets Review, Elsevier, vol. 45(C).
    9. Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01512779, HAL.
    10. Matthew Zook & Michael H Grote, 2017. "The microgeographies of global finance: High-frequency trading and the construction of information inequality," Environment and Planning A, , vol. 49(1), pages 121-140, January.
    11. Flood, M. D. & Jagadish, H. V. & Raschid, L., 2016. "Big data challenges and opportunities in financial stability monitoring," Financial Stability Review, Banque de France, issue 20, pages 129-142, April.
    12. Qian Chen & Chuang Shen, 2024. "How FinTech Affects Bank Systemic Risk: Evidence from China," Journal of Financial Services Research, Springer;Western Finance Association, vol. 65(1), pages 77-101, February.
    13. Stavros Degiannakis & George Filis & Grigorios Siourounis & Lorenzo Trapani, 2023. "Superkurtosis," Working Papers 318, Bank of Greece.
      • Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 96563, University Library of Munich, Germany.
      • Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 94473, University Library of Munich, Germany.
      • Stavros Degiannakis & George Filis & Grigorios Siourounis & Lorenzo Trapani, 2023. "Superkurtosis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2061-2091, December.
    14. Gao, Bin & Liu, Xihua, 2020. "Intraday sentiment and market returns," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 48-62.
    15. Angerer, Martin & Neugebauer, Tibor & Shachat, Jason, 2019. "Arbitrage bots in experimental asset markets," MPRA Paper 96224, University Library of Munich, Germany.
    16. Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2019. "Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal," Working Papers on Finance 1912, University of St. Gallen, School of Finance.
    17. Karolis Liaudinskas, 2022. "Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders," Working Paper 2022/6, Norges Bank.
    18. Wall, Larry D., 2018. "Some financial regulatory implications of artificial intelligence," Journal of Economics and Business, Elsevier, vol. 100(C), pages 55-63.
    19. Reihaneh Hajishirzi & Carlos J. Costa & Manuela Aparicio, 2022. "Boosting Sustainability through Digital Transformation’s Domains and Resilience," Sustainability, MDPI, vol. 14(3), pages 1-16, February.
    20. Mike Farjam & Oliver Kirchkamp, 2015. "Bubbles in hybrid markets - How expectations about algorithmic trading affect human trading," Jena Economics Research Papers 2015-003, Friedrich-Schiller-University Jena.
    21. Hudson, Robert & McGroarty, Frank & Urquhart, Andrew, 2017. "Sampling frequency and the performance of different types of technical trading rules," Finance Research Letters, Elsevier, vol. 22(C), pages 136-139.
    22. Chenjing Zhang & Qiaoge Li & Di Mao & Mancang Wang, 2023. "Research on the Threshold Effect of Internet Development on Regional Inclusive Finance in China," Sustainability, MDPI, vol. 15(8), pages 1-20, April.
    23. Marco B Caminati & Manfred Kerber & Christoph Lange & Colin Rowat, 2015. "Sound Auction Specification and Implementation," Discussion Papers 15-08, Department of Economics, University of Birmingham.
    24. Arumugam, Devika, 2023. "Algorithmic trading: Intraday profitability and trading behavior," Economic Modelling, Elsevier, vol. 128(C).
    25. Li-Xin Wang, 2014. "Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models," Papers 1401.1891, arXiv.org, revised Feb 2016.
    26. Virgilio, Gianluca, 2017. "Is high-frequency trading tiering the financial markets?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 158-171.
    27. Zhou, Hao & Kalev, Petko S., 2019. "Algorithmic and high frequency trading in Asia-Pacific, now and the future," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 186-207.
    28. Ben Ammar, Imen & Hellara, Slaheddine & Ghadhab, Imen, 2020. "High-frequency trading and stock liquidity: An intraday analysis," Research in International Business and Finance, Elsevier, vol. 53(C).
    29. Li-Xin Wang, 2014. "Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks," Papers 1401.1892, arXiv.org, revised Feb 2016.
    30. Kromidha, Endrit & Li, Matthew C., 2019. "Determinants of leadership in online social trading: A signaling theory perspective," Journal of Business Research, Elsevier, vol. 97(C), pages 184-197.

  22. Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012. "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
    See citations under working paper version above.
  23. Thomas J Brennan & Andrew W Lo, 2012. "An Evolutionary Model of Bounded Rationality and Intelligence," PLOS ONE, Public Library of Science, vol. 7(11), pages 1-8, November.

    Cited by:

    1. Pietro DeLellis & Anna DiMeglio & Franco Garofalo & Francesco Lo Iudice, 2017. "The evolving cobweb of relations among partially rational investors," PLOS ONE, Public Library of Science, vol. 12(2), pages 1-21, February.
    2. Terence C. Burnham, 2016. "Economics and evolutionary mismatch: humans in novel settings do not maximize," Journal of Bioeconomics, Springer, vol. 18(3), pages 195-209, October.
    3. Ashish Vazirani & Titas Bhattacharjee, 2021. "Entrepreneurial Finance in the Twenty-first Century, a Review of Factors Influencing Venture Capitalist’s Decision," Journal of Entrepreneurship and Innovation in Emerging Economies, Entrepreneurship Development Institute of India, vol. 30(2), pages 306-335, September.
    4. Van Vliet, Ben, 2017. "Capability satisficing in high frequency trading," Research in International Business and Finance, Elsevier, vol. 42(C), pages 509-521.
    5. Yuval Heller & Ilan Nehama, 2021. "Evolutionary Foundation for Heterogeneity in Risk Aversion," Papers 2110.11245, arXiv.org, revised Jan 2023.
    6. Heller, Yuval & Nehama, Ilan, 2023. "Evolutionary foundation for heterogeneity in risk aversion," Journal of Economic Theory, Elsevier, vol. 208(C).

  24. Emmanuel A. Abbe & Amir E. Khandani & Andrew W. Lo, 2012. "Privacy-Preserving Methods for Sharing Financial Risk Exposures," American Economic Review, American Economic Association, vol. 102(3), pages 65-70, May.
    See citations under working paper version above.
  25. Andrew W. Lo, 2012. "Reading about the Financial Crisis: A Twenty-One-Book Review," Journal of Economic Literature, American Economic Association, vol. 50(1), pages 151-178, March.

    Cited by:

    1. John V. Duca & David C. Ling, 2015. "The other (commercial) real estate boom and bust: the effects of risk premia and regulatory capital arbitrage," Working Papers 1504, Federal Reserve Bank of Dallas.
    2. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    3. Marta Götz, 2013. "Reflections on the Eurozone’s Challenges," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 7(4), December.
    4. Gordon J. Alexander & Alexandre M. Baptista, 2017. "Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(4), pages 603-634, June.
    5. Riccardo De Bonis, 2016. "What Piketty said in Capital in the Twenty-first Century and how economists reacted," Mo.Fi.R. Working Papers 130, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    6. Marta Anna GÖTZ, 2015. "Pursuing FDI policy in the EU – Member States and their policy space," Journal of Economics and Political Economy, KSP Journals, vol. 2(2), pages 290-308, June.
    7. Ani Ter-Mkrtchyan & Aimee L. Franklin, 2020. "Global Financial System Outcomes after 2008: A Longitudinal Comparison," Economies, MDPI, vol. 8(1), pages 1-14, March.
    8. Arteta,Carlos & Kose,Ayhan & Stocker,Marc & Taskin,Temel, 2016. "Negative interest rate policies : sources and implications," Policy Research Working Paper Series 7791, The World Bank.
    9. Grossman, Richard, 2016. "Banking Crises," CEPR Discussion Papers 11268, C.E.P.R. Discussion Papers.
    10. Morkoetter, Stefan & Stebler, Roman & Westerfeld, Simone, 2015. "Competition in the Credit Rating Industry: Benefits for Investors and Issuers," Working Papers on Finance 1505, University of St. Gallen, School of Finance, revised Feb 2016.
    11. Spatareanu, Mariana & Manole, Vlad & Kabiri, Ali, 2019. "Do bank liquidity shocks hamper firms’ innovation?," LSE Research Online Documents on Economics 116931, London School of Economics and Political Science, LSE Library.
    12. Mettenheim Kurt, 2013. "Back to Basics in Banking Theory and Varieties of Finance Capitalism," Accounting, Economics, and Law: A Convivium, De Gruyter, vol. 3(3), pages 357-405, May.
    13. Herring, Richard J., 2017. "International Coordination of FInancial Supervision: Why Has It Grown? Will It Be Sustained?," Working Papers 17-04, University of Pennsylvania, Wharton School, Weiss Center.
    14. Marie Daumal, 2021. "The economic and political causes of the U.S. 2008 financial crisis [Les causes économiques et politiques de la crise financière de 2008]," Working Papers hal-03261070, HAL.
    15. Spatareanu, Mariana & Manole, Vlad & Kabiri, Ali, 2019. "Do bank liquidity shocks hamper firms’ innovation?," International Journal of Industrial Organization, Elsevier, vol. 67(C).
    16. Gabriele di Filippo, 2017. "What drives gross flows in equity and investment fund shares in Luxembourg?," BCL working papers 112, Central Bank of Luxembourg.
    17. Chen, Yan & Bellavitis, Cristiano, 2020. "Blockchain disruption and decentralized finance: The rise of decentralized business models," Journal of Business Venturing Insights, Elsevier, vol. 13(C).
    18. Fredrik Hansen, 2013. "The efficient-markets hypothesis after the crisis: a methodological analysis of the evidence," Chapters, in: Mats Benner (ed.), Before and Beyond the Global Economic Crisis, chapter 3, pages 55-71, Edward Elgar Publishing.
    19. Pagano, Marco, 2014. "Dealing with financial crises: How much help from research?," CFS Working Paper Series 481, Center for Financial Studies (CFS).
    20. Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    21. Smaoui, Houcem & Mimouni, Karim & Miniaoui, Héla & Temimi, Akram, 2020. "Funding liquidity risk and banks' risk-taking: Evidence from Islamic and conventional banks," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
    22. Daniele Tori & Eugenio Caverzasi & Mauro Gallegati, 2023. "Financial production and the subprime mortgage crisis," Journal of Evolutionary Economics, Springer, vol. 33(2), pages 573-603, April.
    23. Xavier De Scheemaekere & Kim Oosterlinck & Ariane Szafarz, 2012. "Addressing Economic Crises: The Reference-Class Problem," Working Papers CEB 12-024, ULB -- Universite Libre de Bruxelles.
    24. Mario Sarcinelli, 2012. "Come difendere la globalizzazione e salvaguardare i sistemi bancari dal contagio," Moneta e Credito, Economia civile, vol. 65(257), pages 9-47.
    25. Laurence J. Kotlikoff, 2018. "The Big Con – Reassessing the "Great" Recession and its "Fix"," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-311, Boston University - Department of Economics.
    26. Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C., 2013. "Systemic risk and the refinancing ratchet effect," Journal of Financial Economics, Elsevier, vol. 108(1), pages 29-45.
    27. Maha Abdelrahman, 2022. "COVID‐19 and the Meaning of Crisis," Development and Change, International Institute of Social Studies, vol. 53(6), pages 1151-1176, November.
    28. Vortelinos, Dimitrios I., 2016. "Evaluation of the Federal Reserve's financial-crisis timeline," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 350-355.
    29. Michael Funke & Petar Mihaylovski & Adrian Wende, 2018. "Out of Sync Subnational Housing Markets and Macroprudential Policies," CESifo Working Paper Series 6887, CESifo.
    30. Armen Hovakimian & Edward Kane, & Luc Laeven, 2015. "Tracking Variation in Systemic Risk at US Banks During 1974-2013," Working Papers Series 16, Institute for New Economic Thinking.
    31. Nancy L. Rose, 2014. "Learning from the Past: Insights for the Regulation of Economic Activity," NBER Chapters, in: Economic Regulation and Its Reform: What Have We Learned?, pages 1-23, National Bureau of Economic Research, Inc.
    32. Xavier De Scheemaekere & Kim Oosterlinck & Ariane Szafarz, 2014. "Issues in Identifying Economic Crises: Insights from History," Working Papers CEB 14-014, ULB -- Universite Libre de Bruxelles.
    33. Pilar B. Álvarez-Franco & Diego A. Restrepo-Tobón, 2016. "Managerial efficiency and failure of U.S. commercial banks during the 2007-2009 financial crisis: was this time different?," Revista Ecos de Economía, Universidad EAFIT, vol. 20(43), pages 4-22, December.
    34. Levich, Richard M., 2012. "FX counterparty risk and trading activity in currency forward and futures markets," Review of Financial Economics, Elsevier, vol. 21(3), pages 102-110.
    35. Richard M. Levich, 2012. "FX counterparty risk and trading activity in currency forward and futures markets," Review of Financial Economics, John Wiley & Sons, vol. 21(3), pages 102-110, September.
    36. Butzbach Olivier & von Mettenheim Kurt E., 2015. "Alternative Banking and Theory," Accounting, Economics, and Law: A Convivium, De Gruyter, vol. 5(2), pages 105-171, July.
    37. Athreya, Kartik B., 2014. "Big Ideas in Macroeconomics: A Nontechnical View," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262019736, December.
    38. Jean-Paul Chavas, 2023. "On the role of social rules in economic development: historical perspectives," Evolutionary and Institutional Economics Review, Springer, vol. 20(1), pages 123-139, April.
    39. De Grauwe, Paul & Ji, Yuemei, 2018. "How safe is a safe asset?," CEPS Papers 13472, Centre for European Policy Studies.
    40. Marie Daumal, 2022. "Les causes économiques et politiques de la crise financière de 2008," Working Papers hal-03759869, HAL.
    41. Mostafa Raeisi Sarkandiz & Robabeh Bahlouli, 2019. "The Stock Market between Classical and Behavioral Hypotheses: An Empirical Investigation of the Warsaw Stock Exchange," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 4(2), pages 67-88, December.
    42. Thakor, Anjan V., 2016. "The highs and the lows: A theory of credit risk assessment and pricing through the business cycle," Journal of Financial Intermediation, Elsevier, vol. 25(C), pages 1-29.
    43. Spahn, Peter, 2013. "Subprime and euro crisis: Should we blame the economists?," FZID Discussion Papers 83-2013, University of Hohenheim, Center for Research on Innovation and Services (FZID).
    44. Maghrebi, Nabil & Mirakhor, Abbas, 2015. "Risk Sharing and Shared Prosperity in Islamic Finance," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 23, pages 85-117.
    45. Zeitun, Rami & Temimi, Akram & Mimouni, Karim, 2017. "Do financial crises alter the dynamics of corporate capital structure? Evidence from GCC countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 21-33.
    46. Nancy Reichman & Ophir Sefiha, 2013. "Regulating Performance-Enhancing Technologies," The ANNALS of the American Academy of Political and Social Science, , vol. 649(1), pages 98-119, September.
    47. Richard M. Levich, 2012. "FX Counterparty Risk and Trading Activity in Currency Forward and Futures Markets," NBER Working Papers 18256, National Bureau of Economic Research, Inc.
    48. Laurence J. Kotlikoff, 2018. "The Big Con – Reassessing the "Great" Recession and its "Fix"," NBER Working Papers 25213, National Bureau of Economic Research, Inc.
    49. Anjan V. Thakor, 2023. "Finance research: What are the new frontiers?," The Financial Review, Eastern Finance Association, vol. 58(3), pages 453-462, August.
    50. Mimouni, Karim & Smaoui, Houcem & Temimi, Akram & Al-Azzam, Moh'd, 2019. "The impact of Sukuk on the performance of conventional and Islamic banks," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 42-54.
    51. Gulamhussen, M.A. & Pinheiro, Carlos & Pozzolo, Alberto Franco, 2014. "International diversification and risk of multinational banks: Evidence from the pre-crisis period," Journal of Financial Stability, Elsevier, vol. 13(C), pages 30-43.
    52. Li-Xin Wang, 2014. "Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks," Papers 1401.1892, arXiv.org, revised Feb 2016.
    53. Höpner, Martin & Lutter, Mark, 2014. "One currency and many modes of wage formation: Why the eurozone is too heterogeneous for the euro," MPIfG Discussion Paper 14/14, Max Planck Institute for the Study of Societies.
    54. Pies, Ingo, 2015. "Die Ordnungsethik plädiert nicht für maßlose Gier, sondern für eine sorgsame Vermeidung intentionalistischer Fehlschlüsse," Discussion Papers 2015-6, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
    55. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2021. "Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule," Journal of International Money and Finance, Elsevier, vol. 119(C).
    56. Robert Dimand & Robert Koehn, 2012. "Central Bank Responses to Financial Crises: Lenders of Last Resort in Interesting Times," Chapters, in: Louis-Philippe Rochon & Salewa ‘Yinka Olawoye (ed.), Monetary Policy and Central Banking, chapter 7, Edward Elgar Publishing.
    57. Charles Leung, 2021. "Handbook of Real Estate and Macroeconomics: An Introduction," GRU Working Paper Series GRU_2021_029, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    58. Dima Bogdan & Dima Ştefana Maria, 2017. "Does Corporate Tax Burden Affect Growth? Evidences from OECD Countries," Journal of Heterodox Economics, Sciendo, vol. 4(2), pages 51-80, December.

  26. Nguyen, Tri-Dung & Lo, Andrew W., 2012. "Robust ranking and portfolio optimization," European Journal of Operational Research, Elsevier, vol. 221(2), pages 407-416.

    Cited by:

    1. Pierre O. De souza & Tiago P. Filomena & João F. Caldeira & Denis Borenstein & Marcelo B. Righi, 2017. "Risk parity in the brazilian market," Economics Bulletin, AccessEcon, vol. 37(3), pages 1555-1566.
    2. Gabrel, Virginie & Murat, Cécile & Thiele, Aurélie, 2014. "Recent advances in robust optimization: An overview," European Journal of Operational Research, Elsevier, vol. 235(3), pages 471-483.
    3. Çela, Eranda & Hafner, Stephan & Mestel, Roland & Pferschy, Ulrich, 2021. "Mean-variance portfolio optimization based on ordinal information," Journal of Banking & Finance, Elsevier, vol. 122(C).
    4. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2018. "Recent advancements in robust optimization for investment management," Annals of Operations Research, Springer, vol. 266(1), pages 183-198, July.
    5. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
    6. Black, Geoffrey & Holley, Donald & Solan, David & Bergloff, Michael, 2014. "Fiscal and economic impacts of state incentives for wind energy development in the Western United States," Renewable and Sustainable Energy Reviews, Elsevier, vol. 34(C), pages 136-144.
    7. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
    8. Lioui, Abraham & Poncet, Patrice, 2013. "Optimal benchmarking for active portfolio managers," European Journal of Operational Research, Elsevier, vol. 226(2), pages 268-276.
    9. Hossein Hashemi Doulabi & Patrick Jaillet & Gilles Pesant & Louis-Martin Rousseau, 2021. "Exploiting the Structure of Two-Stage Robust Optimization Models with Exponential Scenarios," INFORMS Journal on Computing, INFORMS, vol. 33(1), pages 143-162, January.
    10. Chang, Zhiqi & Song, Shiji & Zhang, Yuli & Ding, Jian-Ya & Zhang, Rui & Chiong, Raymond, 2017. "Distributionally robust single machine scheduling with risk aversion," European Journal of Operational Research, Elsevier, vol. 256(1), pages 261-274.

  27. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
    See citations under working paper version above.
  28. Dimitrios Bisias & Andrew W Lo & James F Watkins, 2012. "Estimating the NIH Efficient Frontier," PLOS ONE, Public Library of Science, vol. 7(5), pages 1-10, May.

    Cited by:

    1. Supradeep Dutta & Jenna Rodrigues & Timothy B. Folta, 2023. "Does NIH select the right healthcare ventures through the SBIR grant program?," The Journal of Technology Transfer, Springer, vol. 48(4), pages 1206-1220, August.
    2. Luba Katz & Rebecca V Fink & Samuel R Bozeman & Barbara J McNeil, 2014. "Using Health Care Utilization and Publication Patterns to Characterize the Research Portfolio and to Plan Future Research Investments," PLOS ONE, Public Library of Science, vol. 9(12), pages 1-12, December.
    3. Samson John Mgaiwa, 2018. "The Paradox of Financing Public Higher Education in Tanzania and the Fate of Quality Education: The Experience of Selected Universities," SAGE Open, , vol. 8(2), pages 21582440187, April.
    4. Park, Hyunwoo & Lee, Jeongsik (Jay) & Kim, Byung-Cheol, 2015. "Project selection in NIH: A natural experiment from ARRA," Research Policy, Elsevier, vol. 44(6), pages 1145-1159.
    5. Dimitris Bertsimas & Vivek F. Farias & Nikolaos Trichakis, 2012. "On the Efficiency-Fairness Trade-off," Management Science, INFORMS, vol. 58(12), pages 2234-2250, December.

  29. Thomas J. Brennan & Andrew W. Lo, 2011. "The Origin of Behavior," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 55-108.

    Cited by:

    1. Bomin Jiang & Daniel E. Rigobon & Roberto Rigobon, 2021. "From Just in Time, to Just in Case, to Just in Worst-Case: Simple models of a Global Supply Chain under Uncertain Aggregate Shocks," NBER Working Papers 29345, National Bureau of Economic Research, Inc.
    2. Songjia Fan & Yi Tao & Cong Li, 2022. "Evolutionary rationality of risk preference," Papers 2206.09813, arXiv.org.
    3. Erol Akçay & David Hirshleifer, 2021. "Social finance as cultural evolution, transmission bias, and market dynamics," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 118(26), pages 2015568118-, June.
    4. Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2020. "Loss aversion in an agent-based asset pricing model," Quantitative Finance, Taylor & Francis Journals, vol. 20(2), pages 275-290, February.
    5. Yu, Shi & Wang, Haoran & Dong, Chaosheng, 2023. "Learning risk preferences from investment portfolios using inverse optimization," Research in International Business and Finance, Elsevier, vol. 64(C).
    6. Nicos Nicolaou & Scott Shane, 2019. "Common genetic effects on risk-taking preferences and choices," Journal of Risk and Uncertainty, Springer, vol. 59(3), pages 261-279, December.
    7. Michael J. Seiler & Eric Walden, 2015. "A Neurological Explanation of Strategic Mortgage Default," Artefactual Field Experiments 00632, The Field Experiments Website.
    8. Cronqvist, Henrik & Siegel, Stephan, 2014. "The genetics of investment biases," Journal of Financial Economics, Elsevier, vol. 113(2), pages 215-234.
    9. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    10. Andrew W. Lo & H. Allen Orr & Ruixun Zhang, 2018. "The growth of relative wealth and the Kelly criterion," Journal of Bioeconomics, Springer, vol. 20(1), pages 49-67, April.
    11. Thomas J Brennan & Andrew W Lo, 2012. "An Evolutionary Model of Bounded Rationality and Intelligence," PLOS ONE, Public Library of Science, vol. 7(11), pages 1-8, November.
    12. H. Allen Orr, 2018. "Evolution, finance, and the population genetics of relative wealth," Journal of Bioeconomics, Springer, vol. 20(1), pages 29-48, April.
    13. Shi Yu & Haoran Wang & Chaosheng Dong, 2020. "Learning Risk Preferences from Investment Portfolios Using Inverse Optimization," Papers 2010.01687, arXiv.org, revised Feb 2021.
    14. Avineri, Erel, 2012. "On the use and potential of behavioural economics from the perspective of transport and climate change," Journal of Transport Geography, Elsevier, vol. 24(C), pages 512-521.
    15. Levy, Moshe, 2015. "An evolutionary explanation for risk aversion," Journal of Economic Psychology, Elsevier, vol. 46(C), pages 51-61.
    16. Burnham, Terence C., 2013. "Toward a neo-Darwinian synthesis of neoclassical and behavioral economics," Journal of Economic Behavior & Organization, Elsevier, vol. 90(S), pages 113-127.
    17. Mellissa Marcus & Terence C. Burnham & David W. Stephens & Aimee S. Dunlap, 2018. "Experimental evolution of color preference for oviposition in Drosophila melanogaster," Journal of Bioeconomics, Springer, vol. 20(1), pages 125-140, April.
    18. Cronqvist, Henrik & Siegel, Stephan & Yu, Frank, 2015. "Value versus growth investing: Why do different investors have different styles?," Journal of Financial Economics, Elsevier, vol. 117(2), pages 333-349.
    19. Chatterjee, Kiron & Sherwin, Henrietta & Jain, Juliet, 2013. "Triggers for changes in cycling: the role of life events and modifications to the external environment," Journal of Transport Geography, Elsevier, vol. 30(C), pages 183-193.
    20. Geoffrey M. Ngene & Catherine Anitha Manohar & Ivan F. Julio, 2020. "Overreaction in the REITs Market: New Evidence from Quantile Autoregression Approach," JRFM, MDPI, vol. 13(11), pages 1-28, November.
    21. Moshe Levy, 2022. "An evolutionary explanation of the Allais paradox," Journal of Evolutionary Economics, Springer, vol. 32(5), pages 1545-1574, November.
    22. Teresa Garcia & Daniel Borrego, 2017. "Markowitz Efficient Frontier And Capital Market Line – Evidence From The Portuguese Stock Market," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 22(1), pages 3-23.

  30. Amir E. Khandani & Andrew W. Lo, 2011. "Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 1(02), pages 205-264.

    Cited by:

    1. Andra C. Ghent, 2019. "What's Wrong with Pittsburgh? Delegated Investors and Liquidity Concentration," NBER Working Papers 25966, National Bureau of Economic Research, Inc.
    2. Abidi, Nordine & Miquel-Flores, Ixart, 2018. "Who benefits from the corporate QE? A regression discontinuity design approach," Working Paper Series 2145, European Central Bank.
    3. Bian, Jiangze & Su, Tie & Wang, Jun, 2022. "Non-marketability and one-day selling lockup," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 1-23.
    4. Daniel Barth & Phillip Monin, 2020. "Illiquidity in Intermediate Portfolios: Evidence from Large Hedge Funds," Working Papers 20-03, Office of Financial Research, US Department of the Treasury.
    5. Petri Jylhä & Kalle Rinne & Matti Suominen, 2014. "Do Hedge Funds Supply or Demand Liquidity?," Review of Finance, European Finance Association, vol. 18(4), pages 1259-1298.
    6. Frank Hespeler & Giuseppe Loiacono, 2017. "Monitoring systemic risk in the hedge fund sector," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1859-1883, December.
    7. Laila Taskeen Qazi & Atta Ur Rahman & Saleem Gul, 2015. "Which Pairs of Stocks should we Trade? Selection of Pairs for Statistical Arbitrage and Pairs Trading in Karachi Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 54(3), pages 215-244.
    8. Eduard Baitinger & Christian Fieberg & Thorsten Poddig & Armin Varmaz, 2015. "Liquidity-driven approach to dynamic asset allocation: evidence from the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(4), pages 365-379, November.
    9. Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2015. "Commonality in hedge fund returns: Driving factors and implications," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 266-280.
    10. Roberto Casarin & Domenico Sartore & Marco Tronzano, 2018. "A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 101-114, January.
    11. Masset, Philippe & Weisskopf, Jean-Philippe, 2018. "Wine indices in practice: Nicely labeled but slightly corked," Economic Modelling, Elsevier, vol. 68(C), pages 555-569.
    12. Schaub, Nic & Schmid, Markus, 2013. "Hedge fund liquidity and performance: Evidence from the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 671-692.

  31. Khandani, Amir E. & Lo, Andrew W., 2011. "What happened to the quants in August 2007? Evidence from factors and transactions data," Journal of Financial Markets, Elsevier, vol. 14(1), pages 1-46, February.
    See citations under working paper version above.
  32. Jasmina Hasanhodzic & Andrew Lo & Emanuele Viola, 2011. "A computational view of market efficiency," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1043-1050.
    See citations under working paper version above.
  33. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.
    See citations under working paper version above.
  34. Khandani, Amir E. & Kim, Adlar J. & Lo, Andrew W., 2010. "Consumer credit-risk models via machine-learning algorithms," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2767-2787, November.

    Cited by:

    1. Claudia Antal-Vaida, 2020. "Business Analytics Applications for Consumer Credits," Database Systems Journal, Academy of Economic Studies - Bucharest, Romania, vol. 11(1), pages 14-23.
    2. Piotr Bialowolski & Andrzej Cwynar & Dorota Weziak‐Bialowolska, 2024. "Credit purpose and the interest rate – Evidence from the European Household Finance and Consumption Survey," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 162-176, January.
    3. Carl Remlinger & Bri`ere Marie & Alasseur Cl'emence & Joseph Mikael, 2021. "Expert Aggregation for Financial Forecasting," Papers 2111.15365, arXiv.org, revised Jul 2023.
    4. Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2010. "Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons," NBER Working Papers 16567, National Bureau of Economic Research, Inc.
    5. Kathleen Weiss Hanley & Gerard Hoberg, 2019. "Dynamic Interpretation of Emerging Risks in the Financial Sector," The Review of Financial Studies, Society for Financial Studies, vol. 32(12), pages 4543-4603.
    6. Yiyan Huang & Cheuk Hang Leung & Xing Yan & Qi Wu & Nanbo Peng & Dongdong Wang & Zhixiang Huang, 2020. "The Causal Learning of Retail Delinquency," Papers 2012.09448, arXiv.org.
    7. Wosnitza, Jan Henrik, 2022. "Calibration alternatives to logistic regression and their potential for transferring the dispersion of discriminatory power into uncertainties of probabilities of default," Discussion Papers 04/2022, Deutsche Bundesbank.
    8. Plakandaras, Vasilios & Gupta, Rangan & Papadimitriou, Theophilos & Gogas, Periklis, 2014. "Forecasting the U.S. Real House Price Index," DUTH Research Papers in Economics 10-2014, Democritus University of Thrace, Department of Economics.
    9. Pan, Shuiyang & Long, Suwan(Cheng) & Wang, Yiming & Xie, Ying, 2023. "Nonlinear asset pricing in Chinese stock market: A deep learning approach," International Review of Financial Analysis, Elsevier, vol. 87(C).
    10. Hang Miao & Kui Zhao & Zhun Wang & Linbo Jiang & Quanhui Jia & Yanming Fang & Quan Yu, 2020. "Intelligent Credit Limit Management in Consumer Loans Based on Causal Inference," Papers 2007.05188, arXiv.org.
    11. Ting Sun & Miklos A. Vasarhelyi, 2018. "Predicting credit card delinquencies: An application of deep neural networks," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 25(4), pages 174-189, October.
    12. Weiling Liu & Emanuel Moench, 2014. "What predicts U.S. recessions?," Staff Reports 691, Federal Reserve Bank of New York.
    13. Dong, Yingwei & Gou, Qin & Qiu, Han, 2023. "Big tech credit score and default risk ——Evidence from loan-level data of a representative microfinance company in China," China Economic Review, Elsevier, vol. 81(C).
    14. Lucian Belascu & Alexandra Horobet & Georgiana Vrinceanu & Consuela Popescu, 2021. "Performance Dissimilarities in European Union Manufacturing: The Effect of Ownership and Technological Intensity," Sustainability, MDPI, vol. 13(18), pages 1-19, September.
    15. Omar H. Fares & Irfan Butt & Seung Hwan Mark Lee, 2023. "Utilization of artificial intelligence in the banking sector: a systematic literature review," Journal of Financial Services Marketing, Palgrave Macmillan, vol. 28(4), pages 835-852, December.
    16. Daube, Carl Heinz, 2024. "Artificial intelligence in financial and investment decision-making," EconStor Preprints 280899, ZBW - Leibniz Information Centre for Economics.
    17. Apostolos Ampountolas & Titus Nyarko Nde & Paresh Date & Corina Constantinescu, 2021. "A Machine Learning Approach for Micro-Credit Scoring," Risks, MDPI, vol. 9(3), pages 1-20, March.
    18. Ahmed, Shamima & Alshater, Muneer M. & Ammari, Anis El & Hammami, Helmi, 2022. "Artificial intelligence and machine learning in finance: A bibliometric review," Research in International Business and Finance, Elsevier, vol. 61(C).
    19. Stefano Costa & Federico Sallusti & Claudio Vicarelli & Davide Zurlo, 2019. "Tech on the ROC: A New Way of Looking at Exporting Firms," Working Papers LuissLab 19152, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    20. Salman Bahoo & Marco Cucculelli & Xhoana Goga & Jasmine Mondolo, 2024. "Artificial intelligence in Finance: a comprehensive review through bibliometric and content analysis," SN Business & Economics, Springer, vol. 4(2), pages 1-46, February.
    21. Hinterlang, Natascha & Hollmayr, Josef, 2022. "Classification of monetary and fiscal dominance regimes using machine learning techniques," Journal of Macroeconomics, Elsevier, vol. 74(C).
    22. Stefano Costa & Federico Sallusti & Claudio Vicarelli & Davide Zurlo, 2019. "Tech on the ROC: Export Threshold and Technology Adoption Interacted," LEM Papers Series 2019/38, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    23. Athanasia Dimitriadou & Periklis Gogas & Theophilos Papadimitriou & Vasilios Plakandaras, 2018. "Oil Market Efficiency under a Machine Learning Perspective," Forecasting, MDPI, vol. 1(1), pages 1-12, October.
    24. Haokun Dong & Rui Liu & Allan W. Tham, 2024. "Accuracy Comparison between Five Machine Learning Algorithms for Financial Risk Evaluation," JRFM, MDPI, vol. 17(2), pages 1-19, January.
    25. Sruthi Davuluri & René García Franceschini & Christopher R. Knittel & Chikara Onda & Kelly Roache, 2019. "Machine Learning for Solar Accessibility: Implications for Low-Income Solar Expansion and Profitability," NBER Working Papers 26178, National Bureau of Economic Research, Inc.
    26. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
    27. Esraa Faisal Malik & Khai Wah Khaw & Bahari Belaton & Wai Peng Wong & XinYing Chew, 2022. "Credit Card Fraud Detection Using a New Hybrid Machine Learning Architecture," Mathematics, MDPI, vol. 10(9), pages 1-16, April.
    28. Martin Leo & Suneel Sharma & K. Maddulety, 2019. "Machine Learning in Banking Risk Management: A Literature Review," Risks, MDPI, vol. 7(1), pages 1-22, March.
    29. Theodore Syriopoulos & Michael Tsatsaronis & Ioannis Karamanos, 2021. "Support Vector Machine Algorithms: An Application to Ship Price Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 55-87, January.
    30. Shihao Gu & Bryan T. Kelly & Dacheng Xiu, 2018. "Empirical Asset Pricing via Machine Learning," Swiss Finance Institute Research Paper Series 18-71, Swiss Finance Institute.
    31. Kim Ristolainen, 2015. "Were the Scandinavian Banking Crises Predictable? A Neural Network Approach," Discussion Papers 99, Aboa Centre for Economics.
    32. Longden, Elaine, 2021. "Predicting Nature of Default using Machine Learning Techniques," Other publications TiSEM e1d97882-8cf3-40a4-a82e-8, Tilburg University, School of Economics and Management.
    33. Yan Zhang & Peter Trubey, 2019. "Machine Learning and Sampling Scheme: An Empirical Study of Money Laundering Detection," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 1043-1063, October.
    34. Florentin Butaru & QingQing Chen & Brian Clark & Sanmay Das & Andrew W. Lo & Akhtar Siddique, 2015. "Risk and Risk Management in the Credit Card Industry," NBER Working Papers 21305, National Bureau of Economic Research, Inc.
    35. Bücker, Michael & van Kampen, Maarten & Krämer, Walter, 2013. "Reject inference in consumer credit scoring with nonignorable missing data," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1040-1045.
    36. Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta, 2017. "The Informational Content of the Term Spread in Forecasting the US Inflation Rate: A Nonlinear Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(2), pages 109-121, March.
    37. Michael Jacobs, 2021. "Validation of Corporate Probability of Default Models Considering Alternative Use Cases," IJFS, MDPI, vol. 9(4), pages 1-22, November.
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    39. Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta, 2016. "The Term Premium as a Leading Macroeconomic Indicator," Working Papers 201613, University of Pretoria, Department of Economics.
    40. Nicola Branzoli & Ilaria Supino, 2020. "FinTech credit: a critical review of empirical research," Questioni di Economia e Finanza (Occasional Papers) 549, Bank of Italy, Economic Research and International Relations Area.
    41. Liu, Yi & Yang, Menglong & Wang, Yudong & Li, Yongshan & Xiong, Tiancheng & Li, Anzhe, 2022. "Applying machine learning algorithms to predict default probability in the online credit market: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 79(C).
    42. Königstorfer, Florian & Thalmann, Stefan, 2020. "Applications of Artificial Intelligence in commercial banks – A research agenda for behavioral finance," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    43. Fisnik Doko & Slobodan Kalajdziski & Igor Mishkovski, 2021. "Credit Risk Model Based on Central Bank Credit Registry Data," JRFM, MDPI, vol. 14(3), pages 1-17, March.
    44. Aussenegg, Wolfgang & Resch, Florian & Winkler, Gerhard, 2011. "Pitfalls and remedies in testing the calibration quality of rating systems," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 698-708, March.
    45. Christian Gayer & Alessandro Girardi & Andreas Reuter, 2016. "Replacing Judgment by Statistics: Constructing Consumer Confidence Indicators on the basis of Data-driven Techniques. The Case of the Euro Area," Working Papers LuissLab 16125, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    46. Tobias Götze & Marc Gürtler & Eileen Witowski, 2020. "Improving CAT bond pricing models via machine learning," Journal of Asset Management, Palgrave Macmillan, vol. 21(5), pages 428-446, September.
    47. Huang, Yiping & Li, Zhenhua & Qiu, Han & Tao, Sun & Wang, Xue & Zhang, Longmei, 2023. "BigTech credit risk assessment for SMEs," China Economic Review, Elsevier, vol. 81(C).
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    50. Jan Zacharias & Moritz Zahn & Johannes Chen & Oliver Hinz, 2022. "Designing a feature selection method based on explainable artificial intelligence," Electronic Markets, Springer;IIM University of St. Gallen, vol. 32(4), pages 2159-2184, December.
    51. Theophilos Papadimitriou & Periklis Gogas & Vasilios Plakandaras, 2016. "Testing Exchange Rate Models in a Small Open Economy: an SVR Approach," Bulletin of Applied Economics, Risk Market Journals, vol. 3(2), pages 9-29.
    52. Travis J. Berge, 2017. "Understanding Survey Based Inflation Expectations," Finance and Economics Discussion Series 2017-046, Board of Governors of the Federal Reserve System (U.S.).
    53. Paritosh Navinchandra Jha & Marco Cucculelli, 2021. "A New Model Averaging Approach in Predicting Credit Risk Default," Risks, MDPI, vol. 9(6), pages 1-15, June.
    54. Stefano Costa & Federico Sallusti & Claudio Vicarelli & Davide Zurlo, 2021. "Italian firms in times of troubles: Covid-19 pandemic as a test of structural solidity," LEM Papers Series 2021/47, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    55. Liu, Qingbai & Wang, Chuanjie & Zhang, Ping & Zheng, Kaixin, 2021. "Detecting stock market manipulation via machine learning: Evidence from China Securities Regulatory Commission punishment cases," International Review of Financial Analysis, Elsevier, vol. 78(C).
    56. Agnese Carella & Federica Ciocchetta & Valentina Michelangeli & Federico Maria Signoretti, 2020. "What can we learn about mortgage supply from online data?," Questioni di Economia e Finanza (Occasional Papers) 583, Bank of Italy, Economic Research and International Relations Area.
    57. Andrés Alonso & José Manuel Carbó, 2021. "Understanding the performance of machine learning models to predict credit default: a novel approach for supervisory evaluation," Working Papers 2105, Banco de España.
    58. Hinterlang, Natascha & Hollmayr, Josef, 2020. "Classification of monetary and fiscal dominance regimes using machine learning techniques," Discussion Papers 51/2020, Deutsche Bundesbank.
    59. Drakos, Anastassios A. & Kouretas, Georgios P., 2015. "Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 127-140.
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    62. Fenfen Ma & Shah Fahad & Shuxi Yan & Yapeng Zhang, 2023. "Digital Transformation and Corporate Environmental Green Innovation Nexus: An Approach towards Green Innovation Improvement," Sustainability, MDPI, vol. 15(7), pages 1-15, April.
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    65. Zhou Lu & Zhuyao Zhuo, 2021. "Modelling of Chinese corporate bond default – A machine learning approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(5), pages 6147-6191, December.
    66. Mirko Moscatelli & Simone Narizzano & Fabio Parlapiano & Gianluca Viggiano, 2019. "Corporate default forecasting with machine learning," Temi di discussione (Economic working papers) 1256, Bank of Italy, Economic Research and International Relations Area.
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    99. Alois Weigand, 2019. "Machine learning in empirical asset pricing," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(1), pages 93-104, March.
    100. Plakandaras, Vasilios & Papadimitriou, Theophilos & Gogas, Periklis, 2019. "Forecasting transportation demand for the U.S. market," Transportation Research Part A: Policy and Practice, Elsevier, vol. 126(C), pages 195-214.
    101. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2021. "Applications of machine learning for corporate bond yield spread forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    102. Travis J. Berge & Òscar Jordà, 2011. "Evaluating the Classification of Economic Activity into Recessions and Expansions," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 246-277, April.
    103. Sinha, Ankur & Kedas, Satishwar & Kumar, Rishu & Malo, Pekka, 2019. "Buy, Sell or Hold: Entity-Aware Classification of Business News," IIMA Working Papers WP 2019-04-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
    104. Anastasios Petropoulos & Vasilis Siakoulis & Evaggelos Stavroulakis & Aristotelis Klamargias, 2019. "A robust machine learning approach for credit risk analysis of large loan-level datasets using deep learning and extreme gradient boosting," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The use of big data analytics and artificial intelligence in central banking, volume 50, Bank for International Settlements.
    105. Hinterlang, Natascha & Hollmayr, Josef, 2021. "Classification of monetary and fiscal dominance regimes using machine learning techniques," IMFS Working Paper Series 160, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    106. Golbayani, Parisa & Florescu, Ionuţ & Chatterjee, Rupak, 2020. "A comparative study of forecasting corporate credit ratings using neural networks, support vector machines, and decision trees," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    107. Peter Martey Addo & Dominique Guegan & Bertrand Hassani, 2018. "Credit Risk Analysis Using Machine and Deep Learning Models," Risks, MDPI, vol. 6(2), pages 1-20, April.
    108. Fraisse, Henri & Laporte, Matthias, 2022. "Return on investment on artificial intelligence: The case of bank capital requirement," Journal of Banking & Finance, Elsevier, vol. 138(C).
    109. Chen, Dangxing & Ye, Jiahui & Ye, Weicheng, 2023. "Interpretable selective learning in credit risk," Research in International Business and Finance, Elsevier, vol. 65(C).
    110. Irving Fisher Committee, 2019. "The use of big data analytics and artificial intelligence in central banking," IFC Bulletins, Bank for International Settlements, number 50, July.
    111. Jan Svanberg & Tohid Ardeshiri & Isak Samsten & Peter Öhman & Presha E. Neidermeyer & Tarek Rana & Natalia Semenova & Mats Danielson, 2022. "Corporate governance performance ratings with machine learning," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 29(1), pages 50-68, January.
    112. Nikolaos Sariannidis & Stelios Papadakis & Alexandros Garefalakis & Christos Lemonakis & Tsioptsia Kyriaki-Argyro, 2020. "Default avoidance on credit card portfolios using accounting, demographical and exploratory factors: decision making based on machine learning (ML) techniques," Annals of Operations Research, Springer, vol. 294(1), pages 715-739, November.
    113. Maisa Cardoso Aniceto & Flavio Barboza & Herbert Kimura, 2020. "Machine learning predictivity applied to consumer creditworthiness," Future Business Journal, Springer, vol. 6(1), pages 1-14, December.
    114. Ryotaro Shimizu & Haruka Yamashita & Masao Ueda & Ranna Tanaka & Tetsuya Tachibana & Masayuki Goto, 2020. "Latent Variable Models for Integrated Analysis of Credit and Point Usage History Data on Rewards Credit Card System," International Business Research, Canadian Center of Science and Education, vol. 13(3), pages 106-106, March.
    115. Costa, Stefano & Sallusti, Federico & Vicarelli, Claudio & Zurlo, Davide, 2022. "Firms’ solidity before an exogenous shock: Covid-19 pandemic in Italy," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 946-961.
    116. Gao, Mingze & Leung, Henry & Liu, Linhui & Qiu, Buhui, 2023. "Consumer behaviour and credit supply: Evidence from an Australian FinTech lender," Finance Research Letters, Elsevier, vol. 57(C).
    117. Alonso-Robisco, Andrés & Carbó, José Manuel, 2022. "Can machine learning models save capital for banks? Evidence from a Spanish credit portfolio," International Review of Financial Analysis, Elsevier, vol. 84(C).
    118. Fitzpatrick, Trevor & Mues, Christophe, 2016. "An empirical comparison of classification algorithms for mortgage default prediction: evidence from a distressed mortgage market," European Journal of Operational Research, Elsevier, vol. 249(2), pages 427-439.
    119. Dat Thanh Tran & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2021. "Bilinear Input Normalization for Neural Networks in Financial Forecasting," Papers 2109.00983, arXiv.org.
    120. Santiago Carbo-Valverde & Pedro Cuadros-Solas & Francisco Rodríguez-Fernández, 2020. "A machine learning approach to the digitalization of bank customers: Evidence from random and causal forests," PLOS ONE, Public Library of Science, vol. 15(10), pages 1-39, October.
    121. Runshan Fu & Yan Huang & Param Vir Singh, 2020. "Crowd, Lending, Machine, and Bias," Papers 2008.04068, arXiv.org.
    122. Dawei Cheng & Zhibin Niu & Yi Tu & Liqing Zhang, 2017. "Prediction defaults for networked-guarantee loans," Papers 1702.04642, arXiv.org, revised Jun 2020.
    123. Akbari, Amir & Ng, Lilian & Solnik, Bruno, 2021. "Drivers of economic and financial integration: A machine learning approach," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 82-102.
    124. Anton van Dyk & Gary van Vuuren, 2023. "Measurement and Calibration of Regulatory Credit Risk Asset Correlations," JRFM, MDPI, vol. 16(9), pages 1-19, September.
    125. Baidoo, Edwin & Natarajan, Ramachandran, 2021. "Profit-based credit models with lender’s attitude towards risk and loss," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
    126. Andrés Alonso Robisco & José Manuel Carbó Martínez, 2022. "Measuring the model risk-adjusted performance of machine learning algorithms in credit default prediction," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-35, December.
    127. Swati Anand & Kushendra Mishra, 2022. "Identifying potential millennial customers for financial institutions using SVM," Journal of Financial Services Marketing, Palgrave Macmillan, vol. 27(4), pages 335-345, December.
    128. Andres Liberman & Christopher Neilson & Luis Opazo & Seth Zimmerman, 2018. "The Equilibrium Effects of Information Deletion: Evidence from Consumer Credit Markets," NBER Working Papers 25097, National Bureau of Economic Research, Inc.
    129. Stanhouse, Bryan & Schwarzkopf, Al & Ingram, Matt, 2011. "A computational approach to pricing a bank credit line," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1341-1351, June.
    130. Vasilios Plakandaras & Elie Bouri & Rangan Gupta, 2019. "Forecasting Bitcoin Returns: Is there a Role for the U.S. – China Trade War?," Working Papers 201980, University of Pretoria, Department of Economics.
    131. Sonya Georgieva, 2023. "Application of Artificial Intelligence and Machine Learning in the Conduct of Monetary Policy by Central Banks," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 177-199.

  35. Andrew W. Lo, 2009. "Regulatory reform in the wake of the financial crisis of 2007‐2008," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 1(1), pages 4-43, April.

    Cited by:

    1. Fabrizio De Francesco & Martino Maggetti, 2018. "Assessing disproportionality: indexes of policy responses to the 2007–2008 banking crisis," Policy Sciences, Springer;Society of Policy Sciences, vol. 51(1), pages 17-38, March.
    2. Shailesh Rastogi & Arpita Sharma & Geetanjali Pinto & Venkata Mrudula Bhimavarapu, 2022. "A literature review of risk, regulation, and profitability of banks using a scientometric study," Future Business Journal, Springer, vol. 8(1), pages 1-17, December.
    3. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy (IfW Kiel).
    4. Thai, Mai Thi Thanh & Turkina, Ekaterina, 2014. "Macro-level determinants of formal entrepreneurship versus informal entrepreneurship," Journal of Business Venturing, Elsevier, vol. 29(4), pages 490-510.
    5. Wendy L Currie & Jonathan J J M Seddon & Ben van Vliet, 2022. "From decision optimization to satisficing: Regulation of automated trading in the US financial markets," Post-Print hal-03839100, HAL.
    6. Corbet, Shaen & Larkin, Charles, 2017. "Has the uniformity of banking regulation within the European Union restricted rather than encouraged sectoral development?," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 48-65.
    7. Reinhart, Carmen & Rogoff, Kenneth, 2008. "¿Es tan diferente la crisis financiera de sub-prime en EEUU? Una comparacion historica internacional [“Is The 2007 U.S. Subprime Crisis So Different? An International Historical Comparison,”]," MPRA Paper 13656, University Library of Munich, Germany.
    8. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "Is the 2007 US Sub-Prime Financial Crisis So Different?: An International Historical Comparison," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(3), pages 291-299.
    9. Mohsni, Sana & Otchere, Isaac, 2018. "Does regulatory regime matter for bank risk taking? A comparative analysis of US and Canada," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 1-16.
    10. Andre R. Neveu, 2018. "A survey of network-based analysis and systemic risk measurement," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 241-281, July.
    11. Michael B. Imerman, 2020. "When enough is not enough: bank capital and the Too-Big-To-Fail subsidy," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1371-1406, November.
    12. Achleitner, Ann-Kristin & Kaserer, Christoph & Ampenberger, Markus & Bitsch, Florian, 2009. "The German entrepreneurial index (GEX®): a primer on an ownership-based style index in Germany," CEFS Working Paper Series 2009-13, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
    13. Mark D. Flood & Phillip Monin, 2016. "Form PF and Hedge Funds: Risk-measurement Precision for Option Portfolios," Working Papers 16-02, Office of Financial Research, US Department of the Treasury.
    14. Soufian, Mona & Forbes, William & Hudson, Robert, 2014. "Adapting financial rationality: Is a new paradigm emerging?," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 25(8), pages 724-742.

  36. Andrew W. Lo & Robert C. Merton, 2009. "Preface to the Annual Review of Financial Economics," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 1-17, November.

    Cited by:

    1. Schinckus, Christophe, 2018. "Pataphysics of finance: An essay of visual epistemology," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 52(C), pages 57-68.

  37. Andrew W. Lo & Jiang Wang, 2006. "Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 61(6), pages 2805-2840, December.
    See citations under working paper version above.
  38. Andrew W. Lo & Dmitry V. Repin & Brett N. Steenbarger, 2005. "Fear and Greed in Financial Markets: A Clinical Study of Day-Traders," American Economic Review, American Economic Association, vol. 95(2), pages 352-359, May.
    See citations under working paper version above.
  39. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2004. "Asset Prices and Trading Volume under Fixed Transactions Costs," Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 1054-1090, October.
    See citations under working paper version above.
  40. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
    See citations under working paper version above.
  41. Andrew Lo, 2003. "Innovation at MIT," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 33-38.

    Cited by:

    1. Novak, David C. & Koliba, Chris & Zia, Asim & Tucker, Matt, 2015. "Evaluating the outcomes associated with an innovative change in a state-level transportation project prioritization process: A case study of Vermont," Transport Policy, Elsevier, vol. 42(C), pages 130-143.

  42. Lo, Andrew W. & MacKinlay, A. Craig & Zhang, June, 2002. "Econometric models of limit-order executions," Journal of Financial Economics, Elsevier, vol. 65(1), pages 31-71, July.
    See citations under working paper version above.
  43. Joseph G. Haubrich & Andrew W. Lo, 2001. "The sources and nature of long-term memory in aggregate output," Economic Review, Federal Reserve Bank of Cleveland, issue Q II, pages 15-30.

    Cited by:

    1. Luis A. Gil-Alana & Sakiru Adebola Solarin & Mehmet Balcilar & Rangan Gupta, 2023. "Productivity and GDP: international evidence of persistence and trends over 130 years of data," Empirical Economics, Springer, vol. 64(3), pages 1219-1246, March.
    2. Nicholas Apergis & Christina Christou & Rangan Gupta & Stephen M. Miller, 2016. "Convergence in Income Inequality: Further Evidence from the Club Clustering Methodology across the U.S. States," Working papers 2016-19, University of Connecticut, Department of Economics.
    3. Stengos, Thanasis & Yazgan, M. Ege, 2014. "Persistence In Convergence," Macroeconomic Dynamics, Cambridge University Press, vol. 18(4), pages 753-782, June.
    4. Wang, Yudong & Wu, Chongfeng, 2012. "Long memory in energy futures markets: Further evidence," Resources Policy, Elsevier, vol. 37(3), pages 261-272.
    5. Laura Mayoral, 2005. "The persistence of inflation in OECD countries: A fractionally integrated approach," Economics Working Papers 958, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2005.
    6. Gilles Dufrénot & Valérie Mignon & Théo Naccache, 2012. "The slow convergence of per capita income between the developing countries: ‘growth resistance’ and sometimes ‘growth tragedy’," Post-Print hal-01385800, HAL.
    7. Guglielmo Maria Caporale & Marinko Skare, 2014. "Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis," Discussion Papers of DIW Berlin 1395, DIW Berlin, German Institute for Economic Research.
    8. Francis W. Ahking, 2004. "Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era," Working papers 2004-05, University of Connecticut, Department of Economics.
    9. Luis A. Gil‐Alana & Robert Mudida & OlaOluwa S. Yaya & Kazeem A. Osuolale & Ahamuefula E. Ogbonna, 2021. "Mapping US presidential terms with S&P500 index: Time series analysis approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1938-1954, April.
    10. Laura Mayoral, 2005. "Further evidence on the statistical properties of real GNP," Economics Working Papers 955, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2006.
    11. Gallegati, Marco, 2008. "Wavelet analysis of stock returns and aggregate economic activity," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3061-3074, February.
    12. Gianluca Moretti & Giulio Nicoletti, 2010. "Estimating DSGE models with unknown data persistence," Temi di discussione (Economic working papers) 750, Bank of Italy, Economic Research and International Relations Area.
    13. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," Discussion Papers of DIW Berlin 891, DIW Berlin, German Institute for Economic Research.
    14. Nicholas Apergis & Christina Christou & Rangan Gupta & Stephen M. Miller, 2018. "Convergence in Income Inequality: Further Evidence from the Club Clustering Methodology across States in the U.S," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 24(2), pages 147-161, May.
    15. Gilles Dufrénot & Valérie Mignon & Théo Naccache, 2012. "Testing Catching-Up Between The Developing Countries: “Growth Resistance” And Sometimes “Growth Tragedy”," Bulletin of Economic Research, Wiley Blackwell, vol. 64(4), pages 470-508, October.
    16. Sakiru, Solarin Adebola & Gil-Alana, Luis A. & Gonzalez-Blanch, Maria Jesus, 2022. "Persistence of economic complexity in OECD countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
    17. Nicholas Apergis & Arusha Cooray, 2016. "Old Wine In A New Bottle: Trade Openness And Fdi Flows—Are The Emerging Economies Converging?," Contemporary Economic Policy, Western Economic Association International, vol. 34(2), pages 336-351, April.
    18. Laura Mayoral, 2003. "Further Evidence on the Uncertain (Fractional) Unit Root in Real GNP," Working Papers 82, Barcelona School of Economics.

  44. M. B. Haugh & A. W. Lo, 2001. "Asset allocation and derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 45-72.

    Cited by:

    1. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.
    2. Jun Liu & Francis A. Longstaff & Jun Pan, 2003. "Dynamic Asset Allocation with Event Risk," Journal of Finance, American Finance Association, vol. 58(1), pages 231-259, February.
    3. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    4. Marcos Escobar-Anel & Matt Davison & Yichen Zhu, 2022. "Derivatives-based portfolio decisions: an expected utility insight," Annals of Finance, Springer, vol. 18(2), pages 217-246, June.
    5. Marco Cassader & Sergio Ortobelli Lozza, 2013. "Portfolio selection with options," Working Papers (2013-) 1303_qum, University of Bergamo, Department of Management, Economics and Quantitative Methods.
    6. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
    7. Judd, Kenneth L. & Leisen, Dietmar P.J., 2010. "Equilibrium open interest," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2578-2600, December.
    8. Gabriela Prelipcean & Mircea Boscoianu, 2020. "Risk Analysis of a Hedge Fund Oriented on Sustainable and Responsible Investments for Emerging Markets," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 22(55), pages 653-653, August.
    9. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
    10. Fischer, Marcel & Gallmeyer, Michael F., 2016. "Heuristic portfolio trading rules with capital gain taxes," Journal of Financial Economics, Elsevier, vol. 119(3), pages 611-625.
    11. Branger, Nicole & Hansis, Alexandra, 2012. "Asset allocation: How much does model choice matter?," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1865-1882.
    12. Das, Sanjiv R. & Statman, Meir, 2013. "Options and structured products in behavioral portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 137-153.
    13. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio Selection: A Target-Distribution Approach," LIDAM Discussion Papers LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
    14. Robert Kohn & Oana Papazoglu-Statescu, 2006. "On the equivalence of the static and dynamic asset allocation problems," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 173-183.
    15. Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C., 2013. "Systemic risk and the refinancing ratchet effect," Journal of Financial Economics, Elsevier, vol. 108(1), pages 29-45.
    16. Robert C. Merton & Zvi Bodie, 2004. "The Design of Financial Systems: Towards a Synthesis of Function and Structure," NBER Working Papers 10620, National Bureau of Economic Research, Inc.
    17. Balbás, Alejandro & Garrido, José & Okhrati, Ramin, 2016. "Good deal measurement in asset pricing: Actuarial and financial implications," INDEM - Working Paper Business Economic Series 23546, Instituto para el Desarrollo Empresarial (INDEM).
    18. Jun Pan & Allen Poteshman, 2004. "The Information of Option Volume for Future Stock Prices," NBER Working Papers 10925, National Bureau of Economic Research, Inc.
    19. Sebastian, Steffen P. & Steininger, Bertram I., 2021. "Real estate ETNs in strategic asset allocation," Working Paper Series 21/8, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
    20. Chiara Oldani, 2005. "An Overview of the Literature about Derivatives," Macroeconomics 0504004, University Library of Munich, Germany.
    21. Roger Bowden & Jennifer Zhu, 2010. "Multi-scale variation, path risk and long-term portfolio management," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 783-796.
    22. Yuan-Hung Hsuku, 2007. "Dynamic consumption and asset allocation with derivative securities," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 137-149.

  45. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach," Operations Research, INFORMS, vol. 49(3), pages 372-397, June.

    Cited by:

    1. Saeed Marzban & Erick Delage & Jonathan Yumeng Li, 2021. "Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures," Papers 2109.04001, arXiv.org.
    2. Andrew Lo, 2003. "Innovation at MIT," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 33-38.
    3. Alexandre Carbonneau & Fr'ed'eric Godin, 2021. "Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments," Papers 2102.12694, arXiv.org.
    4. Anna Maria Gambaro & Nicola Secomandi, 2021. "A Discussion of Non‐Gaussian Price Processes for Energy and Commodity Operations," Production and Operations Management, Production and Operations Management Society, vol. 30(1), pages 47-67, January.
    5. Michael Mania & Revaz Tevzadze, 2008. "Backward Stochastic PDEs Related to the Utility Maximization Problem," ICER Working Papers - Applied Mathematics Series 07-2008, ICER - International Centre for Economic Research.
    6. Mort Webster, 2008. "Incorporating Path Dependency into Decision-Analytic Methods: An Application to Global Climate-Change Policy," Decision Analysis, INFORMS, vol. 5(2), pages 60-75, June.
    7. Alexandre Carbonneau & Fr'ed'eric Godin, 2020. "Equal Risk Pricing of Derivatives with Deep Hedging," Papers 2002.08492, arXiv.org, revised Jun 2020.
    8. Maciej Augustyniak & Frédéric Godin & Clarence Simard, 2017. "Assessing the effectiveness of local and global quadratic hedging under GARCH models," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1305-1318, September.
    9. Secomandi, Nicola, 2022. "Quadratic hedging of risk neutral values," Energy Economics, Elsevier, vol. 112(C).
    10. Zhang, Chuanhai & Zhang, Zhengjun & Xu, Mengyu & Peng, Zhe, 2023. "Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns," Economic Modelling, Elsevier, vol. 119(C).
    11. Kamil Kladivko & Mihail Zervos, 2017. "Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging," Papers 1710.00897, arXiv.org.
    12. Gbenga Ibikunle & Vito Mollica & Qiao Sun, 2021. "Jumps in foreign exchange spot rates and the informational efficiency of currency forwards," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1201-1219, August.
    13. Augustyniak, Maciej & Godin, Frédéric & Simard, Clarence, 2019. "A profitable modification to global quadratic hedging," Journal of Economic Dynamics and Control, Elsevier, vol. 104(C), pages 111-131.
    14. Černý, Aleš & Czichowsky, Christoph & Kallsen, Jan, 2021. "Numeraire-invariant quadratic hedging and mean–variance portfolio allocation," LSE Research Online Documents on Economics 112612, London School of Economics and Political Science, LSE Library.
    15. Alev{s} v{C}ern'y & Christoph Czichowsky & Jan Kallsen, 2021. "Numeraire-invariant quadratic hedging and mean--variance portfolio allocation," Papers 2110.09416, arXiv.org, revised Jan 2023.
    16. David G. Luenberger, 2012. "Pricing dynamic binary variables and their derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 451-464, April.
    17. Carbonneau, Alexandre, 2021. "Deep hedging of long-term financial derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 327-340.
    18. Alexandre Carbonneau, 2020. "Deep Hedging of Long-Term Financial Derivatives," Papers 2007.15128, arXiv.org.
    19. Auer, Benjamin R. & Schuhmacher, Frank & Niemann, Sebastian, 2023. "Cloning mutual fund returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 31-37.
    20. Alev{s} v{C}ern'y, 2020. "The Hansen ratio in mean--variance portfolio theory," Papers 2007.15980, arXiv.org.
    21. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    22. Saeed Marzban & Erick Delage & Jonathan Yumeng Li, 2020. "Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures," Papers 2002.02876, arXiv.org, revised Sep 2020.
    23. Juan Dong & Lyudmila Korobenko & Deniz Sezer, 2019. "Nonhedgeable risk and Credit Risk Pricing," Papers 1910.08641, arXiv.org.
    24. Nicola Secomandi, 2020. "Quadratic Hedging and Optimization of Option Exercise Policies," Papers 2001.05788, arXiv.org, revised May 2022.
    25. Koichi Matsumoto & Keita Shimizu, 2020. "Hedging Derivatives on Two Assets with Model Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 83-95, March.
    26. Alexandre Carbonneau & Fr'ed'eric Godin, 2021. "Deep equal risk pricing of financial derivatives with non-translation invariant risk measures," Papers 2107.11340, arXiv.org.
    27. Achref Bachouch & C^ome Hur'e & Nicolas Langren'e & Huyen Pham, 2018. "Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications," Papers 1812.05916, arXiv.org, revised Jan 2020.
    28. Flavio Angelini & Marco Nicolosi, 2008. "Hedging error in Lévy models with a Fast Fourier Transform approach," Quaderni del Dipartimento di Economia, Finanza e Statistica 43/2008, Università di Perugia, Dipartimento Economia.
    29. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    30. David D. Yao & Shuzhong Zhang & Xun Yu Zhou, 2006. "Tracking a Financial Benchmark Using a Few Assets," Operations Research, INFORMS, vol. 54(2), pages 232-246, April.

  46. Lo, Andrew W & Wang, Jiang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," The Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 257-300.
    See citations under working paper version above.
  47. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," Journal of Finance, American Finance Association, vol. 55(4), pages 1705-1765, August.
    See citations under working paper version above.
  48. Bertsimas, Dimitris & Kogan, Leonid & Lo, Andrew W., 2000. "When is time continuous?," Journal of Financial Economics, Elsevier, vol. 55(2), pages 173-204, February.

    Cited by:

    1. Suleyman Basak & Georgy Chabakauri, 2011. "Dynamic Hedging in Incomplete Markets: A Simple Solution," FMG Discussion Papers dp680, Financial Markets Group.
    2. Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "Risk preference, option pricing and portfolio hedging with proportional transaction costs," Chaos, Solitons & Fractals, Elsevier, vol. 95(C), pages 111-130.
    3. Josh Lerner, 2002. "Where Does State Street Lead? A First Look at Finance Patents, 1971 to 2000," Journal of Finance, American Finance Association, vol. 57(2), pages 901-930, April.
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    3. Juan José Echavarría & Diego Vásquez & Mauricio Villamizar, 2009. "Impacto de las Intervenciones Cambiarias sobre el Nivel y la Volatilidad de la Tasa de Cambio en Colombia," Borradores de Economia 5509, Banco de la Republica.
    4. Dautel, Alexander Jakob & Härdle, Wolfgang Karl & Lessmann, Stefan & Seow, Hsin-Vonn, 2020. "Forex exchange rate forecasting using deep recurrent neural networks," IRTG 1792 Discussion Papers 2020-006, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    5. Breu, Christopher & Schönbohm, Avo & Löcher, Markus, 2015. "Impact of investor presentations on share prices: Evidence from DAX 30 companies from 2010-2012," Working Papers 88, Berlin School of Economics and Law, Institute of Management Berlin (IMB).
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  53. Lo, Andrew W & Wang, Jiang, 1995. "Implementing Option Pricing Models When Asset Returns Are Predictable," Journal of Finance, American Finance Association, vol. 50(1), pages 87-129, March.
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  58. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
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  59. Lo, Andrew W. & Craig MacKinlay, A., 1990. "An econometric analysis of nonsynchronous trading," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 181-211.
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  60. Lo, Andrew W. & MacKinlay, A. Craig, 1989. "The size and power of the variance ratio test in finite samples : A Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 40(2), pages 203-238, February.
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  61. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
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  62. Lo, Andrew W., 1988. "Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data," Econometric Theory, Cambridge University Press, vol. 4(2), pages 231-247, August.
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  63. Lo, Andrew W., 1987. "Semi-parametric upper bounds for option prices and expected payoffs," Journal of Financial Economics, Elsevier, vol. 19(2), pages 373-387, December.

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    2. DeMarzo, Peter M. & Kremer, Ilan & Mansour, Yishay, 2016. "Robust option pricing: Hannan and Blackwell meet Black and Scholes," Journal of Economic Theory, Elsevier, vol. 163(C), pages 410-434.
    3. Dimitris Bertsimas & Ioana Popescu, 2002. "On the Relation Between Option and Stock Prices: A Convex Optimization Approach," Operations Research, INFORMS, vol. 50(2), pages 358-374, April.
    4. Schepper, Ann De & Heijnen, Bart, 2007. "Distribution-free option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 179-199, March.
    5. Li Zhang & Norma Nielson, 2012. "Pricing for Multiline Insurer: Frictional Costs, Insolvency, and Asset Allocation," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 15(2), pages 129-152, September.
    6. Carlo Marinelli, 2023. "On some semi-parametric estimates for European option prices," Papers 2306.10929, arXiv.org.
    7. Villegas, Andrés M. & Medaglia, Andrés L. & Zuluaga, Luis F., 2012. "Computing bounds on the expected payoff of Alternative Risk Transfer products," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 271-281.
    8. John D. Rice & Brent A. Johnson & Robert L. Strawderman, 2022. "Screening for chronic diseases: optimizing lead time through balancing prescribed frequency and individual adherence," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 28(4), pages 605-636, October.
    9. Mariya Naumova & András Prékopa, 2021. "Bounding the values of financial derivatives by the use of the moment problem," Annals of Operations Research, Springer, vol. 305(1), pages 211-225, October.
    10. Zuluaga, Luis F. & Peña, Javier & Du, Donglei, 2009. "Third-order extensions of Lo's semiparametric bound for European call options," European Journal of Operational Research, Elsevier, vol. 198(2), pages 557-570, October.
    11. Jun-ya Gotoh & Yoshitsugu Yamamoto & Weifeng Yao, 2011. "Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures," Journal of Optimization Theory and Applications, Springer, vol. 151(3), pages 613-632, December.
    12. Roy H. Kwon & Jonathan Y. Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
    13. J. A. Primbs, 2010. "SDP Relaxation of Arbitrage Pricing Bounds Based on Option Prices and Moments," Journal of Optimization Theory and Applications, Springer, vol. 144(1), pages 137-155, January.
    14. Donald Brown & Rustam Ibragimov & Johan Walden, 2015. "Bounds for path-dependent options," Annals of Finance, Springer, vol. 11(3), pages 433-451, November.
    15. Samuel Palmer, 2014. "Accelerating Implicit Finite Difference Schemes Using a Hardware Optimized Tridiagonal Solver for FPGAs," Papers 1402.5094, arXiv.org, revised Oct 2015.
    16. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel, 2017. "Value-at-Risk Bounds With Variance Constraints," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 923-959, September.
    17. Didier Henrion & Felix Kirschner & Etienne De Klerk & Milan Korda & Jean-Bernard Lasserre & Victor Magron, 2023. "Revisiting Semidefinite Programming Approaches to Options Pricing: Complexity and Computational Perspectives," INFORMS Journal on Computing, INFORMS, vol. 35(2), pages 335-349, March.
    18. Jinfeng Yue & Bintong Chen & Min-Chiang Wang, 2006. "Expected Value of Distribution Information for the Newsvendor Problem," Operations Research, INFORMS, vol. 54(6), pages 1128-1136, December.
    19. Derek Singh & Shuzhong Zhang, 2020. "Tight Bounds for a Class of Data-Driven Distributionally Robust Risk Measures," Papers 2010.05398, arXiv.org, revised Oct 2020.
    20. Javier Pena & Juan Vera & Luis Zuluaga, 2010. "Static-arbitrage lower bounds on the prices of basket options via linear programming," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 819-827.
    21. William R. Melick & Charles P. Thomas, 1996. "Using options prices to infer PDF'S for asset prices: an application to oil prices during the Gulf crisis," International Finance Discussion Papers 541, Board of Governors of the Federal Reserve System (U.S.).
    22. Li, Minqiang, 2008. "Closed-Form Approximations for Spread Option Prices and Greeks," MPRA Paper 6994, University Library of Munich, Germany.
    23. Donald Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Yale School of Management Working Papers amz2581, Yale School of Management, revised 01 Jul 2005.
    24. Joel Vanden, 2006. "Exact Superreplication Strategies for a Class of Derivative Assets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 61-87.
    25. Roy Kwon & Jonathan Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
    26. Boyle, Phelim P. & Lin, X. Sheldon, 1997. "Bounds on contingent claims based on several assets," Journal of Financial Economics, Elsevier, vol. 46(3), pages 383-400, December.
    27. Dimitris Bertsimas & Aurélie Thiele, 2006. "A Robust Optimization Approach to Inventory Theory," Operations Research, INFORMS, vol. 54(1), pages 150-168, February.
    28. Chung, Kee H. & Smith, William T. & Wu, Tao L., 2009. "Time diversification: Definitions and some closed-form solutions," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1101-1111, June.
    29. Ryan, Peter J., 2003. "Progressive option bounds from the sequence of concurrently expiring options," European Journal of Operational Research, Elsevier, vol. 151(1), pages 193-223, November.
    30. Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon, 2012. "Non-parametric method for European option bounds," Review of Quantitative Finance and Accounting, Springer, vol. 38(1), pages 109-129, January.
    31. Lu, Haimin & Pei, Zhi, 2023. "Single machine scheduling with release dates: A distributionally robust approach," European Journal of Operational Research, Elsevier, vol. 308(1), pages 19-37.
    32. Liu, Guoqing & Li, Wenbo V., 2009. "Moment bounds for truncated random variables," Statistics & Probability Letters, Elsevier, vol. 79(18), pages 1951-1956, September.
    33. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation for Research in Economics, Yale University.
    34. Li Chen & Simai He & Shuzhong Zhang, 2011. "Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection," Operations Research, INFORMS, vol. 59(4), pages 847-865, August.
    35. Kirschner, Felix, 2023. "Conic optimization with applications in finance and approximation theory," Other publications TiSEM e9bef4a5-ee46-45be-90d7-9, Tilburg University, School of Economics and Management.
    36. Jun-ya Gotoh & Hiroshi Konno, 2002. "Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm," Management Science, INFORMS, vol. 48(5), pages 665-678, May.
    37. Chang, Zhiqi & Song, Shiji & Zhang, Yuli & Ding, Jian-Ya & Zhang, Rui & Chiong, Raymond, 2017. "Distributionally robust single machine scheduling with risk aversion," European Journal of Operational Research, Elsevier, vol. 256(1), pages 261-274.
    38. Robert Howley & Robert Storer & Juan Vera & Luis F. Zuluaga, 2016. "Computing semiparametric bounds on the expected payments of insurance instruments via column generation," Papers 1601.02149, arXiv.org.
    39. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    40. Peter Laurence & Tai-Ho Wang, 2008. "Distribution-free upper bounds for spread options and market-implied antimonotonicity gap," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 717-734.
    41. Carole Bernard & Silvana M. Pesenti & Steven Vanduffel, 2022. "Robust Distortion Risk Measures," Papers 2205.08850, arXiv.org, revised Mar 2023.

  64. Lo, Andrew W., 1986. "Statistical tests of contingent-claims asset-pricing models : A new methodology," Journal of Financial Economics, Elsevier, vol. 17(1), pages 143-173, September.

    Cited by:

    1. Peter C.B. Phillips & Jun Yu, 2007. "Simulation-based Estimation of Contingent-claims Prices," Cowles Foundation Discussion Papers 1596, Cowles Foundation for Research in Economics, Yale University.
    2. Butler, J. S. & Schachter, Barry, 1996. "The statistical properties of parameters inferred from the black-scholes formula," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 223-235.
    3. Duan, Jin-Chuan & Simonato, Jean-Guy, 2002. "Maximum likelihood estimation of deposit insurance value with interest rate risk," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 109-132, January.
    4. Kristensen, Dennis, 2004. "A semiparametric single-factor model of the term structure," LSE Research Online Documents on Economics 24741, London School of Economics and Political Science, LSE Library.
    5. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    6. Dumas, Bernard J & Fleming, Jeff & Whaley, Robert E, 1996. "Implied Volatility Functions: Empirical Tests," CEPR Discussion Papers 1369, C.E.P.R. Discussion Papers.
    7. Andrew W. Lo & Jiang Wang, 1994. "Implementing Option Pricing Models When Asset Returns Are Predictable," NBER Working Papers 4720, National Bureau of Economic Research, Inc.
    8. Andrew W. Lo, 1986. "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," NBER Technical Working Papers 0059, National Bureau of Economic Research, Inc.
    9. Rady, Sven, 1994. "The Direct Approach to Debt Option Pricing," Munich Reprints in Economics 3404, University of Munich, Department of Economics.
    10. Kristensen, Dennis, 2004. "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics 24738, London School of Economics and Political Science, LSE Library.
    11. Schotman, Peter, 1996. "A Bayesian approach to the empirical valuation of bond options," Journal of Econometrics, Elsevier, vol. 75(1), pages 183-215, November.
    12. David Bates & Roger Craine, 1998. "Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash," NBER Working Papers 6505, National Bureau of Economic Research, Inc.
    13. Bollen, Nicolas P. B. & Gray, Stephen F. & Whaley, Robert E., 2000. "Regime switching in foreign exchange rates: Evidence from currency option prices," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 239-276.
    14. Len, Angel & Vaello-Sebasti, Antoni, 2009. "American GARCH employee stock option valuation," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1129-1143, June.
    15. George Dotsis & Vasiliki Makropoulou & Raphael Nicholas Markellos, 2012. "Investment under uncertainty and volatility estimation risk," Applied Economics Letters, Taylor & Francis Journals, vol. 19(2), pages 133-137, February.
    16. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    17. Hadjiyannakis, Steve & Culumovic, Louis & Welch, Robert L., 1998. "The relative mispricing of the constant variance American put model," International Review of Economics & Finance, Elsevier, vol. 7(2), pages 149-171.

  65. Lo, Andrew W., 1986. "Logit versus discriminant analysis : A specification test and application to corporate bankruptcies," Journal of Econometrics, Elsevier, vol. 31(2), pages 151-178, March.

    Cited by:

    1. BATRANCEA Ioan & BATRANCEA Larissa & STOIA Ioan, 2013. "Statistical Study On The Risk Of Bankruptcy In Bank," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 65(5), pages 18-30.
    2. Premachandra, I.M. & Bhabra, Gurmeet Singh & Sueyoshi, Toshiyuki, 2009. "DEA as a tool for bankruptcy assessment: A comparative study with logistic regression technique," European Journal of Operational Research, Elsevier, vol. 193(2), pages 412-424, March.
    3. José Willer Prado & Valderí Castro Alcântara & Francisval Melo Carvalho & Kelly Carvalho Vieira & Luiz Kennedy Cruz Machado & Dany Flávio Tonelli, 2016. "Multivariate analysis of credit risk and bankruptcy research data: a bibliometric study involving different knowledge fields (1968–2014)," Scientometrics, Springer;Akadémiai Kiadó, vol. 106(3), pages 1007-1029, March.
    4. Harlan Platt & Marjorie Platt, 2002. "Predicting corporate financial distress: Reflections on choice-based sample bias," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(2), pages 184-199, June.
    5. Mohammad Mahdi Mousavi & Jamal Ouenniche & Kaoru Tone, 2023. "A dynamic performance evaluation of distress prediction models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 756-784, July.
    6. Kung, Ko-Lun & MacMinn, Richard D. & Kuo, Weiyu & Tsai, Chenghsien Jason, 2022. "Multi-population mortality modeling: When the data is too much and not enough," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 41-55.
    7. Sueyoshi, Toshiyuki & Goto, Mika, 2009. "DEA-DA for bankruptcy-based performance assessment: Misclassification analysis of Japanese construction industry," European Journal of Operational Research, Elsevier, vol. 199(2), pages 576-594, December.
    8. Marco Muscettola, 2016. "Medium Risk Companies: The Probability of Notching-Up," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(12), pages 63-76, December.
    9. Bertrand Hassani & Xin Zhao, 2014. "Reconsidering Corporate Ratings," Post-Print hal-01117683, HAL.
    10. Evi Neophytou & Cecilio Mar Molinero, 2004. "Predicting Corporate Failure in the UK: A Multidimensional Scaling Approach," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 677-710, June.
    11. João Rebelo & José Vaz Caldas, 2010. "Default Mortgage Profile: A Micro Analysis Of The Portuguese Case," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 109-125.
    12. Fernando Zambrano Farias & María del Carmen Valls Martínez & Pedro Antonio Martín-Cervantes, 2021. "Explanatory Factors of Business Failure: Literature Review and Global Trends," Sustainability, MDPI, vol. 13(18), pages 1-26, September.
    13. Mireille Bardos, 2007. "What is at stake in the construction and use of credit scores?," Computational Economics, Springer;Society for Computational Economics, vol. 29(2), pages 159-172, March.
    14. Wolfgang Karl Härdle & Dedy Dwi Prastyo & Christian Hafner, 2012. "Support Vector Machines with Evolutionary Feature Selection for Default Prediction," SFB 649 Discussion Papers SFB649DP2012-030, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    15. Sueyoshi, Toshiyuki & Goto, Mika, 2009. "Can R&D expenditure avoid corporate bankruptcy? Comparison between Japanese machinery and electric equipment industries using DEA-discriminant analysis," European Journal of Operational Research, Elsevier, vol. 196(1), pages 289-311, July.
    16. Sueyoshi, Toshiyuki & Goto, Mika, 2009. "Methodological comparison between DEA (data envelopment analysis) and DEA-DA (discriminant analysis) from the perspective of bankruptcy assessment," European Journal of Operational Research, Elsevier, vol. 199(2), pages 561-575, December.
    17. Josep M. Argilés, 1998. "Accounting information and the prediction of farm viability," Economics Working Papers 277, Department of Economics and Business, Universitat Pompeu Fabra.
    18. Michael Willoughby & Pedro Carmona & Alexandre Momparler, 2011. "The effects of the provision of consulting services on audit reporting quality," The Service Industries Journal, Taylor & Francis Journals, vol. 32(3), pages 411-429, February.
    19. Dejan JOVANOVIĆ & Mirjana TODOROVIĆ & Milka GRBIĆ, 2017. "Financial Indicators As Predictors Of Illiquidity," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 128-149, March.
    20. Sanjiv R. Das & Darrell Duffie & Nikunj Kapadia & Leandro Saita, 2007. "Common Failings: How Corporate Defaults Are Correlated," Journal of Finance, American Finance Association, vol. 62(1), pages 93-117, February.
    21. Şaban Çelik & Bora Aktan & Bruce Burton, 2022. "Firm dynamics and bankruptcy processes: A new theoretical model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 567-591, April.
    22. Ana Sofia Lopes & Ana Sargento, 2023. "Regional Heterogeneity in the Individual Unemployment Vulnerability After COVID-19 Outset," International Regional Science Review, , vol. 46(5-6), pages 678-700, September.
    23. Cadogan, Godfrey, 1994. "Do Public Sector Contracts And Policy Towards Small Firms Matter?: Evidence From Women Business Enterprises," MPRA Paper 26595, University Library of Munich, Germany, revised 14 Sep 2010.
    24. Yu Zhao & Shaopeng Wei & Yu Guo & Qing Yang & Xingyan Chen & Qing Li & Fuzhen Zhuang & Ji Liu & Gang Kou, 2022. "Combining Intra-Risk and Contagion Risk for Enterprise Bankruptcy Prediction Using Graph Neural Networks," Papers 2202.03874, arXiv.org, revised Jul 2022.
    25. Batrancea Ioan & Bechis Liviu & Batrancea Larissa & Stoia Ioan, 2013. "Ratios Method - A Way Of Measuring The Local Government Performance," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 296-304, December.
    26. Dreyer, Bent & Gronhaug, Kjell, 2004. "Uncertainty, flexibility, and sustained competitive advantage," Journal of Business Research, Elsevier, vol. 57(5), pages 484-494, May.
    27. Iman Aghaei & Amin Sokhanvar, 2020. "Factors influencing SME owners’ continuance intention in Bangladesh: a logistic regression model," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 10(3), pages 391-415, September.
    28. Gouriéroux, Christian & Monfort, Alain, 1997. "Modèles de comptage semi-paramétriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 525-550, mars-juin.
    29. Bertrand K Hassani & Xin Zhao, 2014. "Reconsidering Corporate Ratings," Documents de travail du Centre d'Economie de la Sorbonne 14077, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    30. Le, Hong Hanh & Viviani, Jean-Laurent, 2018. "Predicting bank failure: An improvement by implementing a machine-learning approach to classical financial ratios," Research in International Business and Finance, Elsevier, vol. 44(C), pages 16-25.
    31. Oscar Martínez, 2003. "Determinantes De Fragilidad En Las Empresas Colombianas," Borradores de Economia 2300, Banco de la Republica.
    32. Rahul Dhumale, 2000. "Capital Adequacy Standards: Are They Sufficient?," Working Papers wp165, Centre for Business Research, University of Cambridge.
    33. Platt, Harlan D. & Platt, Marjorie B., 2006. "Understanding Differences Between Financial Distress and Bankruptcy," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 2(2), pages 1-17.
    34. Barniv, Ran & Mehrez, Abraham & Kline, Douglas M., 2000. "Confidence intervals for controlling the probability of bankruptcy," Omega, Elsevier, vol. 28(5), pages 555-565, October.
    35. Fabián Enrique Salazar Villano, 2013. "Cuantificación del riesgo de incumplimiento en créditos de libre inversión: un ejercicio econométrico para una entidad bancaria del municipio de Popayán, Colombia," Estudios Gerenciales, Universidad Icesi, December.
    36. Becchetti, Leonardo & Sierra, Jaime, 2003. "Bankruptcy risk and productive efficiency in manufacturing firms," Journal of Banking & Finance, Elsevier, vol. 27(11), pages 2099-2120, November.
    37. Josep M. Argilés, 2002. "Importancia de la información contable para el análisis y predicción de la viabilidad de las explotaciones agrícolas," Economics Working Papers 612, Department of Economics and Business, Universitat Pompeu Fabra.
    38. Mizen, Paul & Tsoukas, Serafeim, 2012. "Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model," International Journal of Forecasting, Elsevier, vol. 28(1), pages 273-287.
    39. Kallberg, Jarl G. & Udell, Gregory F., 2003. "The value of private sector business credit information sharing: The US case," Journal of Banking & Finance, Elsevier, vol. 27(3), pages 449-469, March.
    40. Şaban Çelik, 2013. "Micro Credit Risk Metrics: A Comprehensive Review," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 20(4), pages 233-272, October.
    41. BATRANCEA Ioan & GABAN Lucian & RUS Ioan, 2015. "The Evaluation Of A Group Of Banks Rating In Romania. A Comparative Analysis," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 67(2), pages 49-60.
    42. Hamerle, Alfred & Liebig, Thilo & Rösch, Daniel, 2003. "Credit Risk Factor Modeling and the Basel II IRB Approach," Discussion Paper Series 2: Banking and Financial Studies 2003,02, Deutsche Bundesbank.
    43. Kurt M. Fanning & Kenneth O. Cogger, 1994. "A Comparative Analysis of Artificial Neural Networks Using Financial Distress Prediction," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 3(4), pages 241-252, December.
    44. Mohammad Mahdi Mousavi & Jamal Ouenniche, 2018. "Multi-criteria ranking of corporate distress prediction models: empirical evaluation and methodological contributions," Annals of Operations Research, Springer, vol. 271(2), pages 853-886, December.
    45. Shiyi Chen & Wolfgang Härdle & Rouslan Moro, 2006. "Estimation of Default Probabilities with Support Vector Machines," SFB 649 Discussion Papers SFB649DP2006-077, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    46. Bertrand Hassani & Xin Zhao, 2014. "Reconsidering Corporate Ratings," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01117683, HAL.
    47. Cecilio Mar-Molinero & Carlos Serrano-Cinca, 2001. "Bank failure: a multidimensional scaling approach," The European Journal of Finance, Taylor & Francis Journals, vol. 7(2), pages 165-183.
    48. Marco Muscettola, 2019. "Distinctiveness of Highly Risky Italian Firms That are Saved-A Logistic Approach," Applied Economics and Finance, Redfame publishing, vol. 6(1), pages 64-73, January.
    49. Lamm-Tennant, Joan & Starks, Laura & Stokes, Lynne, 1996. "Considerations of cost trade-offs in insurance solvency surveillance policy," Journal of Banking & Finance, Elsevier, vol. 20(5), pages 835-852, June.
    50. Haris Doukas & Panos Xidonas & Nikos Mastromichalakis, 2022. "How Successful are Energy Efficiency Investments? A Comparative Analysis for Classification & Performance Prediction," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 579-598, February.
    51. Becchetti, Leonardo & Castelli, Annalisa & Hasan, Iftekhar, 2008. "Investment-cash flow sensitivities, credit rationing and financing constraints," Bank of Finland Research Discussion Papers 15/2008, Bank of Finland.
    52. Nguyen, Ha, 2023. "An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 103-121.
    53. Carlos Serrano-Cinca & Begoña Gutiérrez-Nieto, 2011. "Partial Least Square Discriminant Analysis (PLS-DA) for bankruptcy prediction," Working Papers CEB 11-024, ULB -- Universite Libre de Bruxelles.
    54. Alexandra Horobet & Stefania Cristina Curea & Alexandra Smedoiu Popoviciu & Cosmin-Alin Botoroga & Lucian Belascu & Dan Gabriel Dumitrescu, 2021. "Solvency Risk and Corporate Performance: A Case Study on European Retailers," JRFM, MDPI, vol. 14(11), pages 1-34, November.
    55. Harlan D. Platt & Marjorie B. Platt, 2008. "Financial Distress Comparison Across Three Global Regions," JRFM, MDPI, vol. 1(1), pages 1-34, December.
    56. Carlos Serrano-Cinca, 1997. "Feedforward neural networks in the classification of financial information," The European Journal of Finance, Taylor & Francis Journals, vol. 3(3), pages 183-202.
    57. Leonardo Becchetti & Annalisa Castelli & Iftekhar Hasan, 2010. "Investment–cash flow sensitivities, credit rationing and financing constraints in small and medium-sized firms," Small Business Economics, Springer, vol. 35(4), pages 467-497, November.
    58. Wolfgang Karl Härdle & Dedy Dwi Prastyo, 2013. "Default Risk Calculation based on Predictor Selection for the Southeast Asian Industry," SFB 649 Discussion Papers SFB649DP2013-037, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    59. Fourgeaud Claude & Gourieroux Christian & Pradel Jacqueline, 1990. "Sélection de clientèle et tarification de prêt bancaire," CEPREMAP Working Papers (Couverture Orange) 9004, CEPREMAP.
    60. Pinder, Jonathan P., 1996. "Decision analysis using multinomial logit models: Mortgage portfolio valuation," Journal of Economics and Business, Elsevier, vol. 48(1), pages 67-77, February.
    61. Somerville, R. A. & Taffler, R. J., 1995. "Banker judgement versus formal forecasting models: The case of country risk assessment," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 281-297, May.
    62. Batrancea Larissa-Margareta, 2011. "Measuring The Risk Of Bankruptcy In The Commercial Sector In Romania," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 393-399, December.
    63. Nicholas Wilson & Barbara Summers & Robert Hope, 2000. "Using Payment Behaviour Data for Credit Risk Modelling," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 7(3), pages 333-346.

  66. Lo, Andrew W. & Newey, Whitney K., 1985. "A large-sample chow test for the linear simultaneous equation," Economics Letters, Elsevier, vol. 18(4), pages 351-353.

    Cited by:

    1. Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Division of Economics, School of Business, University of Leicester.
    2. Ziliak, J.P. & Kniesner, T.J., 1996. "The Importance of Sample Attrition in Life Cycle Labor Supply," Discussion Paper 1996-46, Tilburg University, Center for Economic Research.
    3. Donald W.K. Andrews & Ray C. Fair, 1987. "Inference in Econometric Models with Structural Change," Cowles Foundation Discussion Papers 832, Cowles Foundation for Research in Economics, Yale University.
    4. Rubin, Paul H. & Dezhbakhsh, Hashem, 2003. "The effect of concealed handgun laws on crime: beyond the dummy variables," International Review of Law and Economics, Elsevier, vol. 23(2), pages 199-216, June.
    5. Lorenzo Escot & Julio E. Sandubete & Łukasz Pietrych, 2023. "Detecting Structural Changes in Time Series by Using the BDS Test Recursively: An Application to COVID-19 Effects on International Stock Markets," Mathematics, MDPI, vol. 11(23), pages 1-18, December.

Chapters

  1. Joseph Barberio & Jacob Becraft & Zied Ben Chaouch & Dimitris Bertsimas & Tasuku Kitada & Michael L. Li & Andrew W. Lo & Kevin Shi & Qingyang Xu, 2022. "Accelerating Vaccine Innovation for Emerging Infectious Diseases via Parallel Discovery," NBER Chapters, in: Entrepreneurship and Innovation Policy and the Economy, volume 2, pages 9-39, National Bureau of Economic Research, Inc.
    See citations under working paper version above.
  2. Joseph G. Haubrich & Andrew W. Lo, 2012. "Introduction to "Quantifying Systemic Risk"," NBER Chapters, in: Quantifying Systemic Risk, pages 1-10, National Bureau of Economic Research, Inc.

    Cited by:

    1. Clark, Jill K. & Jablonski, Becca B.R., 2022. "Managing across boundaries for coordinated local and regional food system policy," Food Policy, Elsevier, vol. 112(C).
    2. Yucheng Yang & Yue Pang & Guanhua Huang & Weinan E, 2020. "The Knowledge Graph for Macroeconomic Analysis with Alternative Big Data," Papers 2010.05172, arXiv.org.
    3. Hannon, Matthew J. & Bolton, Ronan, 2015. "UK Local Authority engagement with the Energy Service Company (ESCo) model: Key characteristics, benefits, limitations and considerations," Energy Policy, Elsevier, vol. 78(C), pages 198-212.
    4. Yen-Lin Chiu, 2015. "Towards sustainable enterprises: the impact factor of climate change for corporate responsibility and performance," European Journal of Law and Economics, Springer, vol. 40(2), pages 341-365, October.
    5. Hackl, Roman & Harvey, Simon, 2013. "Framework methodology for increased energy efficiency and renewable feedstock integration in industrial clusters," Applied Energy, Elsevier, vol. 112(C), pages 1500-1509.

  3. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
    See citations under working paper version above.
  4. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
    See citations under working paper version above.
  5. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "When Is Time Continuous?," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 3, pages 71-102, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.
  6. Andrew W. Lo, 1996. "Introduction to "The Industrial Organization and Regulation of the Securities Industry"," NBER Chapters, in: The Industrial Organization and Regulation of the Securities Industry, pages 1-8, National Bureau of Economic Research, Inc.

    Cited by:

    1. Costa, Geraldo Jr. & Trujillo-Barrera, Andres & Pennings, Joost M.E., 2018. "Concentration and Liquidity Costs in Emerging Commodity Exchanges," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 43(3), September.
    2. Cécile Cézanne & Marianne Rubinstein, 2010. "La RSE comme instrument de la gouvernance d'entreprise," Post-Print hal-00628645, HAL.

Books

  1. Joseph G. Haubrich & Andrew W. Lo, 2013. "Quantifying Systemic Risk," NBER Books, National Bureau of Economic Research, Inc, number haub10-1, March.

    Cited by:

    1. Adrian, Tobias & Breuer, Peter & Ashcraft, Adam & Cetorelli, Nicola, 2018. "A Review of Shadow Banking," CEPR Discussion Papers 13363, C.E.P.R. Discussion Papers.
    2. Fischer, Thomas & Riedler, Jesper, 2012. "Prices, debt and market structure in an agent-based model of the financial market," ZEW Discussion Papers 12-045, ZEW - Leibniz Centre for European Economic Research.
    3. Wilmar Alexander Cabrera Rodríguez & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 32(75), pages 1-22, December.
    4. Christophe Orazio & Rebeca Cordero Montoya & Margot Régolini & José G. Borges & Jordi Garcia-Gonzalo & Susana Barreiro & Brigite Botequim & Susete Marques & Róbert Sedmák & Róbert Smreček & Yvonne Bro, 2017. "Decision Support Tools and Strategies to Simulate Forest Landscape Evolutions Integrating Forest Owner Behaviour: A Review from the Case Studies of the European Project, INTEGRAL," Sustainability, MDPI, vol. 9(4), pages 1-31, April.
    5. Lu Bai & Lixin Cui & Lixiang Xu & Yue Wang & Zhihong Zhang & Edwin R. Hancock, 2019. "Entropic Dynamic Time Warping Kernels for Co-evolving Financial Time Series Analysis," Papers 1910.09153, arXiv.org.
    6. Büyükşahin, Bahattin & Robe, Michel A., 2014. "Speculators, commodities and cross-market linkages," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 38-70.
    7. Viral V. Acharya & Hamid Mehran & Anjan V. Thakor, 2010. "Caught between Scylla and Charybdis? Regulating bank leverage when there is rent seeking and risk shifting," Working Papers (Old Series) 1024, Federal Reserve Bank of Cleveland.
    8. Drago Bergholt & Päivi Lujala, 2012. "Climate-related natural disasters, economic growth, and armed civil conflict," Journal of Peace Research, Peace Research Institute Oslo, vol. 49(1), pages 147-162, January.
    9. Herculano, Miguel C., 2018. "The role of contagion in the transmission of financial stress," ESRB Working Paper Series 81, European Systemic Risk Board.
    10. Andre R. Neveu, 2018. "A survey of network-based analysis and systemic risk measurement," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 241-281, July.
    11. Anufriev, Mikhail & Panchenko, Valentyn, 2015. "Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 241-255.
    12. De Nicolò, Gianni & Juvenal, Luciana, 2014. "Financial integration, globalization, and real activity," Journal of Financial Stability, Elsevier, vol. 10(C), pages 65-75.
    13. Matteo Serri & Guido Caldarelli & Giulio Cimini, 2016. "How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation," Papers 1611.04311, arXiv.org.
    14. Alin-Marius Andries & Florentina Melnic & Simona Nistor, 2018. "Effects of Macroprudential Policy on Systemic Risk and Bank Risk Taking," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(3), pages 202-244, July.
    15. Wilmar Alexander Cabrera Rodríguez & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR," Borradores de Economia 11142, Banco de la Republica.
    16. in ’t Veld, Daan & van Lelyveld, Iman, 2014. "Finding the core: Network structure in interbank markets," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 27-40.
    17. Marcella Lucchetta & Mr. Gianni De Nicolo, 2012. "Systemic Real and Financial Risks: Measurement, Forecasting, and Stress Testing," IMF Working Papers 2012/058, International Monetary Fund.
    18. Arinaminpathy, Nimalan & Kapadia, Sujit & May, Robert, 2012. "Size and complexity in model financial systems," Bank of England working papers 465, Bank of England.

  2. Haubrich, Joseph G. & Lo, Andrew W. (ed.), 2013. "Quantifying Systemic Risk," National Bureau of Economic Research Books, University of Chicago Press, number 9780226319285, December.

    Cited by:

    1. Christophe Orazio & Rebeca Cordero Montoya & Margot Régolini & José G. Borges & Jordi Garcia-Gonzalo & Susana Barreiro & Brigite Botequim & Susete Marques & Róbert Sedmák & Róbert Smreček & Yvonne Bro, 2017. "Decision Support Tools and Strategies to Simulate Forest Landscape Evolutions Integrating Forest Owner Behaviour: A Review from the Case Studies of the European Project, INTEGRAL," Sustainability, MDPI, vol. 9(4), pages 1-31, April.
    2. Lu Bai & Lixin Cui & Lixiang Xu & Yue Wang & Zhihong Zhang & Edwin R. Hancock, 2019. "Entropic Dynamic Time Warping Kernels for Co-evolving Financial Time Series Analysis," Papers 1910.09153, arXiv.org.
    3. Anufriev, Mikhail & Panchenko, Valentyn, 2015. "Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 241-255.
    4. Matteo Serri & Guido Caldarelli & Giulio Cimini, 2016. "How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation," Papers 1611.04311, arXiv.org.
    5. in ’t Veld, Daan & van Lelyveld, Iman, 2014. "Finding the core: Network structure in interbank markets," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 27-40.

  3. Andrew W. Lo, 2010. "Hedge Funds: An Analytic Perspective Updated Edition," Economics Books, Princeton University Press, edition 1, number 9177.

    Cited by:

    1. William H. Press, 2023. "NYSE Price Correlations Are Abitrageable Over Hours and Predictable Over Years," Papers 2305.08241, arXiv.org.
    2. Daniel Barth & Laurel Hammond & Phillip Monin, 2020. "Leverage and Risk in Hedge Funds," Working Papers 20-02, Office of Financial Research, US Department of the Treasury.
    3. Huck, Nicolas, 2019. "Large data sets and machine learning: Applications to statistical arbitrage," European Journal of Operational Research, Elsevier, vol. 278(1), pages 330-342.
    4. Guo, Ming & Ou-Yang, Hui, 2021. "Alpha decay and Sharpe ratio: Two measures of investor performance," Economic Modelling, Elsevier, vol. 104(C).
    5. Zura Kakushadze, 2020. "Quant Bust 2020," Papers 2006.05632, arXiv.org.
    6. Rahman, Md Lutfur & Al Mamun, Mohammed Abdullah, 2021. "How resilient are the Asia Pacific financial markets against a global pandemic?," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).

  4. Andrew W. Lo (ed.), 2007. "The International Library of Financial Econometrics series," Books, Edward Elgar Publishing, volume 0, number 3048.

    Cited by:

    1. Alom, Fardous, 2011. "Economic Effects of Oil and Food Price Shocks in Asia and Pacific Countries: An Application of SVAR Model," 2011 Conference, August 25-26, 2011, Nelson, New Zealand 115346, New Zealand Agricultural and Resource Economics Society.

  5. Andrew W. Lo (ed.), 1997. "Market Efficiency," Books, Edward Elgar Publishing, volume 0, number 1042.

    Cited by:

    1. Brown, Philip & Thomson, Nathanial & Walsh, David, 1999. "Characteristics of the order flow through an electronic open limit order book," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(4), pages 335-357, November.
    2. Marcel Fafchamps & Agnes R. Quisumbing, "undated". "Human Capital, Productivity, and Labor Allocation in Rural Pakistan," Working Papers 97019, Stanford University, Department of Economics.
    3. Dow, James, 2013. "Boards, CEO entrenchment, and the cost of capital," Journal of Financial Economics, Elsevier, vol. 110(3), pages 680-695.
    4. Froot, Kenneth A. & O'Connell, Paul G. J. & Seasholes, Mark S., 2001. "The portfolio flows of international investors," Journal of Financial Economics, Elsevier, vol. 59(2), pages 151-193, February.

  6. Lo, Andrew W. (ed.), 1996. "The Industrial Organization and Regulation of the Securities Industry," National Bureau of Economic Research Books, University of Chicago Press, edition 1, number 9780226488479, December.

    Cited by:

    1. Huang, Roger D. & Masulis, Ronald W., 2003. "Trading activity and stock price volatility: evidence from the London Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 249-269, May.
    2. Yaron Leitner, 2005. "A theory of an intermediary with nonexclusive contracting," Working Papers 05-12, Federal Reserve Bank of Philadelphia.
    3. Ilhyock Shim & Goetz von Peter, 2007. "Distress selling and asset market feedback," BIS Working Papers 229, Bank for International Settlements.
    4. Stéphane Rousseau, 2012. "A Question of Credibility: Enhancing the Accountability and Effectiveness of Credit Rating Agencies," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 356, July.
    5. Boni, Leslie & Leach, Chris, 2004. "Expandable limit order markets," Journal of Financial Markets, Elsevier, vol. 7(2), pages 145-185, February.
    6. Neil McCulloch & Grazia Pacillo, 2010. "The Tobin Tax A Review of the Evidence," Working Paper Series 1611, Department of Economics, University of Sussex Business School.
    7. Hasan, Iftekhar & Malkamaki, Markku, 2001. "Are expansions cost effective for stock exchanges? A global perspective," Journal of Banking & Finance, Elsevier, vol. 25(12), pages 2339-2366, December.
    8. Robert Pollin & Dean Baker & Marc Schaberg, 2003. "Securities Transaction Taxes for U.S. Financial Markets," Eastern Economic Journal, Eastern Economic Association, vol. 29(4), pages 527-558, Fall.
    9. Matthew J. Clayton & Bjorn N. Jorgensen & Kenneth A. Kavajecz, "undated". "On the Formation and Structure of International Exchanges," Rodney L. White Center for Financial Research Working Papers 22-99, Wharton School Rodney L. White Center for Financial Research.
    10. Hasan, Iftekhar & Malkamaki, Markku & Schmiedel, Heiko, 2003. "Technology, automation, and productivity of stock exchanges: International evidence," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1743-1773, September.
    11. Bonser-Neal, Catherine & Linnan, David & Neal, Robert, 1999. "Emerging market transaction costs: Evidence from Indonesia," Pacific-Basin Finance Journal, Elsevier, vol. 7(2), pages 103-127, May.
    12. Giorgio Di Giorgio & Carmine Di Noia & Laura Piatti, 2000. "Financial Market Regulation: The Case of Italy and a Proposal for the Euro Area," Center for Financial Institutions Working Papers 00-24, Wharton School Center for Financial Institutions, University of Pennsylvania.
    13. Giorgio Di Giorgio & Carmine Di Noia, 2001. "Financial Regulation and Supervision in the Euro Area: A Four-Peak Proposal," Center for Financial Institutions Working Papers 01-02, Wharton School Center for Financial Institutions, University of Pennsylvania.
    14. Yaron Leitner, 2003. "Non-exclusive contracts, collateralized trade, and a theory of an exchange," Working Papers 03-3, Federal Reserve Bank of Philadelphia.
    15. Seth Armitage, 2007. "Discounts in Placing Pre‐renounced Shares in Rights Issues," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(7‐8), pages 1345-1369, September.
    16. Giorgio di Giorgio & Carmine Di Noia, 2000. "Designing institutions for financial stability: Regulation and supervision by objective for the Euro area," Economics Working Papers 517, Department of Economics and Business, Universitat Pompeu Fabra.
    17. Yaron Leitner, 2004. "Non-Exclusive Contracts, Collateralized Trade, and a Theory of an Exchange," Econometric Society 2004 North American Winter Meetings 397, Econometric Society.
    18. Pierre-Cyrille Hautcoeur & Amir Rezaee & Angelo Riva, 2018. "Competition among Securities Markets," Working Papers halshs-01863942, HAL.
    19. Costa, Geraldo Jr. & Trujillo-Barrera, Andres & Pennings, Joost M.E., 2018. "Concentration and Liquidity Costs in Emerging Commodity Exchanges," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 43(3), September.
    20. Hatch, Brian C. & Johnson, Shane A., 2002. "The impact of specialist firm acquisitions on market quality," Journal of Financial Economics, Elsevier, vol. 66(1), pages 139-167, October.
    21. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Staff Working Papers 02-9, Bank of Canada.
    22. Tse, Yiuman & Xiang, Ju, 2005. "Market quality and price discovery: Introduction of the E-mini energy futures," Global Finance Journal, Elsevier, vol. 16(2), pages 164-179, December.
    23. John Board & Charles Sutcliffe & Anne Vila, 2000. "Market Maker Performance: The Search for Fair Weather Market Makers," Journal of Financial Services Research, Springer;Western Finance Association, vol. 17(3), pages 259-276, September.
    24. Seth Armitage & Janusz Brzeszczyński & Anna Serdyuk, 2014. "Liquidity Measures and Cost of Trading in an Illiquid Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 13(2), pages 155-196, August.

  7. Andrew W. Lo, 1996. "The Industrial Organization and Regulation of the Securities Industry," NBER Books, National Bureau of Economic Research, Inc, number lo__96-1, March.

    Cited by:

    1. Huang, Roger D. & Masulis, Ronald W., 2003. "Trading activity and stock price volatility: evidence from the London Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 249-269, May.
    2. Stéphane Rousseau, 2012. "A Question of Credibility: Enhancing the Accountability and Effectiveness of Credit Rating Agencies," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 356, July.
    3. Boni, Leslie & Leach, Chris, 2004. "Expandable limit order markets," Journal of Financial Markets, Elsevier, vol. 7(2), pages 145-185, February.
    4. Neil McCulloch & Grazia Pacillo, 2010. "The Tobin Tax A Review of the Evidence," Working Paper Series 1611, Department of Economics, University of Sussex Business School.
    5. Hasan, Iftekhar & Malkamaki, Markku, 2001. "Are expansions cost effective for stock exchanges? A global perspective," Journal of Banking & Finance, Elsevier, vol. 25(12), pages 2339-2366, December.
    6. Robert Pollin & Dean Baker & Marc Schaberg, 2003. "Securities Transaction Taxes for U.S. Financial Markets," Eastern Economic Journal, Eastern Economic Association, vol. 29(4), pages 527-558, Fall.
    7. Matthew J. Clayton & Bjorn N. Jorgensen & Kenneth A. Kavajecz, "undated". "On the Formation and Structure of International Exchanges," Rodney L. White Center for Financial Research Working Papers 22-99, Wharton School Rodney L. White Center for Financial Research.
    8. Hasan, Iftekhar & Malkamaki, Markku & Schmiedel, Heiko, 2003. "Technology, automation, and productivity of stock exchanges: International evidence," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1743-1773, September.
    9. Bonser-Neal, Catherine & Linnan, David & Neal, Robert, 1999. "Emerging market transaction costs: Evidence from Indonesia," Pacific-Basin Finance Journal, Elsevier, vol. 7(2), pages 103-127, May.
    10. Seth Armitage, 2007. "Discounts in Placing Pre‐renounced Shares in Rights Issues," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(7‐8), pages 1345-1369, September.
    11. Costa, Geraldo Jr. & Trujillo-Barrera, Andres & Pennings, Joost M.E., 2018. "Concentration and Liquidity Costs in Emerging Commodity Exchanges," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 43(3), September.
    12. Hatch, Brian C. & Johnson, Shane A., 2002. "The impact of specialist firm acquisitions on market quality," Journal of Financial Economics, Elsevier, vol. 66(1), pages 139-167, October.
    13. Tse, Yiuman & Xiang, Ju, 2005. "Market quality and price discovery: Introduction of the E-mini energy futures," Global Finance Journal, Elsevier, vol. 16(2), pages 164-179, December.
    14. John Board & Charles Sutcliffe & Anne Vila, 2000. "Market Maker Performance: The Search for Fair Weather Market Makers," Journal of Financial Services Research, Springer;Western Finance Association, vol. 17(3), pages 259-276, September.
    15. Seth Armitage & Janusz Brzeszczyński & Anna Serdyuk, 2014. "Liquidity Measures and Cost of Trading in an Illiquid Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 13(2), pages 155-196, August.

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