Frontiers of Finance: Evolution and Efficient Markets
with J. Doyne Farmer, Proceedings of the National Academy of Sciences 96 (1999), 9991–9992.
The Sources and Nature of Long-Term Dependence in the Business Cycle
with Joseph Haubrich, Federal Reserve Bank of Cleveland Economic Review 37 (2001), 15–30.
The Three P’s of Total Risk Management
Financial Analysts Journal 55 (1999), 13–26.
Hedging Derivative Securities and Incomplete Markets: An Epsilon-Arbitrage Approach
with Dimitris Bertsimas and Leonid Kogan, Operations Research 49 (2001), 372–397.
Computational Challenges of Financial Engineering
with Martin Haugh, Computing in Science & Engineering 3 (2001), 54–59.
Asset Allocation and Derivatives
with Martin Haugh, Quantitative Finance 1 (2001), 45–72.
An Econometric Model of Serial Correlation and Illiquidity in Hedge-Fund Returns
with Mila Getmansky and Igor Makarov, Journal of Financial Economics 74 (2004), 529–609.
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
with Harry Mamaysky and Jiang Wang, Journal of Finance 55 (2000), 1705–1765.
Asset Prices and Trading Volume Under Fixed Transactions Costs
with Harry Mamaysky and Jiang Wang, Journal of Political Economy 112 (2004), 1054–1090.
Finance: A Selective Survey
Journal of the American Statistical Association 95 (2000), 629-635.