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.
The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective
Journal of Portfolio Management 30 (2004), 15–29.
When Is Time Continuous?
with Dimitris Bertsimas and Leonid Kogan, Journal of Financial Economics 55 (2000), 173–204.
It’s 11pm—Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier
with Constantin Petrov and Martin Wierzbicki, Journal of Investment Management 1 (2003), 55–93.
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
with Jiang Wang, Review of Financial Studies 13 (2000), 257–300.