Research


Finance: A Selective Survey

Journal of the American Statistical Association 95 (2000), 629-635.

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The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective

Journal of Portfolio Management 30 (2004), 15–29.

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When Is Time Continuous?

with Dimitris Bertsimas and Leonid Kogan, Journal of Financial Economics 55 (2000), 173–204.

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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.

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Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

with Jiang Wang, Review of Financial Studies 13 (2000), 257–300.

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Bubble, Rubble, Finance In Trouble?

Journal of Psychology and Financial Markets 3 (2002), 76–86.

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Optimal Control of Execution Costs for Portfolios

with Dimitris Bertsimas and Paul Hummel, Computing in Science & Engineering 1 (2000), 40–53.

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The Psychophysiology of Real-Time Financial Risk Processing

with Dmitry V. Repin, Journal of Cognitive Neuroscience 14 (2002), 323–339.

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Nonparametric Risk Management and Implied Risk Aversion

with Yacine Ait-Sahalia, Journal of Econometrics 94 (2000), 9–51.

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Econometric Models of Limit-Order Executions

with Craig MacKinlay and June Zhang, Journal of Financial Economics 65 (2002), 31–71.

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