Research


Computational Challenges of Financial Engineering

with Martin Haugh, Computing in Science & Engineering 3 (2001), 54–59.

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Asset Allocation and Derivatives

with Martin Haugh, Quantitative Finance 1 (2001), 45–72.

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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.

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Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

with Harry Mamaysky and Jiang Wang, Journal of Finance 55 (2000), 1705–1765.

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Asset Prices and Trading Volume Under Fixed Transactions Costs

with Harry Mamaysky and Jiang Wang, Journal of Political Economy 112 (2004), 1054–1090.

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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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