Games of Survival in the Newspaper Industry
with Randolph Bucklin and Richard Caves, Applied Economics 21 (1989), 631–650.
The Size and Power of the Variance Ration Test in Finite Samples: A Monte Carlo Investigation
with Craig MacKinlay, Journal of Econometrics 40 (1989), 203-238.
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
with Craig MacKinlay, Review of Financial Studies 1 (1988), 41-66.
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.
Nonparametric Risk Management and Implied Risk Aversion
with Yacine Ait-Sahalia, Journal of Econometrics 94 (2000), 9–51.
Asset Prices and Trading Volume Under Fixed Transactions Costs
with Harry Mamaysky and Jiang Wang, Journal of Political Economy 112 (2004), 1054–1090.
Frontiers of Finance: Evolution and Efficient Markets
with J. Doyne Farmer, Proceedings of the National Academy of Sciences 96 (1999), 9991–9992.
The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective
Journal of Portfolio Management 30 (2004), 15–29.
The Three P’s of Total Risk Management
Financial Analysts Journal 55 (1999), 13–26.
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.