G****n
发帖数: 145 | 1 No, the author's order is alphabetical. Larry Lang has more citations than
many top Chinese scholars including chaired professors such as Wang Jiang at
MIT, Wang Neng at Columbia, Wang Tan at UBC, Li Kai at UBC and Charles Cao
at Penn State. As a comparison, Li Kai is a chaired Professor at UBC in the
same field as Larry Lang, a few years junior, here is her citation lists for
papers above 100:
Monitoring: Which institutions matter?[PDF] from 163.152.84.199…, J Harford
, K Li - Journal of Financ... 阅读全帖 |
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G****n
发帖数: 145 | 2 sun qian 100+ citation papers
How does government ownership affect firm performance? Evidence from China's
privatization experienceQ Sun, WHS Tong… - Journal of Business Finance &
…, 2002 - papers.ssrn.com
Privatization shifts ownership and control of public assets to private
investors. Many governments
use it as an important means to invigorate their state-owned enterprises (
SOEs). However, it
is not clear how changes in government ownership affect firm performance.
Some ...
Cited by 123 - Rel... 阅读全帖 |
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G****n
发帖数: 145 | 3 Zhou Chunsheng 100+ papers
The term structure of credit spreads with jump risk[PDF] from psu.eduC Zhou
- Journal of Banking & Finance, 2001 - Elsevier
Default risk analysis is important for valuing corporate bonds, swaps, and
credit derivatives and
plays a critical role in managing the credit risk of bank loan portfolios.
This paper offers a theory
to explain the observed empirical regularities on default probabilities,
recovery rates, and ...
Cited by 330 - Related articles - All 15 versions
An... 阅读全帖 |
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kx
发帖数: 16384 | 6 ☆─────────────────────────────────────☆
Gaojun (Gaojun) 于 (Mon Nov 14 12:04:02 2011, 美东) 提到:
Between trust and control: Developing confidence in partner cooperation in
alliancescuny.edu 中的 [PDF]…, BS Teng - Academy of management Review, 1998
- JSTOR
Strategic alliances have been recognized as arenas with potential for
opportunistic behavior
by partners. Hence, a firm needs to have an adequate level of confidence in
its partner's
cooperative behavior. In this article we examine the notion of... 阅读全帖 |
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p**o
发帖数: 197 | 7 模型是不是太简单吗？
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1916469
Abstract:
The Confucianism school emphasizes family value, moral persuasions, and
personal relations. Under Confucianism, there is a free-rider issue in the
provision of efforts. Since national officials are chosen through personal
relations, they may not be the most capable. The Legalism school emphasizes
the usage of incentives and formal institutions. Under the Legalism, the
ruler provides strong incentives to local of... 阅读全帖 |
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L*******t
发帖数: 2385 | 8 这个和我说的还不太一样。
expansion asymptotics解quasi linear PDE和FBSDE的问题已经被我完全解决了。
我有统一的方法解任何一个quasi linear PDE，系数可以非连续和无界
很快就会submit和放到ssrn，arxiv上去：）
Advanced |
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p**o
发帖数: 197 | 9 儒家有一些特点。首先，儒家思想的主旨是建立一个和谐社会，不是维护统治者的利益
。其次，儒家不鼓励物质刺激和严刑。国家是家庭的延伸。每个人按自己的角色来行动
：君君，臣臣，父父，子子。第三，儒家不重视制度建设。最后，在对外关系上人，儒
家反对侵弱它国。儒家认为统治者应该靠德治，而不应该依靠武力。儒家思想跟外交上
的“软实力”有相似性。
法家也有一些特点。首先，法家思想的主旨是集中社会资源打赢战争来维护君王的统治
，法治不是目的。法家认为，个人不应忠于父亲和宗族，而应该忠于君王。其次，法家
重视提供物质激励。第三，法家重视制度建设。最后，在对外关系上，法家强调军备。
法家思想跟现代经济学有很多一致的地方。比如，假设人是自私的，重视产权，强调制
度的作用。法家思想有优点，也有缺点。比如法家根据砍下的敌人的头来行赏，优点是
大家打仗勇敢（想想秦国的虎狼之师）。缺点是士兵杀老百姓来邀功。换言之，物质激
励不是万能的。
当社会存在多个目标而且评估目标的实现误差差别很大时，儒法互补可能是最优的治国
策略：物质追求和精神追求的统一。
数学模型：
http://papers.ssrn.com/sol3/... 阅读全帖 |
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s******e
发帖数: 696 | 10 【 以下文字转载自 Investment 讨论区 】
发信人: tonys (基因决定人生), 信区: Investment
标 题: [link]What Happened to the Quants in August 2007?
发信站: BBS 未名空间站 (Sun Sep 23 21:08:49 2007)
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1015987
Abstract:
During the week of August 6, 2007, a number of high-profile and highly
successful quantitative long/short equity hedge funds experienced
unprecedented losses. Based on empirical results from TASS hedge-fund data
as well as the simulated performance of a specific lon |
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s******a
发帖数: 22 | 11 from Andrew Lo
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1015987#PaperDownload
"If we were to develop a Doomsday Clock for the hedge-fund industry's impact
on the global financial system, calibrated to 5 minutes to midnight in
August 1998, and 15 minutes to midnight in January 1999, then ourcurrent
outlook for the state of systemic risk in the hedge-fund industry is about
11:51pm."
For the moment, markets seem to have stabilized, but the clock is ticking... |
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J*****n
发帖数: 4859 | 12
去ssrn，搜commodity return，随便找一篇，中间都有提到相关的survey。 |
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c****y
发帖数: 3592 | 13 我不是在校生了以前也不是phd,请问下一般金融类文章在什么地方的? 如果我个人兴趣
和同事之类的一起写个东西是发在哪里呢? 那个SSRN也算是么? |
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m********5
发帖数: 619 | 14 top tier send it to
Journal of finance, Journal of Financial Economics, Review of Financial
Studies
ssrn is not a journal, you can post it though, it won't protect your
copyright or anything |
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x****x
发帖数: 87 | 15 would you so kind help me to download three papers as following?
my email, f********[email protected]
best thanks!
Liquidity of a Debt Issue Increase with Its Size? Evidence from the
Corporate Bond and Medium-Term …
LE Crabbe, CM Turner - JOURNAL OF FINANCE-NEW YORK-, 1995 - papers.ssrn.com
Liquidity, Labels and Medium-Term Notes
DJ Mullineaux, IC Roten - Finance Markets Institutions & Instruments, 2002 -
Blackwell Synergy
Anatomy of the Medium-Term Note Market
LE Crabbe - Federal Reserve Bulletin, 19 |
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m****h
发帖数: 13 | 16 SSRN的自己注册账户不就可以下载了？
com
- |
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o**********n
发帖数: 367 | 17 Dear Quant Friends,
Here is a link to my paper on Google Stock manipulation.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1337350
The SEC is starting to look at GOOG based on information provided in this
article.
You are welcome to send any comment to my MITBBS mailbox.
Abstract of the Paper:
We present the evidence that the GOOGLE stock, one of the most important
stocks in the 21st century, may have been illegally controlled by large Wall
Street firms. We identify a group of smart traders |
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p***z
发帖数: 132 | 19 A new generalization is added to the appendix B. The new revision is
available at SSRN now. |
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b***k
发帖数: 2673 | 20 ☆─────────────────────────────────────☆
pangz (zz) 于 (Mon May 18 15:14:46 2009) 提到:
A simple generalization is added to the appendix. The latest version is
available at SSRN now.
☆─────────────────────────────────────☆
blook (布鲁克) 于 (Mon May 18 17:11:36 2009) 提到:
nice job!
☆─────────────────────────────────────☆
netghost (Up to Isomorphism) 于 (Mon May 18 18:49:34 2009) 提到:
Daniel Stroock的学生现在也跳quant了啊。呵呵。。
☆─────────────────────────────────────☆
pangz (zz) 于 (Mon May 18 19:4 |
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n******y
发帖数: 192 | 22 Strategy ____: Market microstructure related
Based on recent work by ______ (while he was professor at ______, ______
University): ______* by _____ and ______ (20___). Paper available on SSRN
I discussed this strategy with _____ in detail and he told me he was
consulting with “______” in its implementation. I think that this strategy
still has ____________.
Here are the main conclusions of the research:
Using the volatility spreads, i.e., __________, to measure _____, it was
found that _______. |
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p***z
发帖数: 132 | 25 的确是灌水，其实以前在学校的时候也经常灌水，可能习惯了，您别放在心上。
SSRN就像arkiv一样，不是个peer-review的杂志，很多都是草稿在投稿前直接挂上去的
，正式发表的文章title甚至很多段落是可以不一样的。我可以确定没有一稿多投。 |
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p***z
发帖数: 132 | 26 的确是灌水，其实以前在学校的时候也经常灌水，可能习惯了，您别放在心上。
SSRN就像arkiv一样，不是个peer-review的杂志，很多都是草稿在投稿前直接挂上去的
，正式发表的文章title甚至很多段落是可以不一样的。我可以确定没有一稿多投。 |
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A*****s
发帖数: 13748 | 28 有什么quality的要求吗？
第一稿就是往上传一下占个坑，语言、排版上ugly一点有所谓吗？
谢谢！ |
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w******g
发帖数: 271 | 31 hi , Da Niu!!
I'm now working on pricing FX barrier option using Vanna Volga method.
This is a link:http://en.wikipedia.org/wiki/Vanna_Volga_pricing
My question is: it looks like V-V method is just adding an adjustment
to the BS price, then what is the implied vol of the option then? What will
be the vega/vanna/volga of the option then?
I have this question because in this paper : http://maint.ssrn.com/?abstract_id=1380063,
in the introduction it says the vanna volga method is to hedge out the... 阅读全帖 |
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S****Y
发帖数: 4634 | 32 别瞎扯了。明显不是做research的人。07年毕业到现在不要说A,连个A- journal的都没
有。
连ssrn download top 10这种东西都放在cv上的人，不少finance phd的pub record
都比他强。
还是不要和academic里的牛人比。 |
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J*****n
发帖数: 4859 | 33 据我所知的，有三家
1。State Street(SSRN上有他们的一篇早年的report，感觉在扯淡，SS这几年按照
Boston的一个猎头的说法是王小二过年，一年不如一年)
2。2100 xenon (作的很一般，不过感觉里面原因是里面没什么牛人)
3。bayesian efficient asset management (这家做得似乎比较牛逼，这几年收益惊人
，不过我怀疑他们的model就算不用Bayesian也能做得很好,他的CEO有关于你想知道的
东西的framework的公开论文，不过感觉overkill the problem)
前两家的方法似乎是model selection，第三家的做法似乎是coefficient的estimation。
这个似乎验证了很多人的看法：ORACLE regression那套东西有些华而不实。 |
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s******a
发帖数: 22 | 34 State Street - are you saying this one?
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1948869
Incorporating Model Uncertainty and Model Instability in Forecasting Bond
Risk Premia and Term Structure of Government Bond Yield – A Bayesian Model
Averaging Approach
estimation。 |
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t*******y
发帖数: 18 | 35 上次发文求建议，收到很多真诚的帮助。想了想可以写篇我对 VIX index 的学习心得
，算是表达感谢吧。
说明一下，我毕竟是个菜鸟新人，这篇也只是综合公开资料再加上我自己对 VIX 的理
解，也就希望对准备学习这个领域的人有所帮助，熟悉volatility trading的内行看了
肯定觉得简单，有不对的地方请多多指正。
废话完毕。
1. Rationale behind VIX
想了解 VIX index 计算方法的依据，必读的文章是
“More than you wanted to know about variance swap".
http://elis.sigmath.es.osaka-u.ac.jp/research/gs-volatility_swa
具体的证明比较繁琐，我总结就是:
In a nut shell, if we can ignore friction, an out-of-money option portfolio
with certain weights could replicate a variance swap, whose payoff = ... 阅读全帖 |
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L*******t
发帖数: 2385 | 37 厉害啊。你的stochastic都学了些啥啊？
Hongbing Su在SSRN上有一篇Quantum Finance的文章，我想找人一起读。。。 |
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L*******t
发帖数: 2385 | 39 推荐大家看Attilio Meucci的
Linear Factor Models
ssrn有。非常好的一篇文章。 |
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L*******t
发帖数: 2385 | 42 如果说要推荐别的文章，推荐ssrn上的easy volatility investing
他们的结果很不错。 |
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L*******t
发帖数: 2385 | 43 请google search credit rating models，Logit regression
我不知道整个过程什么样，但是一个环节就是计算expected Loss = Prob of loss x
loss given default。
PD和LGD都要用regression做。
这方面文章相当多，ssrn上关键字搜索就能看到一大堆。做到bond portfolio的时候会
用到随机金融的东西。 |
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L*******t
发帖数: 2385 | 44 太赞了！
另外提供一个小link。。。
估计大家都会查
ssrn。。。 |
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s********1
发帖数: 235 | 46 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=923635
就是在上面那篇文章的第四页有两个模型，一个是non-adaptive regression model，
一个是adaptive regression model。 non-adaptive regression model，是用least
squares 估计参数的，那adaptive regression model 呢？是用的什么方法估计参数的
？这两个模型形式相似，参数估计方法的差别在哪里？像这种adaptive regression
model,写成这种形式的，r 里面有什么package 可以分析这种adaptive regression
model？灵活一点，加些别的predictors 在里面，更复杂一些,r 能分析吗？多谢！ |
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s********1
发帖数: 235 | 47 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=923635
大家有谁懂adaptive regression参数估计的？我有个问题想问问。多谢。在上面那篇
文章的第四页，有一个adaptive regression model,我想问一下诸位，有谁懂adaptive
regression model parameter estimation的，该方法怎样运用到上面链接里的文章的
第四页的那样的adaptive regression model 里？r 里有什么好的相应package ?code
大致怎样？多谢！ |
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