Books and Periodicals

Books, book chapters and trade-magazine articles written by our researchers.

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  1. Efficient-market advocates say markets instantly reflect all pricing information; behaviorists disagree, saying market actors often act irrationally. Who’s right?

  2. Model-free methods for monitoring economy-wide leverage, with implications for monitoring systemic risk and managing liquidity crises.

  3. What is the correlation between two randomly chosen Bingo cards in the same game? The answer is not obvious. It turns out the question is not obvious either.

  4. Academics suggest assessing “risk surcharges” on financial institutions to encourage them to reduce the risk they pose to the broader economy.

  5. The world is pretty good; all we have to do is not ruin it.

  6. Simply by putting people in groups and introducing some competition, we were able to induce behavior more often associated with rogue traders than sober risk professionals.

  7. We contend that the skillful combination and management of the various components of the portfolio constitute a form of alpha on its own.

  8. A review of two books by physicists about finance: James Owen Weatherall’s The Physics of Wall Street: A Brief History of Predicting the Unpredictable and Mark Buchanan’s Forecast: What Physics, Meteorology and the Natural Sciences Can Teach Us About Economics.

  9. Some of the “wisdom of crowds” is just a mathematical consequence of averaging the kinds of numbers you get from independent guesses.

  10. An appreciation of the University of California mathematician Edward Frenkel on the occasion of the publication of his book Love and Math: The Heart of Hidden Reality.