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Weekly Top 5 Papers – November 5, 2010
1. The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading
by David Easley (Cornell University – Department of Economics) and Marcos Mailoc Lopez de Prado (Tudor Investment Corp.; RCC, Harvard University) and Maureen O’Hara (Cornell University – Samuel Curtis Johnson Graduate School of Management)
2. A Quantitative Approach to Tactical Asset Allocation
by Mebane T. Faber (Cambria Investment Management)
3. Are Monthly Seasonals Real? A Three Century Perspective
by Ben Jacobsen (Massey University – Department of Economics and Finance, Albany; New Zealand Institute of Advanced Study) and Cherry Yi Zhang (Massey University – Department of Economics and Finance)
4. Measuring Flow Toxicity in a High Frequency World
by David Easley (Cornell University – Department of Economics) and Marcos Mailoc Lopez de Prado (Tudor Investment Corp.; RCC, Harvard University) and Maureen O’Hara (Cornell University – Samuel Curtis Johnson Graduate School of Management)
5. Legal Writing Is Not What It Should Be
by Wayne Schiess (University of Texas School of Law)