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Working Papers

• "Chinese Outbound Investments into US (2004-2012)" with Henry Tillman

• “Investigating Causal Relationships in Stock Returns with Temporal Logic Based Methods,” with Samantha Kleinberg and Bud Mishra

• “Factor Based Trading Strategies”, with Joseph Cerniglia

• "Portfolio Optimization with Market Impact Costs," with Eduardo Peynetti

• "Small Delta Continuous Trading for Dynamic Portfolios," with Lee Maclin

• “The Information Content of Order Imbalances: A Tick-by-Tick Analysis of the Equity Market in the Summer of 2007”, with Joseph Cerniglia

• "Turnover: Stock Factors and Trading Strategies," with Vladislav Iordanov

Selected Articles

• “Hidden Noise Structure and Random Matrix Models of Stock Correlations,” with Ivailo I. Dimov, Lee

Maclin, and Dan Y. C. Shiber, Quantitative Finance, Vol. 12, Iss. 4, 2012. pp. 567-572.

• “Robust Portfolio Optimization,” with Frank J. Fabozzi, Dessislava A. Pachamanova and Sergio M. Focardi, Journal of Portfolio Management, Spring 2007, pp. 1-10.

• “A Simple Framework for Time Diversification,” (with Frank J. Fabozzi and Sergio M. Focardi), Journal of Investing, Fall 2006, pp. 8-17.

• “Incorporating Trading Strategies into the Black-Litterman Framework,” (with Frank J. Fabozzi and Sergio M. Focardi), Journal of Trading, Spring 2006, pp. 28-37.

• “Financial Modeling of Transaction and Trading Costs: Overview and Practice,” (with Frank J. Fabozzi and Sergio M. Focardi), Finance Letters, Vol. 3, Issue 1 (February 2005, Special Issue on Financial Modeling of the Equity Markets).

• “New Kids on the Block: Latest Trends in Finance and Their Impact on the Future of the Investment Management Industry,” (with Frank J. Fabozzi and Sergio M. Focardi), Journal of Portfolio Management, 30th Anniversary Issue, 2004, pp. 42-54.

• “Quadruple and Octuple Layer Potentials in Two Dimensions I: Analytical Apparatus”, (with Shidong Jiang and Vladimir Rokhlin), Applied and Computational Harmonic Analysis, Vol. 14, 2003, pp. 47-74.
• “Numerical Quadratures for Singular and Hypersingular Integrals”, (with Vladimir Rokhlin), Computers and Mathematics with Applications, 2001, pp. 327-352.