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Content
2019, Volume 8, Issue 1-2
2018, Volume 7, Issue 3-4
2018, Volume 7, Issue 1-2
- 1-14 An optimal execution problem in the volume-dependent Almgren–Chriss model
by Kato, Takashi
- 15-30 A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein–Uhlenbeck process
by Fard, Farzad Alavi & Pourkhanali, Armin & Sy, Malick
- 31-42 An integer programming based strategy for Asian-style futures arbitrage over the settlement period
by Chan, Raymond H. & Kan, Kelvin K. & Ma, Alfred K.
- 43-52 A new variable selection method applied to credit scoring
by Boughaci, Dalila & Alkhawaldeh, Abdullah A.K.
- 53-61 How hard is it to pick the right model? MCS and backtest overfitting
by Aparicio, Diego & López de Prado, Marcos
2017, Volume 6, Issue 3-4
2017, Volume 6, Issue 1-2
2016, Volume 5, Issue 3-4
2016, Volume 5, Issue 1-2
- 1-1 David Johnson
by Muthuswamy, Jay
- 3-19 Multi-scale representation of high frequency market liquidity
by Golub, Anton & Chliamovitch, Gregor & Dupuis, Alexandre & Chopard, Bastien
- 21-30 Extracting predictive information from heterogeneous data streams using Gaussian Processes
by Ghoshal, S & Roberts, S
- 31-36 Darwinian adverse selection
by Kuhle, Wolfgang
- 37-46 Natural time analysis in financial markets
by Mintzelas, A., Kiriakopoulos, K.
2015, Volume 4, Issue 3-4
- 105-125 Microstructure-based order placement in a continuous double auction agent based model
by Mandeş, Alexandru
- 127-137 Pricing complexity options
by Alikhani, Malihe & Kjos-Hanssen, Bjørn & Pakravan, Amirarsalan & Saadat, Babak
- 139-158 Sparse modeling of volatile financial time series via low-dimensional patterns over learned dictionaries
by Tzagkarakis, George & Caicedo-Llano, Juliana & Dionysopoulos, Thomas & Dionysopoulos, Thomas
- 159-178 Estimating the algorithmic complexity of stock markets
by Brandouy, Olivier & Delahaye, Jean-Paul & Ma, Lin
2015, Volume 4, Issue 1-2
- 1-3 A minute with Peter Bossaerts
by Maymin, Philip
- 5-51 Predictable markets? A news-driven model of the stock market
by Gusev, Maxim & Kroujiline, Dimitri & Govorkov, Boris & Sharov, Sergey V. & Ushanov, Dmitry & Zhilyaev, Maxim
- 53-68 Multi-scale capability: A better approach to performance measurement for algorithmic trading
by Cooper, Ricky & Ong, Michael & Van Vliet, Ben
- 69-79 Market sentiment and exchange rate directional forecasting
by Plakandaras, Vasilios & Papadimitriou, Theophilos & Gogas, Periklis & Diamantaras, Konstantinos
- 81-87 Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks
by Capriotti, Luca
- 89-104 Smile in motion: An intraday analysis of asymmetric implied volatility
by Wallmeier, Martin
2014, Volume 3, Issue 3-4
- 141-142 A minute with Andrew Odlyzko
by Maymin, Philip
- 143-161 An efficient algorithm for the calculation of reserves for non-unit linked life policies
by Tucker, Mark & Bull, J. Mark
- 163-171 The relationship between return fractality and bipower variation
by Rhee, Thomas A.
- 173-188 Fast recursive portfolio optimization
by Irlicht, Laurence
- 189-207 The design and performance of the adaptive stock market index
by Zatlavi, Lior & Kenett, Dror Y. & Ben-Jacob, Eshel
- 209-231 Dynamic allocation strategies for absolute and relative loss control
by Mantilla-García, Daniel
- 233-250 Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
by Itkin, Andrey
2014, Volume 3, Issue 1-2
- 1-2 A Minute with Kenneth J. Arrow
by Maymin, Phil
- 3-20 The extent of price misalignment in prediction markets
by Rothschild, David & Pennock, David M.
- 21-42 Stochastic flow diagrams
by Calkin, Neil J. & López de Prado, Marcos
- 43-85 The topology of macro financial flows: An application of stochastic flow diagrams
by Calkin, Neil J. Calkin & López de Prado, Marcos
- 87-140 Linear-time accurate lattice algorithms for tail conditional expectation
by Chen, Bryant & Hsu, William W.Y. & Ho, Jan-Ming & Kao, Ming-Yang
2013, Volume 2, Issue 3-4
- 167-168 A minute with Marcos Lopez de Prado
by Maymin, Philip
- 169-196 Stock chatter: Using stock sentiment to predict price direction
by Rechenthin, Michael & Street, W. Nick & Srinivasan, Padmini
- 197-211 Sparse, mean reverting portfolio selection using simulated annealing
by Fogarasi, Norbert & Levendovszky, Janos
- 213-231 Dynamical trading mechanisms in limit order markets
by Wang, Shilei
- 233-239 The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data
by Bicchetti, David & Maystre, Nicolas Maystre
- 241-267 A big data approach to analyzing market volatility
by Wu, Kesheng & Bethel, E. Wes & Gu, Ming & Leinweber, David & Rübe, Oliver
2013, Volume 2, Issue 2
2013, Volume 2, Issue 1
- 1-2 A Minute with Andrei Kirilenko
by Maymin, Philip
- 3-43 Cluster formation and evolution in networks of financial market indices
by Sandoval , Leonidas Junior
- 45-58 Nonlinear support vector machines can systematically identify stocks with high and low future returns
by Huerta, Ramon & Corbacho, Fernando & Elkan, Charles
- 59-98 A multiscale model of high-frequency trading
by Kirilenko, Andrei & Sowers, Richard B. & Meng, Xiangqian
- 99-109 The strategy approval decision: A Sharpe ratio indifference curve approach
by Bailey, David H. & López de Prado, Marcos & del Pozo, Eva
2011, Volume 1, Issue 1
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