IOS Press
Algorithmic Finance
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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
- 111-111 A Minute with Giovanni Barone-Adesi
by Maymin, Philip - 113-126 Modeling market impact and timing risk in volume time
by Mazur, Slava - 127-139 Optimizing sparse mean reverting portfolios
by Sipos, I. Róbert & Levendovszky, János - 141-150 The relationship between risk and incomplete states uncertainty: a Tsallis entropy perspective
by Tapiero, Oren J. - 151-165 Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method
by Mankad, Shawn & Michailidis, George
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
- 1-11 Markets are efficient if and only if P=NP
by Maymin, Philip - 13-16 Binomial options pricing has no closed-form solution
by Georgiadis, Evangelos - 17-33 Efficient greek estimation in generic swap-rate market models
by Joshi, Mark & Yang, Chao - 35-43 Forecasting prices from level-I quotes in the presence of hidden liquidity
by Avellaneda, Marco & Reed, Josh & Stoikov, Sasha - 45-55 Behavioral biases and investor performance
by Feldman, Todd