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Content
2019, Volume 8, Issue 1-2
- 1-4 Information leakage in financial machine learning research
by Zachary David - 5-26 Impact of short-sales in stock market efficiency
by Bàrbara Llacay & Gilbert Peffer - 27-46 Localized trend model for stock market sectoral indexes movement profiling
by Harya Widiputra - 47-55 Parallel MCMC sampling of AR-HMMs for prediction based option trading
by I. Róbert Sipos & Attila Ceffer & Gábor Horváth & János Levendovszky - 57-75 Modeling the financial market with labyrinth chaos
by Wiston Adrián Risso
2018, Volume 7, Issue 3-4
- 63-69 Allocation skew: Managers with conviction
by Vikram K. Srimurthy & Matthew Smalbach - 71-86 Absolute vs. relative speed in high-frequency trading
by Gianluca Piero Maria Virgilio - 87-104 Cryptoasset factor models
by Zura Kakushadze - 105-110 Machine learning and corporate bond trading
by Dominic Wright & Luca Capriotti & Jacky Lee
2018, Volume 7, Issue 1-2
- 1-14 An optimal execution problem in the volume-dependent Almgren–Chriss model
by Takashi Kato - 15-30 A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein–Uhlenbeck process
by Farzad Alavi Fard & Armin Pourkhanali & Malick Sy - 31-42 An integer programming based strategy for Asian-style futures arbitrage over the settlement period
by Raymond H. Chan & Kelvin K. Kan & Alfred K. Ma - 43-52 A new variable selection method applied to credit scoring
by Dalila Boughaci & Abdullah A.K. Alkhawaldeh - 53-61 How hard is it to pick the right model? MCS and backtest overfitting
by Diego Aparicio & Marcos López de Prado
2017, Volume 6, Issue 3-4
- 67-77 Classification-based financial markets prediction using deep neural networks
by Matthew Dixon & Diego Klabjan & Jin Hoon Bang - 79-91 Impact of global financial crisis on network of Asian stock markets
by Jitendra Aswani - 93-102 The Russian ETF puzzle and its possible reasons
by Evgeni B. Tarassov - 103-109 Trump tweets and the efficient Market Hypothesis
by Jeffery A. Born & David H. Myers & William J. Clark
2017, Volume 6, Issue 1-2
- 1-1 Editorial
by Philip Maymin - 3-21 Using directional bit sequences to reveal the property-liability underwriting cycle as an algorithmic process
by Joseph D. Haley - 23-33 Study of the periodicity in Euro-US Dollar exchange rates using local alignment and random matrices
by E.V. Korotkov & M.A. Korotkova - 35-49 AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks
by Luca Capriotti & Yupeng Jiang & Andrea Macrina - 51-65 Wealth management: Modeling the nonlinear dependence
by Mariana Rosa Montenegro & Pedro Henrique Melo Albuquerque
2016, Volume 5, Issue 3-4
- 47-47 Interviews
by Philip Z. Maymin & Jay Muthuswamy - 49-68 Empirical evaluation of price-based technical patterns using probabilistic neural networks
by Samit Ahlawat - 69-93 Latency arbitrage in fragmented markets: A strategic agent-based analysis
by Elaine Wah & Michael P. Wellman - 95-110 Sensitivity and computational complexity in financial networks
by Brett Hemenway & Sanjeev Khanna - 111-137 The network of the Italian stock market during the 2008–2011 financial crises
by Paolo Coletti & Maurizio Murgia
2016, Volume 5, Issue 1-2
- 1-1 David Johnson
by Jay Muthuswamy - 3-19 Multi-scale representation of high frequency market liquidity
by Anton Golub & Gregor Chliamovitch & Alexandre Dupuis & Bastien Chopard - 21-30 Extracting predictive information from heterogeneous data streams using Gaussian Processes
by S Ghoshal & S Roberts - 31-36 Darwinian adverse selection
by Wolfgang Kuhle - 37-46 Natural time analysis in financial markets
by Kiriakopoulos, K. Mintzelas, A.
2015, Volume 4, Issue 3-4
- 105-125 Microstructure-based order placement in a continuous double auction agent based model
by Alexandru Mandeş - 127-137 Pricing complexity options
by Malihe Alikhani & Bjørn Kjos-Hanssen & Amirarsalan Pakravan & Babak Saadat - 139-158 Sparse modeling of volatile financial time series via low-dimensional patterns over learned dictionaries
by George Tzagkarakis & Juliana Caicedo-Llano & Thomas Dionysopoulos & Thomas Dionysopoulos - 159-178 Estimating the algorithmic complexity of stock markets
by Olivier Brandouy & Jean-Paul Delahaye & Lin Ma
2015, Volume 4, Issue 1-2
- 1-3 A minute with Peter Bossaerts
by Philip Maymin - 5-51 Predictable markets? A news-driven model of the stock market
by Maxim Gusev & Dimitri Kroujiline & Boris Govorkov & Sergey V. Sharov & Dmitry Ushanov & Maxim Zhilyaev - 53-68 Multi-scale capability: A better approach to performance measurement for algorithmic trading
by Ricky Cooper & Michael Ong & Ben Van Vliet - 69-79 Market sentiment and exchange rate directional forecasting
by Vasilios Plakandaras & Theophilos Papadimitriou & Periklis Gogas & Konstantinos Diamantaras - 81-87 Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks
by Luca Capriotti - 89-104 Smile in motion: An intraday analysis of asymmetric implied volatility
by Martin Wallmeier
2014, Volume 3, Issue 3-4
- 141-142 A minute with Andrew Odlyzko
by Philip Maymin - 143-161 An efficient algorithm for the calculation of reserves for non-unit linked life policies
by Mark Tucker & J. Mark Bull - 163-171 The relationship between return fractality and bipower variation
by Thomas A. Rhee - 173-188 Fast recursive portfolio optimization
by Laurence Irlicht - 189-207 The design and performance of the adaptive stock market index
by Lior Zatlavi & Dror Y. Kenett & Eshel Ben-Jacob - 209-231 Dynamic allocation strategies for absolute and relative loss control
by Daniel Mantilla-García - 233-250 Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
by Andrey Itkin
2014, Volume 3, Issue 1-2
- 1-2 A Minute with Kenneth J. Arrow
by Phil Maymin - 3-20 The extent of price misalignment in prediction markets
by David Rothschild & David M. Pennock - 21-42 Stochastic flow diagrams
by Neil J. Calkin & Marcos López de Prado - 43-85 The topology of macro financial flows: An application of stochastic flow diagrams
by Neil J. Calkin Calkin & Marcos López de Prado - 87-140 Linear-time accurate lattice algorithms for tail conditional expectation
by Bryant Chen & William W.Y. Hsu & Jan-Ming Ho & Ming-Yang Kao
2013, Volume 2, Issue 3-4
- 167-168 A minute with Marcos Lopez de Prado
by Philip Maymin - 169-196 Stock chatter: Using stock sentiment to predict price direction
by Michael Rechenthin & W. Nick Street & Padmini Srinivasan - 197-211 Sparse, mean reverting portfolio selection using simulated annealing
by Norbert Fogarasi & Janos Levendovszky - 213-231 Dynamical trading mechanisms in limit order markets
by Shilei Wang - 233-239 The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data
by David Bicchetti & Nicolas Maystre Maystre - 241-267 A big data approach to analyzing market volatility
by Kesheng Wu & E. Wes Bethel & Ming Gu & David Leinweber & Oliver Rübe
2013, Volume 2, Issue 2
- 111-111 A Minute with Giovanni Barone-Adesi
by Philip Maymin - 113-126 Modeling market impact and timing risk in volume time
by Slava Mazur - 127-139 Optimizing sparse mean reverting portfolios
by I. Róbert Sipos & János Levendovszky - 141-150 The relationship between risk and incomplete states uncertainty: a Tsallis entropy perspective
by Oren J. Tapiero - 151-165 Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method
by Shawn Mankad & George Michailidis
2013, Volume 2, Issue 1
- 1-2 A Minute with Andrei Kirilenko
by Philip Maymin - 3-43 Cluster formation and evolution in networks of financial market indices
by Leonidas Junior Sandoval - 45-58 Nonlinear support vector machines can systematically identify stocks with high and low future returns
by Ramon Huerta & Fernando Corbacho & Charles Elkan - 59-98 A multiscale model of high-frequency trading
by Andrei Kirilenko & Richard B. Sowers & Xiangqian Meng - 99-109 The strategy approval decision: A Sharpe ratio indifference curve approach
by David H. Bailey & Marcos López de Prado & Eva del Pozo
2011, Volume 1, Issue 1
- 1-11 Markets are efficient if and only if P=NP
by Philip Maymin - 13-16 Binomial options pricing has no closed-form solution
by Evangelos Georgiadis - 17-33 Efficient greek estimation in generic swap-rate market models
by Mark Joshi & Chao Yang - 35-43 Forecasting prices from level-I quotes in the presence of hidden liquidity
by Marco Avellaneda & Josh Reed & Sasha Stoikov - 45-55 Behavioral biases and investor performance
by Todd Feldman