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Algorithmic Finance
27,811 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

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Showing Papers 1 - 50 of 52
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Incl. Electronic Paper Sparse Modeling of Volatile Financial Time Series Via Low-Dimensional Patterns Over Learned Dictionaries
Algorithmic Finance 2015, 4:3-4, 139-158
George Tzagkarakis, Juliana Caicedo-Llano and Thomas Dionysopoulos
EONOS Investment Technologies, Universit´e d’Evry-Val-d’Essonne and AXIANTA Research and Avenir Finance Investment Managers
Date Posted: January 27, 2016
Accepted Paper Series
89 downloads

Incl. Electronic Paper Microstructure-Based Order Placement in a Continuous Double Auction Agent Based Model
Algorithmic Finance 2015, 4:3-4, 105-125
Alexandru Mandeş
University of Giessen
Date Posted: January 26, 2016
Accepted Paper Series
61 downloads

Incl. Electronic Paper Pricing Complexity Options
Algorithmic Finance 2015, 4:3-4, 127-137
Malihe Alikhani, Bjørn Kjos-Hanssen, Amirarsalan Pakravan and Babak Saadat
Rutgers, The State University of New Jersey, University of Hawaii at Manoa, George Washington University - Law School and Kash Co.
Date Posted: January 26, 2016
Accepted Paper Series
33 downloads

Incl. Electronic Paper Predictable Markets? A News-Driven Model of the Stock Market
Algorithmic Finance (2015), 4:1-2, 5-51
Maxim Gusev, Dimitri Kroujiline, Boris Govorkov, Sergey V. Sharov, Dmitry Ushanov and Maxim Zhilyaev
IBC Quantitative Strategies, LGT Capital Partners, IBC Quantitative Strategies, N.I. Lobachevsky State University, Advanced School of General & Applied Physics, Moscow State University, Department of Mechanics and Mathematics and Mozilla Corp.
Date Posted: August 03, 2015
Accepted Paper Series
202 downloads

Incl. Electronic Paper Market Sentiment and Exchange Rate Directional Forecasting
Algorithmic Finance (2015), 4:1-2, 69-79
Vasilios Plakandaras, Theophilos Papadimitriou, Periklis Gogas and Konstantinos Diamantaras
Democritus University of Thrace, Democritus University of Thrace, Democritus University of Thrace - Department of Economics and Alexander Technological Educational Institute of Thessaloniki
Date Posted: July 28, 2015
Working Paper Series
93 downloads

Incl. Electronic Paper A Minute with Peter Bossaerts
Algorithmic Finance (2015), 4:1-2, 1-3
Peter Bossaerts
California Institute of Technology
Date Posted: July 28, 2015
Accepted Paper Series
70 downloads

Incl. Electronic Paper The Design and Performance of the Adaptive Stock Market Index
Algorithmic Finance 2014, 3:3-4, pp. 189-207
Lior Zatlavi, Dror Y. Kenett and Eshel Ben-Jacob
Tel Aviv University, School of Electrical Engineering, Faculty of Engineering, Government of the United States of America - Office of Financial Research and (Deceased)
Date Posted: December 12, 2014
Accepted Paper Series
111 downloads

Incl. Electronic Paper A Minute with Andrew Odlyzko
Algorithmic Finance 2014, 3:3-4, pp. 141-142
Algorithmic Finance Journal
Algorithmic Finance Journal
Date Posted: December 12, 2014
Accepted Paper Series
348 downloads

Incl. Electronic Paper Splitting and Matrix Exponential Approach for Jump-Diffusion Models with Inverse Normal Gaussian, Hyperbolic and Meixner Jumps
Algorithmic Finance 2014, 3:3-4, pp. 233-250
Andrey Itkin
New York University (NYU)
Date Posted: December 11, 2014
Accepted Paper Series
37 downloads

Incl. Electronic Paper An Efficient Algorithm for the Calculation of Reserves for Non-Unit Linked Life Policies
Algorithmic Finance 2014, 3:3-4, pp. 143-161
Mark Tucker and J. Mark Bull
University of Edinburgh and University of Edinburgh
Date Posted: December 11, 2014
Accepted Paper Series
29 downloads

Incl. Electronic Paper The Relationship between Return Fractality and Bipower Variation
Algorithmic Finance 2014, 3:3-4, pp. 163-171
Thomas A. Rhee
California State University, Long Beach
Date Posted: December 11, 2014
Accepted Paper Series
54 downloads

Incl. Electronic Paper Fast Recursive Portfolio Optimization
Algorithmic Finance 2014, 3:3-4, pp. 173-188
Laurence Irlicht
IFM Investors
Date Posted: December 11, 2014
Accepted Paper Series
174 downloads

Incl. Electronic Paper Binomial Options Pricing Has No Closed-Form Solution
Algorithmic Finance, Vol. 1, No. 1, 2011
Evangelos Georgiadis
Massachusetts Institute of Technology (MIT)
Date Posted: December 11, 2014
Accepted Paper Series
3340 downloads

Incl. Electronic Paper Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks
Algorithmic Finance (2015), 4:1-2, 81-87
Luca Capriotti
Quantitative Strategies - Investment Banking Division - Credit Suisse Group
Date Posted: October 13, 2014
Last Revised: July 28, 2015
Accepted Paper Series
253 downloads

Incl. Electronic Paper Multi-Scale Capability: A Better Approach to Performance Measurement for Algorithmic Trading
Algorithmic Finance (2015), 4:1-2, 53-68
Ricky Alyn Cooper, Michael Ong and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT, Michael K. Ong Risk Advisory and Illinois Institute of Technology - Stuart School of Business
Date Posted: August 30, 2014
Last Revised: July 28, 2015
Accepted Paper Series
301 downloads

Incl. Electronic Paper Linear-Time Accurate Lattice Algorithms for Tail Conditional Expectation
Algorithmic Finance 2014, 3:1-2, 87-140
Bryant Chen, William W.Y. Hsu, Jan-Ming Ho and Ming-Yang Kao
University of California, Los Angeles (UCLA), National Taiwan Ocean University (NTOU), Academia Sinica, Institute of Information Science and Northwestern University - Department of Electrical Engineering and Computer Science
Date Posted: May 27, 2014
Accepted Paper Series
47 downloads

Incl. Electronic Paper A Minute with Kenneth J. Arrow
Algorithmic Finance 2014, 3:1-2, 1-2
Algorithmic Finance Journal
Algorithmic Finance Journal
Date Posted: May 27, 2014
Accepted Paper Series
81 downloads

Incl. Electronic Paper The Extent of Price Misalignment in Prediction Markets
Algorithmic Finance 2014, 3:1-2, 3-20
David M. Rothschild and David M. Pennock
Microsoft Research - NYC and Microsoft Corporation - Microsoft Research, New York City
Date Posted: May 27, 2014
Working Paper Series
175 downloads

Incl. Electronic Paper Dynamic Allocation Strategies for Absolute and Relative Loss Control
Algorithmic Finance 2014, 3:30-4, pp. 209-231
Daniel Mantilla-Garcia
Optimal Asset Management
Date Posted: March 08, 2014
Last Revised: December 12, 2014
Accepted Paper Series
355 downloads

Incl. Electronic Paper A Minute with Marcos Lopez de Prado
Algorithmic Finance 2013, 2:3-4, 167-168
Algorithmic Finance Journal
Algorithmic Finance Journal
Date Posted: January 20, 2014
Accepted Paper Series
105 downloads

Incl. Electronic Paper Dynamical Trading Mechanisms in Limit Order Markets
Algorithmic Finance 2013, 2:3-4, 213-231
Shilei Wang
no affiliation
Date Posted: January 18, 2014
Accepted Paper Series
98 downloads

Incl. Electronic Paper Sparse, Mean Reverting Portfolio Selection Using Simulated Annealing
Algorithmic Finance 2013, 2:3-4, 197-211
Norbert Fogarasi and János Levendovszky
Budapest University of Technology and Economics and Budapest University of Technology and Economics
Date Posted: January 18, 2014
Accepted Paper Series
205 downloads

Incl. Electronic Paper Stock Chatter: Using Stock Sentiment to Predict Price Direction
Algorithmic Finance 2013, 2:3-4, 169-196
Michael Rechenthin, W. Nick Street and Padmini Srinivasan
University of Iowa - Department of Management Sciences, University of Iowa - Department of Management Sciences and University of Iowa - Department of Management Sciences
Date Posted: January 18, 2014
Accepted Paper Series
347 downloads

Incl. Electronic Paper The Topology of Macro Financial Flows: An Application of Stochastic Flow Diagrams
Algorithmic Finance 2014, 3:1-2, 43-85
Neil J. Calkin and Marcos Lopez de Prado
Clemson University and Guggenheim Partners, LLC
Date Posted: January 16, 2014
Last Revised: May 27, 2014
Accepted Paper Series
872 downloads

Incl. Electronic Paper Stochastic Flow Diagrams
Algorithmic Finance 2014, 3:1-2, 21-42
Neil J. Calkin and Marcos Lopez de Prado
Clemson University and Guggenheim Partners, LLC
Date Posted: January 16, 2014
Last Revised: May 27, 2014
Accepted Paper Series
1222 downloads

Incl. Electronic Paper A Minute with Giovanni Barone-Adesi
Algorithmic Finance 2013, 2:2, 111
Algorithmic Finance Journal
Algorithmic Finance Journal
Date Posted: September 17, 2013
Accepted Paper Series
85 downloads

Incl. Electronic Paper Modeling Market Impact and Timing Risk in Volume Time
Algorithmic Finance 2013, 2:2, 113-126
Slava Mazur
Liquidnet, Inc
Date Posted: September 11, 2013
Accepted Paper Series
244 downloads

Incl. Electronic Paper Optimizing Sparse Mean Reverting Portfolios
Algorithmic Finance 2013, 2:2, 127-139
I. Róbert Sipos and János Levendovszky
Budapest University of Technology and Economics and Budapest University of Technology and Economics
Date Posted: September 11, 2013
Accepted Paper Series
255 downloads

Incl. Electronic Paper The Relationship between Risk and Incomplete States Uncertainty: A Tsallis Entropy Perspective
Algorithmic Finance 2013, 2:2, 141-150
Oren J. Tapiero
Université Paris I Panthéon-Sorbonne
Date Posted: September 11, 2013
Accepted Paper Series
75 downloads

Incl. Electronic Paper A Big Data Approach to Analyzing Market Volatility
Algorithmic Finance (2013), 2:3-4, 241-267
Kesheng Wu, Wes Bethel, Ming Gu, David Leinweber and Oliver Ruebel
Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Date Posted: June 07, 2013
Working Paper Series
1215 downloads

Incl. Electronic Paper A Minute with Andrei Kirilenko
Algorithmic Finance (2013), 2:1, 1-2
Algorithmic Finance Journal
Algorithmic Finance Journal
Date Posted: April 04, 2013
Accepted Paper Series
128 downloads

Incl. Electronic Paper Cluster Formation and Evolution in Networks of Financial Market Indices
Algorithmic Finance (2013), 2:1, 3-43, DOI: 10.3233/AF-13015
Leonidas Sandoval Junior
Insper Institute of Education and Research
Date Posted: April 03, 2013
Accepted Paper Series
121 downloads

Incl. Electronic Paper A Minute with David Leinweber
Algorithmic Finance (2012), 1:2, 191-192
Algorithmic Finance Journal
Algorithmic Finance Journal
Date Posted: October 12, 2012
Last Revised: October 22, 2012
Accepted Paper Series
124 downloads

Incl. Electronic Paper A Minute with Emanuel Derman
Algorithmic Finance (2011), 1:1, 77
Algorithmic Finance Journal
Algorithmic Finance Journal
Date Posted: October 12, 2012
Last Revised: October 16, 2012
Accepted Paper Series
151 downloads

Incl. Electronic Paper News Reaction in Financial Markets within a Behavioral Finance Model with Heterogeneous Agents
Algorithmic Finance (2012), 1:2, 123-139
Thomas Fischer
Darmstadt University of Technology
Date Posted: October 05, 2012
Last Revised: October 22, 2012
Accepted Paper Series
206 downloads

Incl. Electronic Paper Inventory-Based Versus Prior-Based Options Trading Agents
Algorithmic Finance (2012), 1:2, 95-121
Abraham Othman and Tuomas Sandholm
University of Pennsylvania - Operations & Information Management Department and Carnegie Mellon University - School of Computer Science
Date Posted: October 05, 2012
Last Revised: October 16, 2012
Accepted Paper Series
81 downloads

Incl. Electronic Paper The Impact of Asymmetry on Expected Stock Returns: An Investigation of Alternative Risk Measures
Algorithmic Finance (2012), 1:2, 79-93
Stephen P. Huffman and Cliff R. Moll
University of Wisconsin Oshkosh and University of Wisconsin - Oshkosh
Date Posted: October 05, 2012
Last Revised: October 16, 2012
Accepted Paper Series
303 downloads

Incl. Electronic Paper The Synchronized and Long-Lasting Structural Change on Commodity Markets: Evidence from High Frequency Data
Algorithmic Finance (2013), 2:3-4, 233-239
Nicolas Maystre and David Bicchetti
UNCTAD - United Nations Conference on Trade and Development and United Nations - Conference on Trade and Development (UNCTAD)
Date Posted: May 12, 2012
Working Paper Series
169 downloads

Incl. Electronic Paper A Multiscale Model of High-Frequency Trading
Algorithmic Finance (2013), 2:1, 59-98
Richard Sowers, Andrei A. Kirilenko and Xiangqian Meng
University of Illinois at Urbana-Champaign - Department of Mathematics, Brevan Howard Centre for Financial Analysis, Imperial College Business School and University of Illinois at Urbana-Champaign
Date Posted: April 26, 2012
Accepted Paper Series
943 downloads

Incl. Electronic Paper Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility
Algorithmic Finance (2015), 4:1-2, 89-104
Martin Wallmeier
University of Fribourg - Faculty of Economics and Social Science
Date Posted: March 15, 2012
Last Revised: July 28, 2015
Accepted Paper Series
293 downloads

Incl. Electronic Paper The Strategy Approval Decision: A Sharpe Ratio Indifference Curve Approach
Algorithmic Finance, (2013) 2:1, 99-109
David H. Bailey, Marcos Lopez de Prado and Eva del Pozo
Lawrence Berkeley National Laboratory, Guggenheim Partners, LLC and Universidad Complutense de Madrid (UCM)
Date Posted: February 15, 2012
Last Revised: January 20, 2014
Accepted Paper Series
1891 downloads

Incl. Electronic Paper Financial Turbulence, Business Cycles and Intrinsic Time in an Artificial Economy
Algorithmic Finance (2012), 1:2, 141-156
Carlos Pedro dos Santos Gonçalves
Instituto Superior de Ciências Sociais e Políticas, University of Lisbon
Date Posted: February 12, 2012
Last Revised: October 22, 2012
Accepted Paper Series
118 downloads

Incl. Electronic Paper Behavioral Biases and Investor Performance
Algorithmic Finance (2011), 1:1, 45-55
Todd Feldman
San Francisco State University - College of Business
Date Posted: November 11, 2011
Accepted Paper Series
466 downloads

Incl. Electronic Paper Pricing Stocks with Yardsticks and Sentiments
Algorithmic Finance (2012), 1:2, 183-190
Sebastian Martinez Bustos, Jorgen Vitting Andersen, Michel Miniconi, Andrzej Nowak, Magda Roszczynska-Kurasinska and David Bree
Universidad de los Andes, Colombia, Department of Mathematics, CES, Université Paris 1 Panthéon-Sorbonne, Laboratoire Jean-Alexandre Dieudonné, University of Warsaw - Institute for Social Studies, University of Warsaw - Institute of Applied Social Sciences and University of Manchester - School of Computer Science
Date Posted: October 01, 2011
Last Revised: October 22, 2012
Accepted Paper Series
141 downloads

Incl. Electronic Paper Nonlinear Support Vector Machines Can Systematically Identify Stocks with High and Low Future Returns
Algorithmic Finance (2013), 2:1, 45-58
Ramon Huerta, Charles Elkan and Fernando Corbacho
University of California, San Diego (UCSD), University of California, San Diego (UCSD) and Universidad Autonoma de Madrid
Date Posted: September 20, 2011
Last Revised: January 20, 2014
Accepted Paper Series
2230 downloads

Incl. Electronic Paper Estimating the Algorithmic Complexity of Stock Markets
International Conference of the French Finance Association (AFFI), May 11-13, 2011, Algorithmic Finance 2015, 4:3-4, 159-178
Olivier Brandouy, J. P. Delahaye and L. Ma
Université Paris 1, Sorbonne Graduate Business School, affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: May 12, 2011
Accepted Paper Series
91 downloads

Incl. Electronic Paper Discovering the Ecosystem of an Electronic Financial Market with a Dynamic Machine-Learning Method
AFA 2012 Chicago Meetings Paper, Algorithmic Finance 2013, 2:2, 151-165
Shawn Mankad, George Michailidis and Andrei A. Kirilenko
Cornell University, University of Michigan at Ann Arbor and Brevan Howard Centre for Financial Analysis, Imperial College Business School
Date Posted: March 21, 2011
Last Revised: October 08, 2013
Working Paper Series
532 downloads

Incl. Electronic Paper Efficient Greek Estimation in Generic Swap-Rate Market Models
Algorithmic Finance, Vol. 1, No. 1, 2011
Mark S. Joshi and Chao Yang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Date Posted: March 02, 2011
Accepted Paper Series
307 downloads

Incl. Electronic Paper Markets are Efficient if and Only if P = NP
Algorithmic Finance, Vol. 1, No. 1, 2011, NYU Poly Research Paper
Philip Maymin
Vantage Sports
Date Posted: March 01, 2011
Accepted Paper Series
5650 downloads

Incl. Electronic Paper Tweets and Peers: Defining Industry Groups and Strategic Peers based on Investor Perceptions of Stocks on Twitter
Algorithmic Finance (2011), 1:1, 57-76
Timm O. Sprenger and Isabell M. Welpe
Technische Universität München (TUM) - School of Management and Technische Universität München (TUM) - School of Management
Date Posted: February 27, 2011
Accepted Paper Series
391 downloads


 

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