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SSRN eLibrary Search Results
Algorithmic Finance
23,792 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

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Showing Papers 1 - 48 of 48
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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
72 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
32 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
42 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 Tel Aviv University
Date Posted: December 12, 2014
Accepted Paper Series
75 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
189 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
26 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
25 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
37 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
104 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
3055 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
157 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
244 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, Dept of Electrical Engineering & Computer Science
Date Posted: May 27, 2014
Accepted Paper Series
37 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
71 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
102 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
295 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
90 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
78 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
143 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
251 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
641 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
988 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
80 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
187 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
194 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
63 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
1006 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
119 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
96 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
121 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
142 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
186 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
68 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
274 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
127 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
874 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 (Switzerland) - Faculty of Economics and Social Science
Date Posted: March 15, 2012
Last Revised: July 28, 2015
Accepted Paper Series
261 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
1753 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
99 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
435 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
129 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
1792 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
Operations, Technology and Information Management , 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
475 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
299 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
5408 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
349 downloads

Incl. Electronic Paper Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity
Algorithmic Finance, Vol. 1, No. 1, 2011
Marco Avellaneda , Josh Reed and Sasha Stoikov
New York University (NYU) - Courant Institute of Mathematical Sciences , New York University (NYU) - Department of Information, Operations, and Management Sciences and Cornell Financial Engineering Manhattan
Date Posted: October 14, 2010
Last Revised: October 11, 2012
Accepted Paper Series
1969 downloads

Incl. Electronic Paper Algorithmic Trading in the Iowa Electronic Markets
Algorithmic Finance (2012), 1:2, 157-181
James Schmitz
New York University (NYU) - Courant Institute of Mathematical Sciences
Date Posted: April 21, 2010
Last Revised: October 22, 2012
Accepted Paper Series
532 downloads


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