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Duran, Ahmet's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,693 |
Total
Citations
17 |
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1.
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Duran, Ahmet
University of Michigan at Ann Arbor Bommarito, Michael James
Bommarito Consulting, LLC
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21 Nov 09
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16 Mar 10
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1,085
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portfolio risk management, algorithmic trading, out-of-sample prediction, long memory in stocks, adaptive learning algorithm, market timing, principal component analysis, simulation
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2.
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Data Mining for Overreaction in Financial Markets
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Show Abstract
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PROCEEDINGS OF THE IASTED INTERNATIONAL CONFERENCE ON SOFTWARE ENGINEERING AND APPLICATIONS (SEA), Phoenix, AZ, November 14-16, 2005, W.-T. Tsai and M.H. Hamza, eds., Vol. 467, pp. 28-35, ACTA Press, 2005
Accepted Paper Series
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Duran, Ahmet
University of Michigan at Ann Arbor Caginalp, Gunduz
University of Pittsburgh - Department of Mathematics
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01 Jun 09
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05 Jun 09
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464
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3
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data mining, overreaction, computational finance software, financial bubble, prediction, financial markets
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3.
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Duran, Ahmet
University of Michigan at Ann Arbor Caginalp, Gunduz
University of Pittsburgh - Department of Mathematics
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26 Sep 06
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Last Revised:
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30 Mar 09
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398
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Overreaction, Price deviation, Diamond pattern, Overpositioning, Market dynamics, Financial markets, Behavioral finance, Closed-end funds
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4.
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Duran, Ahmet
University of Michigan at Ann Arbor Caginalp, Gunduz
University of Pittsburgh - Department of Mathematics
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16 Jun 08
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Last Revised:
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15 Apr 09
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317
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numerical nonlinear optimization, inverse problem of parameter estimation, asset flow differential equations, financial market dynamics, market return prediction algorithm, data analysis in mathematical finance and economics, out-of-sample prediction
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5.
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Bommarito, Michael James
Bommarito Consulting, LLC Duran, Ahmet
University of Michigan at Ann Arbor
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177
(84,197)
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market-adjusted return, return correlation matrix, maximum eigenvalue, random matrix theory
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6.
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Duran, Ahmet
University of Michigan at Ann Arbor
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168
(88,437)
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2
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parametric sensitivity analysis, extreme value based volatility, nonlinear dynamical systems, numerical solution of differential equations market dynamics, mathematical finance and economics, quantitative finance
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7.
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Duran, Ahmet
University of Michigan at Ann Arbor
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84
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Stability analysis, instability, equilibrium, market dynamics, asset flow, closed-end funds, hypersensitivity, mathematical finance and economics
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Records 1 -
7
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