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Computation Theory eJournal

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Viewing: 1 - 50 of 1,190 papers

1.

A Simplified Approach to Understanding the Kalman Filter Technique

Number of pages: 24 Posted: 07 May 2005 Last Revised: 17 Apr 2008
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business, Auburn University and Georgia State University - Department of Finance
Downloads 19,948
2.

The Alpha Engine: Designing an Automated Trading Algorithm

High Performance Computing in Finance, Chapman & Hall/CRC Series in Mathematical Finance, 2017
Number of pages: 29 Posted: 12 Apr 2017 Last Revised: 03 May 2017
Working Paper Series
Flov technologies, Department of Banking and Finance, UZH and Lykke Corp
Downloads 7,906
3.

A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model

Number of pages: 26 Posted: 07 Apr 1999
Working Paper Series
Bank of America Merrill Lynch
Downloads 5,952
4.

p-Hacking and False Discovery in A/B Testing

Number of pages: 46 Posted: 18 Jul 2018 Last Revised: 12 Dec 2018
Working Paper Series
University of Pennsylvania, The Wharton School, OpenDoor, Independent and University of Pennsylvania - Marketing Department
Downloads 5,851
5.

Machine Learning in Asset Management

Number of pages: 65 Posted: 18 Jul 2019 Last Revised: 26 Mar 2020
Working Paper Series
The Alan Turing Institute
Downloads 5,386
6.

A Closed-Form Solution for Optimal Mean-Reverting Trading Strategies

Number of pages: 32 Posted: 09 Mar 2020 Last Revised: 24 Mar 2020
Working Paper Series
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial Engineering
Downloads 5,161
7.

An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization

Algorithms, 6(1), pp.169-196, 2013
Number of pages: 29 Posted: 08 Jan 2013 Last Revised: 02 Jan 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 5,145
8.

Slave to the Algorithm? Why a 'Right to an Explanation' Is Probably Not the Remedy You Are Looking For

16 Duke Law & Technology Review 18 (2017)
Number of pages: 67 Posted: 24 May 2017 Last Revised: 06 Dec 2017
Accepted Paper Series
University of Newcastle - Law School and University College London, Faculty of Laws
Downloads 4,281
9.

Tactical Investment Algorithms

Number of pages: 11 Posted: 30 Sep 2019 Last Revised: 01 Oct 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 3,981
10.

Estimation of Theory-Implied Correlation Matrices

Number of pages: 18 Posted: 20 Nov 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 2,420
11.

Exit Strategies for COVID-19: An Application of the K-SEIR Model (Presentation Slides)

Number of pages: 52 Posted: 22 Apr 2020
Working Paper Series
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial Engineering
Downloads 2,315
12.

A Robust Estimator of the Efficient Frontier

Number of pages: 16 Posted: 18 Oct 2019 Last Revised: 04 Mar 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 2,232
13.

Machine Learning for Asset Managers (Chapter 1)

Cambridge Elements, 2020
Number of pages: 45 Posted: 27 Apr 2020
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 2,202
14.

Codependence (Presentation Slides)

Number of pages: 34 Posted: 15 Jan 2020 Last Revised: 06 Feb 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 2,171
15.

Ten Applications of Financial Machine Learning

Number of pages: 16 Posted: 22 Apr 2019 Last Revised: 01 Oct 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 2,169
16.

Sustainable and Unchallenged Algorithmic Tacit Collusion

University of Tennessee Legal Studies Research Paper No. 366, Oxford Legal Studies Research Paper No. 16/2019, 17 Northwestern Journal of Technology and Intellectual Property 217 (2020)
Number of pages: 47 Posted: 06 Dec 2018 Last Revised: 09 Mar 2020
Accepted Paper Series
University of Oxford - Faculty of Law and University of Tennessee College of Law
Downloads 1,943
17.

Discrimination in the Age of Algorithms

Number of pages: 45 Posted: 07 Feb 2019 Last Revised: 12 Feb 2019
Working Paper Series
Cornell University - Department of Computer Science, University of Chicago, Harvard University - Department of Economics and Harvard Law School

Multiple version iconThere are 2 versions of this paper

Downloads 1,925
18.

Clustered Feature Importance (Presentation Slides)

Number of pages: 35 Posted: 06 Mar 2020 Last Revised: 09 Apr 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,695
19.

Predicting Returns with Text Data

Number of pages: 54 Posted: 04 Dec 2019
Working Paper Series
Harvard University, Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,605
20.

Advances in Financial Machine Learning: Numerai's Tournament (Presentation Slides)

Number of pages: 18 Posted: 25 Nov 2019 Last Revised: 25 Nov 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,445
21.

Overfitting: Causes and Solutions (Seminar Slides)

Number of pages: 24 Posted: 26 Feb 2020 Last Revised: 02 Mar 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,379
22.

Head and Shoulders: Not Just a Flaky Pattern

FRB of New York Staff Report No. 4
Number of pages: 67 Posted: 22 Jun 2007
Working Paper Series
Brandeis University - International Business School and Credit Suisse AG - London Headquarters
Downloads 1,264
23.

Enslaving the Algorithm: From a ‘Right to an Explanation’ to a ‘Right to Better Decisions’?

IEEE Security & Privacy (2018) 16(3), pp. 46-54, DOI: 10.1109/MSP.2018.2701152
Number of pages: 14 Posted: 16 Oct 2017 Last Revised: 15 Jul 2018
Accepted Paper Series
University of Newcastle - Law School and University College London, Faculty of Laws
Downloads 1,240
24.

Bermuda Triangle – Licensing, Filtering and Privileging User-Generated Content Under the New Directive on Copyright in the Digital Single Market

Number of pages: 18 Posted: 22 Apr 2019
Working Paper Series
University of Amsterdam - Institute for Information Law (IViR)
Downloads 979
25.

Advances in Financial Machine Learning: Lecture 10/10 (Presentation Slides)

Number of pages: 44 Posted: 14 Nov 2019 Last Revised: 06 Feb 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 747
26.

Algorithmic Collusion & Its Implications for Competition Law and Policy

Number of pages: 48 Posted: 14 Aug 2018 Last Revised: 11 Jan 2019
Working Paper Series
National University of Singapore (NUS), Faculty of Law
Downloads 747
27.

Binary Governance: Lessons from the GDPR's Approach to Algorithmic Accountability

Southern California Law Review, Vol. 92, No. 6, 2019 1529, U of Colorado Law Legal Studies Research Paper No. 19-9
Number of pages: 88 Posted: 03 Apr 2019 Last Revised: 11 Nov 2019
Working Paper Series
University of Colorado Law School
Downloads 716
28.

Genetic Algorithms: A Tool for Optimization in Econometrics - Basic Concept and an Example for Empirical Applications

ZEW Discussion Paper No. 02-41
Number of pages: 24 Posted: 12 Oct 2002
Working Paper Series
Centre for European Economic Research (ZEW) and ZEW – Leibniz Centre for European Economic Research
Downloads 700
29.

An Economic Analysis of Difficulty Adjustment Algorithms in Proof-of-Work Blockchain Systems

Number of pages: 50 Posted: 04 Jul 2019 Last Revised: 10 Feb 2020
Working Paper Series
Vancouver School of Economics, University of British Columbia, University of Tokyo, Graduate School of Economics, Students and BUIDL, Ltd.
Downloads 680
30.

Financial Analysis: Stock Market Prediction Using Deep Learning Algorithms

Proceedings of International Conference on Sustainable Computing in Science, Technology and Management (SUSCOM), Amity University Rajasthan, Jaipur - India, February 26-28, 2019
Number of pages: 7 Posted: 14 Jun 2019
Working Paper Series
VIT University, Vellore and VIT, Vellore-632014, India
Downloads 657
31.

Genetic Algorithm Estimation of Interest Rate Term Structure

Banco de Espana Research Paper No. WP-0634
Number of pages: 35 Posted: 13 Dec 2006
Working Paper Series
Banco de España and University of Castilla-La Mancha
Downloads 619
32.

An Empirical Study of Multi-Objective Algorithms for Stock Ranking

Genetic Programming Theory and Practice, 2007
Number of pages: 16 Posted: 26 Jun 2007
Accepted Paper Series
IBS, Massachusetts Institute of Technology (MIT) and State Street Global Advisors
Downloads 611
33.

Test & Roll: Profit-Maximizing A/B Tests

Number of pages: 46 Posted: 01 Nov 2018 Last Revised: 23 May 2019
Working Paper Series
Drexel University - Department of Marketing and University of Pennsylvania, The Wharton School
Downloads 580
34.

A Cheat Sheet for Algorithmic Trading of Investment Portfolios

Number of pages: 18 Posted: 23 Aug 2013
Working Paper Series
Northern Trust Corporation
Downloads 557
35.

Scalable Data Fusion with Selection Correction: An Application to Customer Base Analysis

Columbia Business School Research Paper, Forthcoming
Number of pages: 75 Posted: 11 Apr 2019 Last Revised: 19 May 2020
Working Paper Series
Emory University - Department of Marketing and Columbia Business School
Downloads 535
36.

How to Argue with an Algorithm: Lessons from the COMPAS ProPublica Debate

Accepted for publication. The Colorado Technology Law Journal. Volume 17 Issue 1 http://ctlj.colorado.edu
Number of pages: 37 Posted: 19 Apr 2019
Accepted Paper Series
NYU Steinhardt
Downloads 533
37.

An Adaptive Approach to 'Stock Portfolio Optimizations with Genetic Algorithms'

Number of pages: 18 Posted: 02 Dec 2005
Working Paper Series
Ankara University - Social Science Institute and Ankara University - Faculty of Political Science
Downloads 523
38.

Machine Learning Optimization Algorithms & Portfolio Allocation

Number of pages: 66 Posted: 25 Jul 2019
Working Paper Series
University of Paris-Saclay - Ecole Polytechnique and Amundi Asset Management
Downloads 500
39.

A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure

Forthcoming in Management Science
Number of pages: 44 Posted: 29 Nov 2013 Last Revised: 16 May 2020
Accepted Paper Series
University of Toronto at Mississauga - Department of Management, Boston University and Tsinghua University, School of Economics and Management
Downloads 496
40.

Analysis and Prediction of Diabetes Using Machine Learning

International Journal of Emerging Technology and Innovative Engineering, Volume 5, Issue 4, April 2019
Number of pages: 9 Posted: 23 Apr 2019
Accepted Paper Series
Sri Krishna College of Technology, Students and Sri Krishna College of Technology, Students
Downloads 466
41.

Neural Network Embedding of the Over-Dispersed Poisson Reserving Model

Number of pages: 30 Posted: 14 Dec 2018
Working Paper Series
ETH Zurich, Department of Mathematics, RiskLab, Students, QED Actuaries and Consultants and RiskLab, ETH Zurich
Downloads 456
42.

From Generalized Linear Models to Neural Networks, and Back

Number of pages: 56 Posted: 09 Dec 2019 Last Revised: 03 Mar 2020
Working Paper Series
RiskLab, ETH Zurich
Downloads 452
43.

Channel Auctions

Management Science, Forthcoming
Number of pages: 16 Posted: 31 Aug 2018 Last Revised: 27 Aug 2019
Accepted Paper Series
University of Pennsylvania - The Wharton School, Microsoft Corporation - Microsoft Research, New York City, Harvard University Department of Computer Science and Microsoft
Downloads 449
44.
Downloads 448
45.

Factors Influencing Smartphone Purchase Behavior Among Young Adults in Nigeria

International Journal of Recent Scientific Research, Vol. 7, Issue, 9, pp. 13248-13254, September, 2016
Number of pages: 7 Posted: 16 Feb 2018
Accepted Paper Series
Nnamdi Azikiwe University and Nnamdi Azikiwe University
Downloads 445
46.

A Nonlinear Dynamics of Coronavirus (CoV) Model and Stability Analysis

Proceedings of International Conference on Fractional Differentiation and its Applications (ICFDA) 2018
Number of pages: 5 Posted: 12 Nov 2018
Working Paper Series
Princess Nourah Bint Abdulrahman University
Downloads 418
47.

Discrimination-Free Insurance Pricing

Number of pages: 26 Posted: 10 Feb 2020
Working Paper Series
Stockholm University, QED Actuaries and Consultants, City University London - Cass Business School and RiskLab, ETH Zurich
Downloads 404
48.

Algorithms As Cartel Infringements – A Bibliography

Number of pages: 12 Posted: 12 Jul 2018
Working Paper Series
University of Muenster and University of Muenster
Downloads 397
49.

Access to Algorithms

88 Fordham Law Review 1265 (2020)
Number of pages: 50 Posted: 11 Apr 2019 Last Revised: 03 Apr 2020
Accepted Paper Series
Drexel University Thomas R. Kline School of Law
Downloads 362
50.

A 'Pencil Sharpening' Algorithm for Two Player Stochastic Games with Perfect Monitoring

Princeton University William S. Dietrich II Economic Theory Center Research Paper No. 078_2016
Number of pages: 79 Posted: 24 Feb 2016
Working Paper Series
Princeton University - Department of Economics, Princeton University - Department of Economics and Princeton University
Downloads 354