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Algorithmic Finance

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Viewing: 1 - 50 of 52 papers

1.

Sparse Modeling of Volatile Financial Time Series Via Low-Dimensional Patterns Over Learned Dictionaries

Algorithmic Finance 2015, 4:3-4, 139-158
Number of pages: 21 Posted: 27 Jan 2016
Accepted Paper Series
EONOS Investment Technologies, Universit´e d’Evry-Val-d’Essonne and AXIANTA Research and Avenir Finance Investment Managers
Downloads 202
2.

Microstructure-Based Order Placement in a Continuous Double Auction Agent Based Model

Algorithmic Finance 2015, 4:3-4, 105-125
Number of pages: 22 Posted: 26 Jan 2016
Accepted Paper Series
University of Giessen
Downloads 122
3.

Pricing Complexity Options

Algorithmic Finance 2015, 4:3-4, 127-137
Number of pages: 12 Posted: 26 Jan 2016
Accepted Paper Series
Rutgers, The State University of New Jersey, University of Hawaii at Manoa, George Washington University - Law School and Kash Co.
Downloads 82
4.

Predictable Markets? A News-Driven Model of the Stock Market

Algorithmic Finance (2015), 4:1-2, 5-51
Number of pages: 48 Posted: 03 Aug 2015
Accepted Paper Series
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.
Downloads 391
5.

Market Sentiment and Exchange Rate Directional Forecasting

Algorithmic Finance (2015), 4:1-2, 69-79
Number of pages: 12 Posted: 28 Jul 2015
Working Paper Series
Democritus University of Thrace, Department of Economics, Democritus University of Thrace, Democritus University of Thrace - Department of Economics and Alexander Technological Educational Institute of Thessaloniki
Downloads 238
6.

A Minute with Peter Bossaerts

Algorithmic Finance (2015), 4:1-2, 1-3
Number of pages: 4 Posted: 28 Jul 2015
Accepted Paper Series
University of Melbourne - Department of Finance
Downloads 109
7.

The Design and Performance of the Adaptive Stock Market Index

Algorithmic Finance 2014, 3:3-4, pp. 189-207
Number of pages: 20 Posted: 12 Dec 2014
Accepted Paper Series
Tel Aviv University, School of Electrical Engineering, Faculty of Engineering, Financial Industry Regulatory Authority (FINRA) and Tel Aviv University (Deceased)
Downloads 146
8.

A Minute with Andrew Odlyzko

Algorithmic Finance 2014, 3:3-4, pp. 141-142
Number of pages: 3 Posted: 12 Dec 2014
Accepted Paper Series
Algorithmic Finance Journal
Downloads 626
9.

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
Number of pages: 19 Posted: 11 Dec 2014
Accepted Paper Series
New York University (NYU)
Downloads 51
10.

An Efficient Algorithm for the Calculation of Reserves for Non-Unit Linked Life Policies

Algorithmic Finance 2014, 3:3-4, pp. 143-161
Number of pages: 20 Posted: 11 Dec 2014
Accepted Paper Series
University of Edinburgh and University of Edinburgh
Downloads 43
11.

The Relationship between Return Fractality and Bipower Variation

Algorithmic Finance 2014, 3:3-4, pp. 163-171
Number of pages: 10 Posted: 11 Dec 2014
Accepted Paper Series
California State University, Long Beach
Downloads 77
12.

Fast Recursive Portfolio Optimization

Algorithmic Finance 2014, 3:3-4, pp. 173-188
Number of pages: 17 Posted: 11 Dec 2014
Accepted Paper Series
IFM Investors
Downloads 301
13.

Binomial Options Pricing Has No Closed-Form Solution

Algorithmic Finance, Vol. 1, No. 1, 2011
Number of pages: 5 Posted: 11 Dec 2014
Accepted Paper Series
Massachusetts Institute of Technology (MIT)
Downloads 3,633
14.

Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks

Algorithmic Finance (2015), 4:1-2, 81-87
Number of pages: 8 Posted: 13 Oct 2014 Last Revised: 28 Jul 2015
Accepted Paper Series
University College London
Downloads 368
15.

Multi-Scale Capability: A Better Approach to Performance Measurement for Algorithmic Trading

Algorithmic Finance (2015), 4:1-2, 53-68
Number of pages: 17 Posted: 30 Aug 2014 Last Revised: 28 Jul 2015
Accepted Paper Series
Illinois Institute of Technology - Stuart School of Business, IIT, Michael K. Ong Risk Advisory and Illinois Institute of Technology - Stuart School of Business
Downloads 359
16.

Linear-Time Accurate Lattice Algorithms for Tail Conditional Expectation

Algorithmic Finance 2014, 3:1-2, 87-140
Number of pages: 55 Posted: 27 May 2014
Accepted Paper Series
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
Downloads 59
17.

A Minute with Kenneth J. Arrow

Algorithmic Finance 2014, 3:1-2, 1-2
Number of pages: 3 Posted: 27 May 2014
Accepted Paper Series
Algorithmic Finance Journal
Downloads 113
18.

The Extent of Price Misalignment in Prediction Markets

Algorithmic Finance 2014, 3:1-2, 3-20
Number of pages: 19 Posted: 27 May 2014
Working Paper Series
Microsoft Research - NYC and Microsoft Corporation - Microsoft Research, New York City
Downloads 241
19.

Dynamic Allocation Strategies for Absolute and Relative Loss Control

Algorithmic Finance 2014, 3:30-4, pp. 209-231
Number of pages: 24 Posted: 08 Mar 2014 Last Revised: 12 Dec 2014
Accepted Paper Series
Universidad de Los Andes - School of Management
Downloads 499
20.

A Minute with Marcos Lopez de Prado

Algorithmic Finance 2013, 2:3-4, 167-168
Number of pages: 3 Posted: 20 Jan 2014
Accepted Paper Series
Algorithmic Finance Journal
Downloads 204
21.

Dynamical Trading Mechanisms in Limit Order Markets

Algorithmic Finance 2013, 2:3-4, 213-231
Number of pages: 20 Posted: 18 Jan 2014
Accepted Paper Series
no affiliation
Downloads 127
22.

Sparse, Mean Reverting Portfolio Selection Using Simulated Annealing

Algorithmic Finance 2013, 2:3-4, 197-211
Number of pages: 16 Posted: 18 Jan 2014
Accepted Paper Series
Budapest University of Technology and Economics and Budapest University of Technology and Economics
Downloads 378
23.

Stock Chatter: Using Stock Sentiment to Predict Price Direction

Algorithmic Finance 2013, 2:3-4, 169-196
Number of pages: 29 Posted: 18 Jan 2014
Accepted Paper Series
University of Iowa - Department of Management Sciences, University of Iowa - Department of Management Sciences and University of Iowa - Department of Management Sciences
Downloads 466
24.

The Topology of Macro Financial Flows: An Application of Stochastic Flow Diagrams

Algorithmic Finance 2014, 3:1-2, 43-85
Number of pages: 44 Posted: 16 Jan 2014 Last Revised: 27 May 2014
Accepted Paper Series
Clemson University and Cornell University - Operations Research & Industrial Engineering
Downloads 1,700
25.

Stochastic Flow Diagrams

Algorithmic Finance 2014, 3:1-2, 21-42
Number of pages: 23 Posted: 16 Jan 2014 Last Revised: 27 May 2014
Accepted Paper Series
Clemson University and Cornell University - Operations Research & Industrial Engineering
Downloads 2,230
26.

A Minute with Giovanni Barone-Adesi

Algorithmic Finance 2013, 2:2, 111
Number of pages: 2 Posted: 17 Sep 2013
Accepted Paper Series
Algorithmic Finance Journal
Downloads 110
27.

Modeling Market Impact and Timing Risk in Volume Time

Algorithmic Finance 2013, 2:2, 113-126
Number of pages: 15 Posted: 11 Sep 2013
Accepted Paper Series
Liquidnet, Inc
Downloads 299
28.

Optimizing Sparse Mean Reverting Portfolios

Algorithmic Finance 2013, 2:2, 127-139
Number of pages: 14 Posted: 11 Sep 2013
Accepted Paper Series
Budapest University of Technology and Economics and Budapest University of Technology and Economics
Downloads 331
29.

The Relationship between Risk and Incomplete States Uncertainty: A Tsallis Entropy Perspective

Algorithmic Finance 2013, 2:2, 141-150
Number of pages: 11 Posted: 11 Sep 2013
Accepted Paper Series
Université Paris I Panthéon-Sorbonne
Downloads 88
30.

A Big Data Approach to Analyzing Market Volatility

Algorithmic Finance (2013), 2:3-4, 241-267
Number of pages: 28 Posted: 07 Jun 2013
Working Paper Series
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,489
31.

A Minute with Andrei Kirilenko

Algorithmic Finance (2013), 2:1, 1-2
Number of pages: 3 Posted: 04 Apr 2013
Accepted Paper Series
Algorithmic Finance Journal
Downloads 152
32.

Cluster Formation and Evolution in Networks of Financial Market Indices

Algorithmic Finance (2013), 2:1, 3-43, DOI: 10.3233/AF-13015
Number of pages: 42 Posted: 03 Apr 2013
Accepted Paper Series
Insper Institute of Education and Research
Downloads 155
33.

A Minute with David Leinweber

Algorithmic Finance (2012), 1:2, 191-192
Number of pages: 3 Posted: 12 Oct 2012 Last Revised: 22 Oct 2012
Accepted Paper Series
Algorithmic Finance Journal
Downloads 137
34.

A Minute with Emanuel Derman

Algorithmic Finance (2011), 1:1, 77
Number of pages: 2 Posted: 12 Oct 2012 Last Revised: 16 Oct 2012
Accepted Paper Series
Algorithmic Finance Journal
Downloads 184
35.

News Reaction in Financial Markets within a Behavioral Finance Model with Heterogeneous Agents

Algorithmic Finance (2012), 1:2, 123-139
Number of pages: 18 Posted: 05 Oct 2012 Last Revised: 22 Oct 2012
Accepted Paper Series
Lund University - School of Economics and Management
Downloads 233
36.

The Impact of Asymmetry on Expected Stock Returns: An Investigation of Alternative Risk Measures

Algorithmic Finance (2012), 1:2, 79-93
Number of pages: 16 Posted: 05 Oct 2012 Last Revised: 16 Oct 2012
Accepted Paper Series
University of Wisconsin Oshkosh and University of Wisconsin - Oshkosh
Downloads 350
37.

Inventory-Based Versus Prior-Based Options Trading Agents

Algorithmic Finance (2012), 1:2, 95-121
Number of pages: 28 Posted: 05 Oct 2012 Last Revised: 16 Oct 2012
Accepted Paper Series
University of Pennsylvania - Operations & Information Management Department and Carnegie Mellon University - School of Computer Science
Downloads 101
38.

The Synchronized and Long-Lasting Structural Change on Commodity Markets: Evidence from High Frequency Data

Algorithmic Finance (2013), 2:3-4, 233-239
Number of pages: 8 Posted: 12 May 2012
Working Paper Series
UNCTAD - United Nations Conference on Trade and Development and United Nations - Conference on Trade and Development (UNCTAD)
Downloads 201
39.

A Multiscale Model of High-Frequency Trading

Algorithmic Finance (2013), 2:1, 59-98
Number of pages: 41 Posted: 26 Apr 2012
Accepted Paper Series
University of Illinois at Urbana-Champaign - Department of Mathematics, University of Cambridge - Finance and University of Illinois at Urbana-Champaign
Downloads 1,052
40.

Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility

Algorithmic Finance (2015), 4:1-2, 89-104
Number of pages: 17 Posted: 15 Mar 2012 Last Revised: 28 Jul 2015
Accepted Paper Series
University of Fribourg - Faculty of Economics and Social Science
Downloads 366
41.

The Strategy Approval Decision: A Sharpe Ratio Indifference Curve Approach

Algorithmic Finance, (2013) 2:1, 99-109
Number of pages: 12 Posted: 15 Feb 2012 Last Revised: 20 Jan 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory, Cornell University - Operations Research & Industrial Engineering and Universidad Complutense de Madrid (UCM)
Downloads 2,419
42.

Financial Turbulence, Business Cycles and Intrinsic Time in an Artificial Economy

Algorithmic Finance (2012), 1:2, 141-156
Number of pages: 17 Posted: 12 Feb 2012 Last Revised: 22 Oct 2012
Accepted Paper Series
Instituto Superior de Ciências Sociais e Políticas (ISCSP)
Downloads 151
43.

Behavioral Biases and Investor Performance

Algorithmic Finance (2011), 1:1, 45-55
Number of pages: 12 Posted: 11 Nov 2011
Accepted Paper Series
San Francisco State University - College of Business
Downloads 534
44.

Pricing Stocks with Yardsticks and Sentiments

Algorithmic Finance (2012), 1:2, 183-190
Number of pages: 9 Posted: 01 Oct 2011 Last Revised: 22 Oct 2012
Accepted Paper Series
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
Downloads 169
45.

Nonlinear Support Vector Machines Can Systematically Identify Stocks with High and Low Future Returns

Algorithmic Finance (2013), 2:1, 45-58
Number of pages: 15 Posted: 20 Sep 2011 Last Revised: 20 Jan 2014
Accepted Paper Series
University of California, San Diego (UCSD), University of California, San Diego (UCSD) and Universidad Autonoma de Madrid
Downloads 3,812
46.

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
Number of pages: 21 Posted: 12 May 2011
Accepted Paper Series
University of Angers - Groupe de Recherche en Économie Théorique et Appliquée (GREThA), affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 131
47.

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
Number of pages: 16 Posted: 21 Mar 2011 Last Revised: 08 Oct 2013
Working Paper Series
Cornell University, University of Michigan at Ann Arbor and University of Cambridge - Finance
Downloads 671
48.

Efficient Greek Estimation in Generic Swap-Rate Market Models

Algorithmic Finance, Vol. 1, No. 1, 2011
Number of pages: 18 Posted: 02 Mar 2011
Accepted Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased) and Origin Energy
Downloads 334
49.

Markets are Efficient if and Only if P = NP

Algorithmic Finance, Vol. 1, No. 1, 2011, NYU Poly Research Paper
Number of pages: 12 Posted: 01 Mar 2011
Accepted Paper Series
Fairfield University - Charles F. Dolan School of Business
Downloads 6,091
50.

Tweets and Peers: Defining Industry Groups and Strategic Peers based on Investor Perceptions of Stocks on Twitter

Algorithmic Finance (2011), 1:1, 57-76
Number of pages: 21 Posted: 27 Feb 2011
Accepted Paper Series
Technische Universität München (TUM) - School of Management and Technische Universität München (TUM) - School of Management
Downloads 463