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Algorithmic Finance

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Viewing: 1 - 50 of 52 papers

1.

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
University of Bridgeport - School of Business
Downloads 5,792
2.

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 3,459
3.

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 2,860
4.

Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity

Algorithmic Finance, Vol. 1, No. 1, 2011
Number of pages: 10 Posted: 14 Oct 2010 Last Revised: 11 Oct 2012
Accepted Paper Series
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
Downloads 2,365
5.

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, Guggenheim Partners, LLC and Universidad Complutense de Madrid (UCM)
Downloads 2,019
6.

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 Guggenheim Partners, LLC
Downloads 1,402
7.

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
Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 1,307
8.

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 Guggenheim Partners, LLC
Downloads 1,072
9.

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, Centre for Global Finance and Technology, Imperial College Business School and University of Illinois at Urbana-Champaign
Downloads 1,004
10.

Algorithmic Trading in the Iowa Electronic Markets

Algorithmic Finance (2012), 1:2, 157-181
Number of pages: 26 Posted: 21 Apr 2010 Last Revised: 22 Oct 2012
Accepted Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 735
11.

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 Centre for Global Finance and Technology, Imperial College Business School
Downloads 584
12.

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 498
13.

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 467
14.

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 420
15.

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 412
16.

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
Optimal Asset Management
Downloads 398
17.

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 333
18.

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 324
19.

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 and AMP Financial Services
Downloads 319
20.

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 316
21.

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 312
22.

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
Quantitative Strategies - Investment Banking Division - Credit Suisse Group
Downloads 309
23.

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 292
24.

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 269
25.

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 267
26.

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 243
27.

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 218
28.

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 201
29.

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 178
30.

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, Democritus University of Thrace, Democritus University of Thrace - Department of Economics and Alexander Technological Educational Institute of Thessaloniki
Downloads 164
31.

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 161
32.

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 160
33.

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 157
34.

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 143
35.

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 138
36.

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, University of Lisbon
Downloads 136
37.

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 133
38.

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 133
39.

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 129
40.

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 112
41.

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
Université Paris 1, Sorbonne Graduate Business School, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 107
42.

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 101
43.

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 97
44.

A Minute with Peter Bossaerts

Algorithmic Finance (2015), 4:1-2, 1-3
Number of pages: 4 Posted: 28 Jul 2015
Accepted Paper Series
Brain, Mind and Markets Laboratory
Downloads 94
45.

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 94
46.

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 92
47.

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 80
48.

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 69
49.

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 64
50.

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 53