Newark, NJ 07102
New Jersey Institute of Technology
Algorithmic trading, Electronic trading, High-frequency trading (HFT), Limit order book (LOB), The flash crash, LOB imbalance, Security Information Processor (SIP), National best bid and offer (NBBO), Regulation national market system (Reg NMS), United States Securities and Exchange Commission (SEC)
Price Models, Black-Scholes, Volatility Models, Price Jumps and Regime Change, Multiple Frequency Finance
Karhunen-Loeve transform, discrete cosine transform, AR(1) model, empirical correlation matrix, portfolio management, risk management
Discrete Fourier Transform, Generalized Discrete Fourier Transform, Walsh Codes, Gold Codes, OFDM, DMT, CDMA, auto-correlation function, cross-correlation function
Arcsine distribution, cardinality reduction, dimension reduction, eigen decomposition, Karhunen–Loeve Transform (KLT), Lloyd-Max quantizer, midtread (zero-zone) pdf-optimized quantizer, principal component analysis (PCA), sparse matrix, subspace methods, transform coding
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File name: SSRN-id3841535.pdf
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subspace performance; clustering algorithm; asset clusters; cluster eigenportfolios; combined portfolio of cluster eigenportfolios.
Set partitioning, eigenportfolio, super eigenportfolio, long-only portfolio
File name: SSRN-id3768469.pdf
exponential correlation model, Toeplitz matrix, eigende composition, principal component analysis, Karhunen–Loeve transform (KLT), eigen portfolios, market portfolio, minimum variance portfolio, exchange-traded fund (ETF); Sharpe ratio, market exposure, proﬁt and loss (P&L) curve.
Eigenportfolio, exponential correlation model, PNL, Sharpe Ratio
facial fear, emotion recognition, facial emotions, CEO fear, soft information
Explainable neural network, activation function, pdf shaping, node compression ratio, layer compression ratio, AR(1) source
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