Ali Akansu

New Jersey Institute of Technology

Professor of ECE

University Heights

Newark, NJ 07102

United States

SCHOLARLY PAPERS

10

DOWNLOADS

483

SSRN CITATIONS

4

CROSSREF CITATIONS

3

Scholarly Papers (10)

1.

Portfolio Risk in Multiple Frequencies

IEEE Signal Processing Magazine, 2011
Number of pages: 12 Posted: 17 Jan 2012
New Jersey Institute of Technology, New Jersey Institute of Technology and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 216 (168,306)
Citation 2

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2.

The Flash Crash: A Review

Number of pages: 13 Posted: 28 Nov 2017
Ali Akansu
New Jersey Institute of Technology
Downloads 85 (346,866)

Abstract:

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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)

3.

On Basic Price Model and Volatility in Multiple Frequencies

Number of pages: 4 Posted: 17 Jan 2012
Ali Akansu and Mustafa Torun
New Jersey Institute of Technology and New Jersey Institute of Technology
Downloads 51 (452,104)
Citation 1

Abstract:

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Price Models, Black-Scholes, Volatility Models, Price Jumps and Regime Change, Multiple Frequency Finance

4.

On Epps Effect and Rebalancing of Hedged Portfolio in Multiple Frequencies

Number of pages: 4 Posted: 17 Jan 2012
Ali Akansu and Mustafa Torun
New Jersey Institute of Technology and New Jersey Institute of Technology
Downloads 45 (476,470)

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5.

Toeplitz Approximation to Empirical Correlation Matrix of Asset Returns: A Signal Processing Perspective

IEEE Journal of Selected Topics in Signal Processing, Vol. 6, Number 4, pp. 319-326, August 2012
Number of pages: 8 Posted: 22 Jul 2012 Last Revised: 01 Dec 2015
Ali Akansu and Mustafa Torun
New Jersey Institute of Technology and New Jersey Institute of Technology
Downloads 41 (493,949)
Citation 1

Abstract:

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Karhunen-Loeve transform, discrete cosine transform, AR(1) model, empirical correlation matrix, portfolio management, risk management

6.

Generalized Discrete Fourier Transform with Nonlinear Phase

IEEE Transactions on Signal Processing, Vol. 58, No. 9, pp. 1-10, 2010
Number of pages: 10 Posted: 17 Jan 2012
Ali Akansu and Handan Agirman-Tosun
New Jersey Institute of Technology and affiliation not provided to SSRN
Downloads 37 (512,262)

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Discrete Fourier Transform, Generalized Discrete Fourier Transform, Walsh Codes, Gold Codes, OFDM, DMT, CDMA, auto-correlation function, cross-correlation function

7.

Quantization of Eigen Subspace for Sparse Representation

IEEE Transactions on Signal Processing, Vol. 63, No. 14, July 2015
Number of pages: 10 Posted: 01 Dec 2015
Onur Yilmaz and Ali Akansu
New Jersey Institute of Technology and New Jersey Institute of Technology
Downloads 8 (696,642)

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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

8.

Quant Investing in Cluster Portfolios

Journal of Investment Strategies (Risk.net) https://www.risk.net/journal-of-investment-strategies, 2020
Posted: 23 Feb 2021
Ali Akansu, Marco Avellaneda and Anqi Xiong
New Jersey Institute of Technology, New York University (NYU) - Courant Institute of Mathematical Sciences and New Jersey Institute of Technology

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Set partitioning, eigenportfolio, super eigenportfolio, long-only portfolio

Eigenportfolios of US Equities for the Exponential Correlation Model

Journal of Investment Strategies, Vol. 9, No. 1, 2020
Number of pages: 24 Posted: 19 Jan 2021
Ali Akansu and Anqi Xiong
New Jersey Institute of Technology and New Jersey Institute of Technology
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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.

Eigenportfolios of US Equities for the Exponential Correlation Model

Journal of Investment Strategies (Risk.net), 2020
Posted: 23 Feb 2021
Ali Akansu and Anqi Xiong
New Jersey Institute of Technology and New Jersey Institute of Technology

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Eigenportfolio, exponential correlation model, PNL, Sharpe Ratio

10.

Firm Performance in the Face of Fear

Posted: 04 Dec 2014 Last Revised: 19 Feb 2016
New Jersey Institute of Technology, University of Central Missouri, University of Missouri at Columbia - Robert J. Trulaske, Sr. College of Business and New Jersey Institute of Technology

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facial fear, emotion recognition, facial emotions, CEO fear, soft information