Mustafa Torun

New Jersey Institute of Technology

University Heights

Newark, NJ 07102

United States

http://web.njit.edu/~umt2

SCHOLARLY PAPERS

4

DOWNLOADS

381

SSRN CITATIONS

2

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

Portfolio Risk in Multiple Frequencies

IEEE Signal Processing Magazine, 2011
Number of pages: 12 Posted: 17 Jan 2012
Ali Akansu, Mustafa Torun and Marco Avellaneda
New Jersey Institute of Technology, New Jersey Institute of Technology and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 231 (193,477)
Citation 2

Abstract:

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2.

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 55 (527,271)
Citation 1

Abstract:

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

3.

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 50 (549,753)

Abstract:

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4.

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 45 (573,869)
Citation 1

Abstract:

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