Irene Aldridge

AbleMarkets.com

Managing Director

New York, NY 10128

United States

http://www.AbleMarkets.com

Cornell University

Visiting Professor

Ithaca, NY 14853

United States

University of Cambridge, Judge Business School, Cambridge Centre for Alternative Finance, Students

Cambridge

United States

BigDataFinance.org

Board Director

United States

ABLE Alpha Trading, LTD

Managing Partner

New York, NY 10004

United States

http://www.ablealpha.com

ETFPick.com

New York, NY

Able Blox

New York, NY

  • AbleMarkets.com

  • Cornell University

  • University of Cambridge, Judge Business School, Cambridge Centre for Alternative Finance, Students

  • BigDataFinance.org

  • ABLE Alpha Trading, LTD

  • ETFPick.com

  • Able Blox

SCHOLARLY PAPERS

18

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Scholarly Papers (18)

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1.

Market Microstructure and the Risks of High-Frequency Trading

Number of pages: 53 Posted: 18 Jul 2013 Last Revised: 20 Aug 2013
Irene Aldridge
AbleMarkets.com
Downloads 1,388 (23,895)

Abstract:

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high-frequency trading, market, microstructure, exchanges, matching, pro-rata, price-time priority, market manipulation

2.

What Data Series Matter? Explaining key trends and factors generated by Artificial Intelligence

Downloads 894 (44,832)

What Data Series Matter? Explaining key trends and factors generated by Artificial Intelligence

Number of pages: 22 Posted: 20 Sep 2021 Last Revised: 11 Jan 2023
Irene Aldridge
AbleMarkets.com
Downloads 845 (47,773)

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asset pricing, artificial intelligence, pca, svd, factors, econometrics

What Data Series Matter? Explaining Key Trends and Factors Generated by Artificial Intelligence

Number of pages: 21 Posted: 11 Jan 2023
Irene Aldridge and Ying Ying
AbleMarkets.com and Cornell University
Downloads 49 (656,217)

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asset pricing, artificial intelligence, pca, svd, factors, econometrics, explainable AI

3.

Systematic Funds Outperform Discretionary Funds

Number of pages: 51 Posted: 02 Dec 2009
Irene Aldridge
AbleMarkets.com
Downloads 468 (103,020)
Citation 1

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4.

Slippage in AMM Markets

Number of pages: 16 Posted: 16 Jun 2022 Last Revised: 27 Jul 2022
Irene Aldridge
AbleMarkets.com
Downloads 452 (107,388)

Abstract:

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AMM, Crypto, Market-making, trading, liquidity, slippage

5.

Is Someone Front-Running You Around News Releases?

Number of pages: 28 Posted: 04 Feb 2016 Last Revised: 08 Feb 2016
Irene Aldridge
AbleMarkets.com
Downloads 411 (119,963)

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News events, front-running, news leakage, high-frequency trading, institutional investors

6.

The Costs of Latency

Number of pages: 18 Posted: 22 Aug 2014
Irene Aldridge
AbleMarkets.com
Downloads 255 (199,805)

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high-frequency, trading, microstructure, networks, speed, low-latency

7.

Managing Noise and Lack of Stationarity with AI

Number of pages: 13 Posted: 06 Jan 2022
Irene Aldridge
AbleMarkets.com
Downloads 199 (252,828)

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Artificial Intelligence, AI, econometrics, time series, analysis, finance, data, big data, data science, non-stationary, bias, missing observations, noise

8.

ESG in Corporate Filings: An AI Perspective

Number of pages: 57 Posted: 06 Dec 2022
Irene Aldridge and Payton Martin
AbleMarkets.com and Cornell University
Downloads 191 (262,249)

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ESG, AI, SVD, Unsupervised Learning, Collinearity, Artificial Intelligence

9.

A New Variable in Corporate Disclosure Analysis: An AI Study of the SEC EDGAR Database

Number of pages: 51 Posted: 16 Feb 2022 Last Revised: 18 Feb 2022
Irene Aldridge and Bojun Li
AbleMarkets.com and affiliation not provided to SSRN
Downloads 182 (273,731)

Abstract:

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Artificial Intelligence, AI, econometrics, time series, analysis, finance, data, big data, data science, SEC, EDGAR, equities, filings

10.

Explainable AI in Futures

Number of pages: 38 Posted: 21 Dec 2022 Last Revised: 28 Mar 2023
Irene Aldridge and Dan Robinson
AbleMarkets.com and Cornell University, Ithaca, New York
Downloads 167 (294,873)

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artificial intelligence, AI, econometrics, time series, analysis, finance, data, big data, data science, futures, prediction, asset pricing

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Artificial Intelligence, AI, econometrics, time series, analysis, finance, data, big data, data science

12.

Big Data in Portfolio Allocation -- A New Approach to Successful Portfolio Optimization

Journal of Financial Data Science (IPR Journals), January 2019
Posted: 21 Mar 2018 Last Revised: 03 Feb 2019
Irene Aldridge
AbleMarkets.com

Abstract:

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Portfolio optimization, big data, investment management, correlation, inverse, data science

13.

Chapter 27: Can Humans Dance with Machines?

Financial Behavior: Players, Services, Products, and Markets. H. Kent Baker, Greg Filbeck, and Victor Ricciardi, editors, 499-519, New York, NY: Oxford University Press, 2017.
Posted: 14 Jun 2017
Irene Aldridge
AbleMarkets.com

Abstract:

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behavioral finance, behavioural finance, high-frequency trading, market data analysis, toxic orders, liquidity

14.

ETFs, High-Frequency Trading and Flash Crashes

Journal of Portfolio Management, Fall 2016, Vol. 43, No. 1: pp. 17-28
Posted: 21 Jul 2016 Last Revised: 14 Nov 2016
Irene Aldridge
AbleMarkets.com

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Portfolio Management, Volatility, Risk Management, Risk Measurement, ETFs, High-Frequency Trading, Flash Crashes, Mathematical Models

15.

High-Frequency Runs and Flash Crash Predictability

Journal of Portfolio Management, Vol. 40, No. 3, 2014
Posted: 07 Jan 2014 Last Revised: 02 May 2014
Irene Aldridge
AbleMarkets.com

Abstract:

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high-frequency trading, market microstructure, flash crash, market crash

16.

Optimal Order Size in Pro-Rata Markets

The Journal of Trading Spring 2014, Vol. 9, No. 2: pp. 43-50 DOI: 10.3905/jot.2014.9.2.043
Posted: 07 Jan 2014 Last Revised: 12 Apr 2014
Irene Aldridge
AbleMarkets.com

Abstract:

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market microstructure, pro-rata, futures, options, optimal execution

17.

The Consequences of Transaction Taxes: An Empirical Analysis

Posted: 22 Mar 2012 Last Revised: 16 Sep 2012
Irene Aldridge
AbleMarkets.com

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transaction tax, securities, economic growth

18.

Can High-Frequency Traders Game Futures?

Journal of Trading, Forthcoming
Posted: 05 Feb 2012 Last Revised: 08 Mar 2012
Irene Aldridge
AbleMarkets.com

Abstract:

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high-frequency trading, futures, arbitrage, Eurobund, HFT, large orders, market impact