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

Able Blox

New York, NY

SCHOLARLY PAPERS

34

DOWNLOADS
Rank 12,590

SSRN RANKINGS

Top 12,590

in Total Papers Downloads

8,010

TOTAL CITATIONS

3

Scholarly Papers (34)

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 1,577 (24,904)

Abstract:

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

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 921 (53,328)

Abstract:

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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 97 (574,010)

Abstract:

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

3.

Slippage in AMM Markets

Number of pages: 16 Posted: 16 Jun 2022 Last Revised: 27 Jul 2022
Irene Aldridge
AbleMarkets.com
Downloads 678 (81,345)

Abstract:

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

4.

Managing Volatility for Profitable Options Trading: Evidence from Pairs Trading Strategies

Number of pages: 31 Posted: 16 Oct 2024
Irene Aldridge and Kelvin Jiang
AbleMarkets.com and Cornell University
Downloads 533 (110,623)

Abstract:

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Options, microstructure, trading, market efficiency

5.

Systematic Funds Outperform Discretionary Funds

Number of pages: 51 Posted: 02 Dec 2009
Irene Aldridge
AbleMarkets.com
Downloads 533 (110,384)
Citation 1

Abstract:

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6.

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 496 (120,492)

Abstract:

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

7.

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 396 (157,035)

Abstract:

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

8.

The Costs of Latency

Number of pages: 18 Posted: 22 Aug 2014
Irene Aldridge
AbleMarkets.com
Downloads 317 (200,235)

Abstract:

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

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 306 (208,100)

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 273 (234,211)

Abstract:

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

11.

Managing Noise and Lack of Stationarity with AI

Number of pages: 13 Posted: 06 Jan 2022
Irene Aldridge
AbleMarkets.com
Downloads 265 (241,445)

Abstract:

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

12.

Exogenous Factors in Statistical Arbitrage: A Novel AI-powered Approach

Number of pages: 19 Posted: 27 Sep 2024
Irene Aldridge and Quanyi Li
AbleMarkets.com and Cornell University - College of Engineering
Downloads 256 (250,045)

Abstract:

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13.

Quantitative Financial Models with Scenarios from LLM: Temporal Fusion Transformers as Alternative Monte-Carlo

Number of pages: 8 Posted: 04 Nov 2024 Last Revised: 10 Mar 2025
Irene Aldridge and Daham Kim
AbleMarkets.com and Cornell University
Downloads 234 (275,525)

Abstract:

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Temporal Fusion Transformer, Large Language Model, Monte-Carlo Simulation, Synthetic Data, Quantitative Finance, Risk Management, Valuation, Simulation

Pricing Bitcoin and Other Assets with Conditional Optimization

Number of pages: 28 Posted: 14 Feb 2025
Irene Aldridge and Dongwei Zhang
AbleMarkets.com and affiliation not provided to SSRN
Downloads 116 (502,881)

Abstract:

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Pricing Bitcoin and Other Assets with Conditional Optimization

Number of pages: 28 Posted: 14 Feb 2025
Irene Aldridge
AbleMarkets.com
Downloads 88 (611,238)

Abstract:

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Conditional Optimization: A Theoretical Framework for Predict-then-Optimize Problems

Number of pages: 40 Posted: 23 Jan 2025
Irene Aldridge
AbleMarkets.com
Downloads 128 (471,009)
Citation 2

Abstract:

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Optimization, last-mile delivery, predict-then-optimize

Conditional Optimization: A Theoretical Framework for Predict-then-Optimize Problems

Number of pages: 40 Posted: 23 Jan 2025
Irene Aldridge
AbleMarkets.com
Downloads 39 (921,623)

Abstract:

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16.
Downloads 121 (484,233)

Fast TTC Computation

Number of pages: 17 Posted: 30 May 2024
Irene Aldridge
AbleMarkets.com
Downloads 59 (764,259)

Abstract:

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Top trading cycles, Pareto-efficient, Individually-rational, strategy-proof, Markov matrix, computational speed

Fast TTC Computation

Number of pages: 7 Posted: 15 Apr 2024
Irene Aldridge
AbleMarkets.com
Downloads 47 (851,522)

Abstract:

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matching, top trading cycles, svd, econometrics, economics, equilibrium, efficiency, rationality

Fast TTC Computation

Number of pages: 19 Posted: 17 Jun 2024
Irene Aldridge
AbleMarkets.com
Downloads 15 (1,206,221)

Abstract:

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Market Model Efficiency -- A Queuing Perspective

Number of pages: 3 Posted: 30 Apr 2024
Irene Aldridge
AbleMarkets.com
Downloads 96 (577,967)

Abstract:

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Ethereum, crypto, microstructure, dark pools, exchanges, queuing theory, FCFS, SIRO, information

Market Model Efficiency -- A Queuing Perspective

Number of pages: 3 Posted: 25 Apr 2024
Irene Aldridge
AbleMarkets.com
Downloads 20 (1,137,397)

Abstract:

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Ethereum, market, dark pool, exchange

Synthetic KYC: Detecting Irregularities and Money Laundering on Blockchains

Number of pages: 44 Posted: 17 Jun 2024
Irene Aldridge
AbleMarkets.com
Downloads 65 (727,151)

Abstract:

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Synthetic KYC: Detecting Irregularities and Money Laundering on Blockchains

Number of pages: 44 Posted: 07 Jun 2024
Irene Aldridge
AbleMarkets.com
Downloads 43 (885,206)

Abstract:

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School Choice with Multi-Dimensional Preferences

Number of pages: 15 Posted: 27 Nov 2024
Irene Aldridge
AbleMarkets.com
Downloads 59 (764,259)

Abstract:

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matching, preferences, computation, data science, multidimensional, efficiency

School Choice with Multi-Dimensional Preferences

Number of pages: 14 Posted: 18 Sep 2024
Irene Aldridge
AbleMarkets.com
Downloads 28 (1,036,747)

Abstract:

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matching, preferences, computation, data science, multi-dimensional, efficient, school choice, allocation, mechanism design

School Choice with Multi-Dimensional Preferences

Number of pages: 14 Posted: 18 Sep 2024
Irene Aldridge
AbleMarkets.com
Downloads 20 (1,137,397)

Abstract:

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matching, preferences, computation, data science, multi-dimensional, efficient, School choice, allocation

20.
Downloads 93 (583,957)

Multi-Dimensional Matching

Number of pages: 19 Posted: 24 Feb 2025
Irene Aldridge
AbleMarkets.com
Downloads 54 (798,304)

Abstract:

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Multi-Dimensional Matching

Number of pages: 15 Posted: 15 Nov 2024
Irene Aldridge
AbleMarkets.com
Downloads 39 (921,623)

Abstract:

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matching, preferences, computation, data science, multidimensional, efficiency

21.

Beyond Chat GPT: Managing Lack of Stationarity with Unsupervised AI

Number of pages: 11 Posted: 27 Jun 2024
Irene Aldridge
AbleMarkets.com
Downloads 60 (743,052)

Abstract:

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22.
Downloads 49 (816,811)

Optimal AI-Based Matching

Number of pages: 12 Posted: 04 Oct 2024
Irene Aldridge
AbleMarkets.com
Downloads 31 (1,002,766)

Abstract:

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Optimal AI-Based Matching

Number of pages: 12 Posted: 08 Jan 2025
Irene Aldridge
AbleMarkets.com
Downloads 18 (1,164,438)

Abstract:

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23.

Market Model Efficiency - A Queuing Perspective 

Number of pages: 5 Posted: 02 Oct 2024
Irene Aldridge
AbleMarkets.com
Downloads 32 (965,403)

Abstract:

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24.

Optimal Choice with Multi-Dimensional Preferences

Number of pages: 19 Posted: 17 Jun 2024
Irene Aldridge
AbleMarkets.com
Downloads 32 (965,403)

Abstract:

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25.

Fast TTC and Probabilistic Core Identification

Number of pages: 18 Posted: 08 Jan 2025
Irene Aldridge
AbleMarkets.com
Downloads 25 (1,041,854)

Abstract:

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26.

Minimum-Slippage CFMMs

Number of pages: 17 Posted: 19 Feb 2025
Irene Aldridge
AbleMarkets.com
Downloads 14 (1,179,694)

Abstract:

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

28.

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

29.

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

30.

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

Abstract:

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

31.

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

32.

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

33.

The Consequences of Transaction Taxes: An Empirical Analysis

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

Abstract:

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transaction tax, securities, economic growth

34.

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