Matthew Francis Dixon

Illinois Institute of Technology

Assistant Professor of Applied Math

Department of Math

W 32nd St., E1 room 208, 10 S Wabash Ave, Chicago,

Chicago, IL 60616

United States

SCHOLARLY PAPERS

16

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Scholarly Papers (16)

1.

Classification-Based Financial Markets Prediction Using Deep Neural Networks

Algorithmic Finance, 2016.
Number of pages: 20 Posted: 30 Mar 2016 Last Revised: 09 Dec 2016
Matthew Francis Dixon, Diego Klabjan and Jin Bang
Illinois Institute of Technology, Northwestern University and Northwestern University
Downloads 8,541 (563)

Abstract:

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Deep Neural Networks, Algorithmic Trading, Commodity Futures, FX Futures

2.

Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi

Number of pages: 6 Posted: 07 Jul 2015 Last Revised: 13 Sep 2015
Matthew Francis Dixon, Diego Klabjan and Jin Bang
Illinois Institute of Technology, Northwestern University and Northwestern University
Downloads 1,582 (10,316)

Abstract:

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machine learning, financial markets, many-core computing

3.

A High Frequency Trade Execution Model for Supervised Learning

Forthcoming in High Frequency
Number of pages: 27 Posted: 15 Nov 2016 Last Revised: 06 Dec 2017
Matthew Francis Dixon
Illinois Institute of Technology
Downloads 785 (29,770)

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Supervised Learning, High-Frequency Trading, Market Making, Algorithmic Finace

4.

A Bayesian Approach to Ranking Private Companies Based on Predictive Indicators

Number of pages: 19 Posted: 30 Jun 2012 Last Revised: 28 Jan 2013
Matthew Francis Dixon and Jike Chong
Illinois Institute of Technology and University of California, Berkeley - Department of Electrical Engineering & Computer Sciences (EECS)
Downloads 300 (98,401)

Abstract:

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private equity, support vector machines, Bayesian analysis

5.

Acceleration of Market Value-at-Risk Estimation

Number of pages: 8 Posted: 28 Mar 2010
Jike Chong, Kurt Keutzer and Matthew Francis Dixon
University of California, Berkeley - Department of Electrical Engineering & Computer Sciences (EECS), University of California, Berkeley - Department of Electrical Engineering & Computer Sciences (EECS) and Illinois Institute of Technology
Downloads 268 (111,119)

Abstract:

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Value-at-risk, Monte-Carlo Simulation, Graphics Processing Units (GPUs), Parallel Computing

6.

Bitcoin Risk Modeling With Blockchain Graphs

Number of pages: 5 Posted: 14 Jun 2018
Cuneyt Akcora, Matthew Francis Dixon, Yulia Gel and Murat Kantarcioglu
University of Texas at Dallas - Erik Jonsson School of Engineering and Computer Science, Illinois Institute of Technology, Department of Mathematical Sciences and University of Texas at Dallas - Erik Jonsson School of Engineering and Computer Science
Downloads 223 (133,828)

Abstract:

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Cryptocurrencies, Graph Analysis, Forecasting, Financial Risk, GARCH, ICOs

7.

Risk Decomposition for Fund Managers

R/Finance, Chicago, 2015
Number of pages: 7 Posted: 25 May 2015 Last Revised: 01 Jun 2015
Matthew Francis Dixon
Illinois Institute of Technology
Downloads 209 (142,413)

Abstract:

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Component VaR, Non-linear Risk, Investment Management, R

8.

MLEMVD: A R Package for Maximum Likelihood Estimation of Multivariate Diffusion Models

Number of pages: 15 Posted: 03 Apr 2017 Last Revised: 20 May 2017
Matthew Francis Dixon and Tao L. Wu
Illinois Institute of Technology and Illinois Institute of Technology
Downloads 195 (151,918)

Abstract:

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Maximum likelihood estimation, Heston, R

9.

gpusvcalibration: A R Package for Fast Stochastic Volatility Model Calibration Using GPUs

Number of pages: 10 Posted: 13 Feb 2014
Matthew Francis Dixon, Sabbir Khan and Mohammed Zubair
Illinois Institute of Technology, Old Dominion University and Old Dominion University
Downloads 174 (168,325)

Abstract:

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10.

Accelerating Option Risk Analytics in R Using GPUs

Number of pages: 7 Posted: 26 Nov 2013 Last Revised: 12 Feb 2014
Matthew Francis Dixon, Sabbir Khan and Mohammed Zubair
Illinois Institute of Technology, Old Dominion University and Old Dominion University
Downloads 147 (194,275)

Abstract:

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Stochastic Volatility, Calibration, R, GPGPU computing

11.

OSTSC: Over Sampling for Time Series Classification in R

Number of pages: 33 Posted: 30 Nov 2017
Matthew Francis Dixon, Diego Klabjan and Lan Wei
Illinois Institute of Technology, Northwestern University and Illinois Institute of Technology
Downloads 115 (235,165)

Abstract:

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12.

Calibration of Stochastic Volatility Models on a Multi-Core CPU Cluster

Number of pages: 7 Posted: 05 Nov 2013
Matthew Francis Dixon and Mohammed Zubair
Illinois Institute of Technology and Old Dominion University
Downloads 112 (239,668)

Abstract:

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Calibration, Stochastic Volatility, Distributed Algorithms

13.

Blockchain Analytics for Intraday Financial Risk Modeling

Number of pages: 25 Posted: 19 Jan 2019
Matthew Francis Dixon, Cuneyt Akcora, Yulia Gel and Murat Kantarcioglu
Illinois Institute of Technology, University of Texas at Dallas - Erik Jonsson School of Engineering and Computer Science, Department of Mathematical Sciences and University of Texas at Dallas - Erik Jonsson School of Engineering and Computer Science
Downloads 108 (245,934)

Abstract:

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Cryptocurrencies, Graph Analysis, Forecasting, Financial Risk, ICOs

14.

A Portable and Fast Stochastic Volatility Model Calibration Using Multi and Many-Core Processors

Number of pages: 6 Posted: 06 Oct 2014
Matthew Francis Dixon, Jorg Lotze and Mohammed Zubair
Illinois Institute of Technology, Xcelerit and Old Dominion University
Downloads 57 (357,651)

Abstract:

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Calibration, Stochastic Volatility, GPGPU

15.

Takeuchi's Information Criteria as a Form of Regularization

Number of pages: 26 Posted: 16 Mar 2018 Last Revised: 18 Apr 2018
Matthew Francis Dixon and Tyler Ward
Illinois Institute of Technology and New York University (NYU)
Downloads 28 (466,311)

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regularization, information criterion, statistical inference

16.

Gaussian Process Regression for Derivative Portfolio Modeling and Application to CVA Computations

Number of pages: 31 Posted: 11 Feb 2019
Stéphane Crépey and Matthew Francis Dixon
Université d'Évry - Equipe d'Analyse et Probabilites and Illinois Institute of Technology
Downloads 16 (532,445)

Abstract:

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Gaussian Processes, Kriging, OTC Derivatives, CVA