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

19

DOWNLOADS
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Top 2,178

in Total Papers Downloads

16,360

SSRN CITATIONS
Rank 49,946

SSRN RANKINGS

Top 49,946

in Total Papers Citations

5

CROSSREF CITATIONS

6

Scholarly Papers (19)

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 9,219 (587)
Citation 13

Abstract:

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

2.

The Four Horsemen of Machine Learning in Finance

Number of pages: 24 Posted: 24 Sep 2019
Matthew Francis Dixon and Igor Halperin
Illinois Institute of Technology and New York University (NYU) - NYU Tandon School of Engineering
Downloads 1,898 (8,883)
Citation 1

Abstract:

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machine learning, asset management, optimal hedging, neural networks, price impact

3.

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 1,640 (11,222)

Abstract:

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machine learning, financial markets, many-core computing

4.

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 839 (30,639)
Citation 2

Abstract:

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

5.

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 321 (102,191)

Abstract:

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private equity, support vector machines, Bayesian analysis

6.

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 273 (121,517)
Citation 2

Abstract:

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

7.

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 253 (131,586)
Citation 1

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

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 251 (132,597)

Abstract:

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Maximum likelihood estimation, Heston, R

9.

Industrial Forecasting with Exponentially Smoothed Recurrent Neural Networks

Number of pages: 30 Posted: 05 May 2020
Matthew Francis Dixon
Illinois Institute of Technology
Downloads 246 (135,320)

Abstract:

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times series modeling, recurrent neural network, exponential smoothing

10.

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 227 (146,391)

Abstract:

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Cryptocurrencies, Graph Analysis, Forecasting, Financial Risk, ICOs

11.

G-Learner and GIRL: Goal Based Wealth Management with Reinforcement Learning

Number of pages: 20 Posted: 20 Mar 2020 Last Revised: 23 Mar 2020
Matthew Francis Dixon and Igor Halperin
Illinois Institute of Technology and New York University (NYU) - NYU Tandon School of Engineering
Downloads 226 (147,034)

Abstract:

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G-learning, goal based wealth management, imitation learning, reinforcement learning

12.

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 223 (148,940)

Abstract:

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

13.

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 185 (177,042)

Abstract:

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14.

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 163 (197,721)
Citation 3

Abstract:

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Stochastic Volatility, Calibration, R, GPGPU computing

15.

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 131 (236,254)
Citation 1

Abstract:

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16.

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 122 (249,272)

Abstract:

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Calibration, Stochastic Volatility, Distributed Algorithms

17.

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 60 (385,302)
Citation 1

Abstract:

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Calibration, Stochastic Volatility, GPGPU

18.

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 49 (422,753)

Abstract:

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Gaussian Processes, Kriging, OTC Derivatives, CVA

19.

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 34 (484,793)

Abstract:

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regularization, information criterion, statistical inference