Matthew Francis Dixon

Illinois Institute of Technology

Associate Professor of Applied Math

Department of Mathematics

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

Chicago, IL 60616

United States

SCHOLARLY PAPERS

22

DOWNLOADS
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Top 2,646

in Total Papers Downloads

22,936

SSRN CITATIONS
Rank 32,571

SSRN RANKINGS

Top 32,571

in Total Papers Citations

22

CROSSREF CITATIONS

9

Scholarly Papers (22)

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 10,139 (989)
Citation 18

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 Fidelity Investments, Inc.
Downloads 4,422 (4,090)
Citation 6

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 1,766 (17,906)
Citation 1

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 1,073 (37,532)
Citation 2

Abstract:

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

5.

Delta-Gamma Component VaR: Non-Linear Risk Decomposition for any Type of Funds

Number of pages: 12 Posted: 25 May 2015 Last Revised: 27 Sep 2021
Matthew Francis Dixon
Illinois Institute of Technology
Downloads 649 (74,113)

Abstract:

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

6.

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 Fidelity Investments, Inc.
Downloads 599 (81,911)
Citation 5

Abstract:

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

7.

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

Number of pages: 15 Posted: 03 Apr 2017 Last Revised: 19 Nov 2020
Matthew Francis Dixon
Illinois Institute of Technology
Downloads 542 (92,980)

Abstract:

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Maximum likelihood estimation, Heston, R

8.

Deep Partial Least Squares for Empirical Asset Pricing

Number of pages: 48 Posted: 27 Jun 2022
Matthew Francis Dixon, Nick Polson and Kemen Goicoechea
Illinois Institute of Technology, University of Chicago - Booth School of Business - Econometrics and Statistics and Illinois Institute of Technology
Downloads 502 (102,140)
Citation 1

Abstract:

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Deep Learning, Partial Least Squares, Shrinkage, Empirical Asset Pricing, Conditional Latent Factor Models, Non-Linear Risk

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 473 (109,791)
Citation 5

Abstract:

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times series modeling, recurrent neural network, exponential smoothing

10.

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 450 (116,457)

Abstract:

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private equity, support vector machines, Bayesian analysis

11.

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 351 (154,340)
Citation 1

Abstract:

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Cryptocurrencies, Graph Analysis, Forecasting, Financial Risk, ICOs

12.

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 307 (178,187)
Citation 2

Abstract:

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

13.

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 306 (178,782)
Citation 3

Abstract:

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

14.

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 247 (222,347)
Citation 2

Abstract:

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regularization, information criterion, statistical inference

15.

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 236 (232,531)

Abstract:

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16.

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 214 (255,100)
Citation 2

Abstract:

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Stochastic Volatility, Calibration, R, GPGPU computing

17.

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 187 (288,437)
Citation 5

Abstract:

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18.

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 147 (354,391)

Abstract:

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Calibration, Stochastic Volatility, Distributed Algorithms

19.

Time Consistent Reinforcement Learning for Optimal Consumption Under Epstein-Zin Preferences

Number of pages: 34 Posted: 20 Mar 2023
Matthew Francis Dixon, Ivan Gvozdanovic and Dominic O'Kane
Illinois Institute of Technology, Illinois Institute of Technology and EDHEC Risk Institute
Downloads 127 (397,368)

Abstract:

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Optimal Consumption, Dynamic Utility Theory, Certainty Equivalents, Reinforcement Learning, Time consistency, Epstein-Zin, Wealth Management

20.

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 121 (412,140)
Citation 1

Abstract:

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Gaussian Processes, Kriging, OTC Derivatives, CVA

21.

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 78 (553,078)

Abstract:

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Calibration, Stochastic Volatility, GPGPU

22.

Gaussian Process Regression for Derivative Portfolio Modeling and Application to Credit Valuation Adjustment Computations

Journal of Computational Finance, Vol. 24, No. 1, 2020
Number of pages: 36 Posted: 19 Jan 2021
Stéphane Crépey and Matthew Francis Dixon
Université d'Évry - Equipe d'Analyse et Probabilites and Illinois Institute of Technology
Downloads 0 (1,097,668)
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Abstract:

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Gaussian processes regression, surrogate modeling, mark-to-market cube, derivatives, credit valuation adjustment, uncertainty quantification.