Stephen Michael Taylor

New Jersey Institute of Technology

Assistant Professor

University Heights

Newark, NJ 07102

United States

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 44,661

SSRN RANKINGS

Top 44,661

in Total Papers Downloads

919

CITATIONS

4

Scholarly Papers (11)

1.

Explicit Density Approximations for Local Volatility Models Using Heat Kernel Expansions

Number of pages: 16 Posted: 02 Apr 2011
Stephen Michael Taylor
New Jersey Institute of Technology
Downloads 222 (136,805)
Citation 1

Abstract:

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2.

Bayesian Value at Risk Metrics for Equity Portfolios

Number of pages: 17 Posted: 05 Sep 2014 Last Revised: 10 Mar 2017
Independent, Independent, Independent, Independent, CME Group, Independent, New Jersey Institute of Technology and Independent
Downloads 194 (155,392)

Abstract:

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Bayesian Inference, Value at Risk, Burr Distribution

3.

Detecting Arbitrage in the Foreign Exchange Market

Stevens Institute of Technology School of Business Research Paper
Number of pages: 24 Posted: 05 May 2018
Zhenyu Cui, Wenhan Qian, Stephen Michael Taylor and Lingjiong Zhu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, New Jersey Institute of Technology and University of Minnesota - Minneapolis
Downloads 137 (209,315)
Citation 1

Abstract:

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Foreign Exchange, Toxic Arbitrage, Triangular Arbitrage, Perron-Frobenius Theorem

4.

Circular Arbitrage Detection Using Graphs

Stevens Institute of Technology School of Business Research Paper
Number of pages: 8 Posted: 07 Nov 2018
Zhenyu Cui and Stephen Michael Taylor
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 94 (274,617)

Abstract:

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Foreign Exchange, Arbitrage, Triangular Arbitrage, Max Plus Product

5.

Clustering Financial Return Distributions Using the Fisher Information Metric

Number of pages: 14 Posted: 04 Jun 2018 Last Revised: 27 Jan 2019
Stephen Michael Taylor
New Jersey Institute of Technology
Downloads 73 (320,120)

Abstract:

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Information Geometry, Extreme Value Theory, Quantitative Risk

6.

A Novel Reduction of the Simple Asian Option and Lie-Group Invariant Solutions

International Journal of Theoretical and Applied Finance, Vol. 12, No. 8, p. 1197, 2009
Number of pages: 10 Posted: 02 Apr 2011
Stephen Michael Taylor and Scott Alan Glasgow
New Jersey Institute of Technology and Brigham Young University
Downloads 69 (330,233)

Abstract:

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Asian Options, PDE Reductions, Vecer Reduction, Lie Symmetry Analysis

7.

Unbiased Weighted Variance and Skewness Estimators for Overlapping Returns

Number of pages: 10 Posted: 17 Jul 2017 Last Revised: 01 Jun 2018
Stephen Michael Taylor and Ming Fang
New Jersey Institute of Technology and Martin Tuchman School of Management, New Jersey Institute of Technology
Downloads 43 (410,995)

Abstract:

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overlapping returns, unbiased skewness, asset returns, weighted estimator, variance ratio test

8.

An Explicative and Predictive Study of Employee Attrition using Tree-based Models

Number of pages: 10 Posted: 13 Jun 2019
Nesreen El-rayes, Michael Smith and Stephen Michael Taylor
New Jersey Institute of Technology, New Jersey Institute of Technology - Martin Tuchman School of Management and New Jersey Institute of Technology
Downloads 30 (465,108)

Abstract:

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Attrition, Human Resources, Gradient Boosted Trees

9.

Social Security Benefit Valuation, Risk, and Optimal Retirement

Number of pages: 29 Posted: 16 Aug 2019
Yassmin Ali, Pablo Sota, Stephen Michael Taylor and Xun Wang
New Jersey Institute of Technology - Martin Tuchman School of Management, New Jersey Institute of Technology - Martin Tuchman School of Management, New Jersey Institute of Technology and New Jersey Institute of Technology - Martin Tuchman School of Management
Downloads 21 (513,571)

Abstract:

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social security, principal component analysis, pension risk

10.

Sector Categorization Using Gradient Boosted Trees Trained on Fundamental Firm Data

Number of pages: 6 Posted: 20 Jun 2019
Lilian Kuo, Frank Shi and Stephen Michael Taylor
New Jersey Institute of Technology, New Jersey Institute of Technology and New Jersey Institute of Technology
Downloads 21 (513,571)

Abstract:

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GICS Sector, Gradient Boosted Trees, Fundamental Data, Financial Ratios

11.

Pricing Discretely Monitored Barrier Options Under Markov Processes Using a Markov Chain Approximation

Stevens Institute of Technology School of Business Research Paper
Number of pages: 44 Posted: 29 May 2019
Zhenyu Cui and Stephen Michael Taylor
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 15 (548,527)
Citation 1

Abstract:

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Discrete Barrier Options, Continuous-Time Markov Chains, Integral Equations, Z−Transform, Markov Process