Ben Van Vliet

Illinois Institute of Technology - Stuart School of Business

Associate Professor

Stuart Graduate School of Business

565 W. Adams St.

Chicago, IL 60661

United States

  • Illinois Institute of Technology - Stuart School of Business

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 16,896

SSRN RANKINGS

Top 16,896

in Total Papers Downloads

3,055

SSRN CITATIONS
Rank 36,235

SSRN RANKINGS

Top 36,235

in Total Papers Citations

15

CROSSREF CITATIONS

3

Scholarly Papers (23)

Actions:
Email selected abstracts
1.

Automated Finance: The Assumptions and Behavioral Aspects of Algorithmic Trading

Journal of Behavioral Finance. Vol. 13, No. 1. 2012.
Number of pages: 14 Posted: 18 Sep 2013 Last Revised: 14 May 2014
Andrew Kumiega and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business and Illinois Institute of Technology - Stuart School of Business
Downloads 375 (84,393)
Citation 3

Abstract:

Loading...

automated trading, quantitative finance, statistical process control

2.

Multi-Scale Capability: A Better Approach to Performance Measurement for Algorithmic Trading

Algorithmic Finance (2015), 4:1-2, 53-68
Number of pages: 17 Posted: 30 Aug 2014 Last Revised: 28 Jul 2015
Ricky Cooper, Michael Ong and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT, Michael K. Ong Risk Advisory and Illinois Institute of Technology - Stuart School of Business
Downloads 367 (86,515)

Abstract:

Loading...

risk-adjusted performance measure, term structure of capability, algorithmic trading, prudence

3.

FinQL: A Query Language for Big Data in Finance

Algorithmic Finance, Forthcoming
Number of pages: 58 Posted: 04 Nov 2015 Last Revised: 17 Nov 2015
Julian Mulla and Ben Van Vliet
Illinois Institute of Technology and Illinois Institute of Technology - Stuart School of Business
Downloads 352 (90,797)
Citation 1

Abstract:

Loading...

query language, trading strategy, backtesting

4.

Trading System Capability

Quantitative Finance. Vol. 14, No. 3. 2014.
Number of pages: 30 Posted: 18 Sep 2013 Last Revised: 14 May 2014
Andrew Kumiega, Thaddeus Neururer and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, University of Akron - The George W. Daverio School of Accountancy and Illinois Institute of Technology - Stuart School of Business
Downloads 323 (99,935)
Citation 4

Abstract:

Loading...

high frequency trading, performance measurement, capability

5.

Ethics, Finance, and Automation: A Preliminary Survey of Problems in High Frequency Trading

Science and Engineering Ethics, Vol. 19, No. 3, pp 851-874
Number of pages: 40 Posted: 29 Jan 2012 Last Revised: 09 Aug 2015
Michael Davis, Andrew Kumiega and Ben Van Vliet
Illinois Institute of Technology - Lewis College of Human Sciences, Illinois Institute of Technology - Stuart School of Business and Illinois Institute of Technology - Stuart School of Business
Downloads 243 (135,027)
Citation 1

Abstract:

Loading...

High-frequency trading, Automation, ethics, Quality management

6.

How Does High Frequency Trading Affect Low Frequency Trading?

Journal of Behavioral Finance, Forthcoming
Number of pages: 43 Posted: 19 Dec 2016
Ricky Cooper, Kun Li and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT, Beijing Normal University (BNU) - School of Economics and Business Administration and Illinois Institute of Technology - Stuart School of Business
Downloads 237 (138,387)

Abstract:

Loading...

high frequency trading, limit order book, liquidity, order execution quality

7.

An Alternative Model of Metcalfe's Law for Valuing Bitcoin

Economics Letters, Forthcoming
Number of pages: 10 Posted: 13 Dec 2017 Last Revised: 06 Feb 2018
Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business
Downloads 233 (140,647)
Citation 5

Abstract:

Loading...

Cryptocurrency, Metcalfe’s Law, Diffusion of Innovation

8.

C++ for Financial Applications: Syntax and Algorithms

Number of pages: 282 Posted: 01 Nov 2018 Last Revised: 18 Jan 2019
Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business
Downloads 213 (153,292)

Abstract:

Loading...

C++, financial programming, financial engineering

9.

Independent Component Analysis for Realized Volatility: Analysis of the Stock Market Crash of 2008

Quarterly Review of Economics and Finance, Vol. 51, No. 3, 2011
Number of pages: 29 Posted: 18 Sep 2013 Last Revised: 14 May 2014
Andrew Kumiega, Thaddeus Neururer and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, University of Akron - The George W. Daverio School of Accountancy and Illinois Institute of Technology - Stuart School of Business
Downloads 158 (200,299)
Citation 1

Abstract:

Loading...

independent component analysis, EGARCH, equity index volatility

10.

A Practical Real Options Approach to Valuing High Frequency Trading System R&D Projects

Journal of Trading. Vol. 8, No. 3. 2013.
Number of pages: 19 Posted: 18 Sep 2013 Last Revised: 09 Aug 2015
Andrew Kumiega and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business and Illinois Institute of Technology - Stuart School of Business
Downloads 148 (211,475)
Citation 1

Abstract:

Loading...

high-frequency trading, R&D project management, real options

11.

Capability Satisficing in High Frequency Trading

Research in International Business and Finance, Forthcoming
Number of pages: 38 Posted: 23 Jul 2016 Last Revised: 07 Mar 2017
Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business
Downloads 139 (222,528)
Citation 1

Abstract:

Loading...

High frequency trading, adaptive markets hypothesis, capability theory, satisficing

12.

Implied ICA: Factor Extraction and Multi-Asset Derivative Pricing

Journal of Derivatives, Vol. 19, No. 4, 2012
Number of pages: 31 Posted: 18 Sep 2013 Last Revised: 14 May 2014
Andrew Kumiega, Thaddeus Neururer and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, University of Akron - The George W. Daverio School of Accountancy and Illinois Institute of Technology - Stuart School of Business
Downloads 87 (309,407)

Abstract:

Loading...

independent component analysis, option pricing, stochastic volatility

13.

Unconstrained Strategies and the Variance-Kurtosis Trade-Off

Applied Financial Economics, Vol. 24, No. 15, 2014
Number of pages: 27 Posted: 07 Jun 2014 Last Revised: 03 Sep 2014
Andrew Kumiega, Ben Van Vliet and Apostolos Xanthopoulos
Illinois Institute of Technology - Stuart School of Business, Illinois Institute of Technology - Stuart School of Business and affiliation not provided to SSRN
Downloads 74 (340,617)

Abstract:

Loading...

Unconstrained strategies, portfolio optimization, polynomial utility maximization, principal component analysis

14.

Perspectives on Hedge Fund Herding: A Survey of Analytical Methods

Wilmott, Vol. 2014, Issue 72, pp. 66-81
Number of pages: 43 Posted: 25 Jan 2016
Andrew Kumiega, Greg Sterijevski and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, Illinois Institute of Technology and Illinois Institute of Technology - Stuart School of Business
Downloads 54 (400,019)

Abstract:

Loading...

hedge fund herding, independent component analysis

15.

A Behavioral Approach to the Lean Startup/Minimum Viable Product Process: The Case of Algorithmic Financial Systems

International Journal of Innovation Management, Online Ready, 2019
Number of pages: 54 Posted: 22 Apr 2019 Last Revised: 23 Mar 2020
Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business
Downloads 50 (413,772)

Abstract:

Loading...

lean startup, minimum viable product, behavioral finance, cybernetics, innovation management

16.

High-Frequency Trading and Conflict in the Financial Markets

Journal of Information Technology, Vol. 32, Issue 3, 2017
Number of pages: 13 Posted: 02 Jun 2018
Ricky Cooper, Jonathan Seddon and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT, Audencia Nantes School of Management and Illinois Institute of Technology - Stuart School of Business
Downloads 2 (680,100)
  • Add to Cart

Abstract:

Loading...

high-frequency trading, liquidity, regulation, market maker

17.

Whole Distribution Statistical Process Control in High Frequency Trading

Journal of Trading. Vol. 7, No. 2. 2012., https://doi.org/10.3905/jot.2012.7.2.057
Posted: 21 May 2019
Ricky Cooper and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT and Illinois Institute of Technology - Stuart School of Business

Abstract:

Loading...

high frequency trading, statistical process control, generalized lambda distribution

18.

The Rationale for AT 9000: An ISO 9000-Style Quality Management System Standard for Automated and Algorithmic Trading

Journal of Trading. Vol. 8, No. 3. 2013., https://doi.org/10.3905/jot.2013.8.3.102
Posted: 21 May 2019
Ben Van Vliet, Ricky Cooper, Andrew Kumiega and Jim Northey
Illinois Institute of Technology - Stuart School of Business, Illinois Institute of Technology - Stuart School of Business, IIT, Illinois Institute of Technology - Stuart School of Business and FIX Protocol, Ltd.

Abstract:

Loading...

quality management system standard, automated trading

19.

Expected Return in High Frequency Trading

Journal of Trading, Vol. 10, No. 2, pp. 34-40, https://doi.org/10.3905/jot.2015.10.2.034
Posted: 21 May 2019
Ricky Cooper and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT and Illinois Institute of Technology - Stuart School of Business

Abstract:

Loading...

High frequency trading, expected return, alpha

20.

Phantom Liquidity and High Frequency Quoting

Journal of Trading, Vol. 11, No. 3, 6-15, 2016., https://doi.org/10.3905/jot.2016.11.3.006
Posted: 21 May 2019
Jesse Blocher, Ricky Cooper, Jonathan Seddon and Ben Van Vliet
Vanderbilt University - Finance, Illinois Institute of Technology - Stuart School of Business, IIT, Audencia Nantes School of Management and Illinois Institute of Technology - Stuart School of Business

Abstract:

Loading...

high frequency trading, phantom liquidity, limit order markets

21.

Beyond the Flash Crash: Systemic Risk, Reliability, and High Frequency Financial Markets

Journal of Trading, Vol. 11, No. 2, 71-83, 2016, https://doi.org/10.3905/jot.2016.2016.1.046
Posted: 21 May 2019
Andrew Kumiega, Greg Sterijevski and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, Illinois Institute of Technology and Illinois Institute of Technology - Stuart School of Business

Abstract:

Loading...

High frequency trading, reliability engineering, systemic risk

22.

Investor Behavior, Reporting Intervals and Hedge Fund Stability

Journal of Investing. Vol. 21, No. 2. 2012., https://doi.org/10.3905/joi.2012.21.2.040
Posted: 21 May 2019
Andrew Kumiega, Thaddeus Neururer and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, University of Akron - The George W. Daverio School of Accountancy and Illinois Institute of Technology - Stuart School of Business
Downloads 0 (710,023)

Abstract:

Loading...

hedge funds, stability, investor behavior

23.

On Hedge Fund Structures: Improving Allocation Models for Illiquid Investments

Journal of Wealth Management, Vol. 13, Issue 3, pp. 19 ff., https://doi.org/10.3905/jwm.2010.13.3.019
Posted: 20 May 2019
Andrew Kumiega, Matthew Lech and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, Illinois Institute of Technology and Illinois Institute of Technology - Stuart School of Business

Abstract:

Loading...

Hedge funds, gate provisions, side pockets

Other Papers (1)

Total Downloads: 25
Actions:
Email selected abstracts
1.

Iso-Effect Contours and Implications About Bond Market Strategy

Number of pages: 18 Posted: 11 Jul 2013 Last Revised: 25 Jan 2018
Andrew Kumiega, Ben Van Vliet and Apostolos Xanthopoulos
Illinois Institute of Technology - Stuart School of Business, Illinois Institute of Technology - Stuart School of Business and affiliation not provided to SSRN
Downloads 25

Abstract:

Loading...

Principal components, bond yields, portfolio optimization, fat tails