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Ben Van Vliet

Illinois Institute of Technology - Stuart School of Business

Asst. 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

20

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Top 11,188

in Total Papers Downloads

3,467

CITATIONS

1

Scholarly Papers (20)

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1.

Expected Return in High Frequency Trading

Journal of Trading, Vol. 10, No. 2, pp. 34-40
Number of pages: 15 Posted: 23 Jan 2015 Last Revised: 28 May 2015
Ricky Alyn Cooper and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT and Illinois Institute of Technology - Stuart School of Business
Downloads 302 (46,995)

Abstract:

High frequency trading, expected return, alpha

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 Alyn 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 252 (72,750)

Abstract:

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

3.

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 Connecticut - School of Business and Illinois Institute of Technology - Stuart School of Business
Downloads 232 (86,110)

Abstract:

high frequency trading, performance measurement, capability

4.

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 179 (89,905)
Citation 1

Abstract:

automated trading, quantitative finance, statistical process control

5.

Whole Distribution Statistical Process Control in High Frequency Trading

Journal of Trading. Vol. 7, No. 2. 2012.
Number of pages: 23 Posted: 18 Sep 2013 Last Revised: 14 May 2014
Ricky Alyn Cooper and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT and Illinois Institute of Technology - Stuart School of Business
Downloads 110 (155,372)

Abstract:

high frequency trading, statistical process control, generalized lambda distribution

6.

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 103 (186,862)

Abstract:

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

7.

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 92 (157,030)

Abstract:

High-frequency trading, Automation, ethics, Quality management

8.

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 Connecticut - School of Business and Illinois Institute of Technology - Stuart School of Business
Downloads 90 (180,125)

Abstract:

independent component analysis, EGARCH, equity index volatility

9.

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 Connecticut - School of Business and Illinois Institute of Technology - Stuart School of Business
Downloads 56 (264,985)

Abstract:

independent component analysis, option pricing, stochastic volatility

10.

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.
Number of pages: 12 Posted: 18 Sep 2013 Last Revised: 14 May 2014
Ben Van Vliet, Ricky Alyn 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.
Downloads 52 (251,239)

Abstract:

quality management system standard, automated trading

11.

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 Loyola University - Quinlan School of Business
Downloads 50 (303,543)

Abstract:

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

12.

Investor Behavior, Reporting Intervals and Hedge Fund Stability

Journal of Investing. Vol. 21, No. 2. 2012.
Number of pages: 20 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 Connecticut - School of Business and Illinois Institute of Technology - Stuart School of Business
Downloads 44 (306,164)

Abstract:

hedge funds, stability, investor behavior

13.

Capability Theory, the Adaptive Markets Hypothesis, and High Frequency Trading (PowerPoint Presentation)

Number of pages: 36 Posted: 15 Feb 2017 Last Revised: 20 Jun 2017
Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business
Downloads 0 (385,086)

Abstract:

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

14.

How Does High Frequency Trading Affect Low Frequency Trading?

Journal of Behavioral Finance, Forthcoming
Number of pages: 43 Posted: 19 Dec 2016
Ricky Alyn Cooper, Kun Li and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT, Beijing Normal University (BNU) - Business School and Illinois Institute of Technology - Stuart School of Business
Downloads 0 (192,777)

Abstract:

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

15.

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 0 (213,839)

Abstract:

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

16.

Phantom Liquidity and High Frequency Quoting

Journal of Trading, Vol. 11, No. 3, 6-15, 2016.
Number of pages: 20 Posted: 09 May 2016 Last Revised: 07 Jul 2016
Jesse Blocher, Ricky Alyn 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
Downloads 0 (52,642)

Abstract:

high frequency trading, phantom liquidity, limit order markets

17.

On Hedge Fund Structures: Improving Allocation Models for Illiquid Investments

Journal of Wealth Management, Vol. 13, Issue 3, pp. 19 ff.
Number of pages: 11 Posted: 24 Feb 2016
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
Downloads 0 (456,293)

Abstract:

Hedge funds, gate provisions, side pockets

18.

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 0 (410,509)

Abstract:

hedge fund herding, independent component analysis

19.

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

Journal of Trading, Vol. 11, No. 2, 71-83, 2016
Number of pages: 27 Posted: 10 Jan 2016 Last Revised: 07 Jul 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 0 (130,468)

Abstract:

High frequency trading, reliability engineering, systemic risk

20.

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 0 (88,246)

Abstract:

query language, trading strategy, backtesting

Other Papers (1)

Total Downloads: 21    Citations: 0
Actions:
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1.

Iso-Effect Contours and Implications About Bond Market Strategy

Number of pages: 18 Posted: 11 Jul 2013 Last Revised: 02 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 Loyola University - Quinlan School of Business
Downloads 20 (322,320)

Abstract:

Principal components, bond yields, portfolio optimization, fat tails

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