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

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 10,376

SSRN RANKINGS

Top 10,376

in Total Papers Downloads

4,234

CITATIONS

1

Scholarly Papers (22)

1.

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
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 546 (46,458)

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high frequency trading, phantom liquidity, limit order markets

2.

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 Cooper and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT and Illinois Institute of Technology - Stuart School of Business
Downloads 530 (48,250)

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High frequency trading, expected return, alpha

3.

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 347 (80,587)

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

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 335 (83,987)
Citation 1

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automated trading, quantitative finance, statistical process control

5.

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 323 (87,484)

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query language, trading strategy, backtesting

6.

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 305 (93,286)

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high frequency trading, performance measurement, capability

7.

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 226 (127,475)

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High frequency trading, reliability engineering, systemic risk

8.

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) - Business School and Illinois Institute of Technology - Stuart School of Business
Downloads 198 (144,553)

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

9.

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 197 (145,209)

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High-frequency trading, Automation, ethics, Quality management

10.

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 188 (151,698)

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Cryptocurrency, Metcalfe’s Law, Diffusion of Innovation

11.

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 Cooper and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT and Illinois Institute of Technology - Stuart School of Business
Downloads 174 (162,570)

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high frequency trading, statistical process control, generalized lambda distribution

12.

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 145 (189,728)

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independent component analysis, EGARCH, equity index volatility

13.

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 142 (192,953)

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

14.

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 124 (214,867)

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

15.

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
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 97 (255,831)

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quality management system standard, automated trading

16.

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 85 (278,143)

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independent component analysis, option pricing, stochastic volatility

17.

C for Financial Applications: Syntax and Algorithms

Number of pages: 282 Posted: 01 Nov 2018
Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business
Downloads 70 (311,442)

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C , financial programming, financial engineering

18.

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
Illinois Institute of Technology - Stuart School of Business, Illinois Institute of Technology - Stuart School of Business and affiliation not provided to SSRN
Downloads 70 (311,442)

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

19.

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 Akron - The George W. Daverio School of Accountancy and Illinois Institute of Technology - Stuart School of Business
Downloads 67 (318,822)

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hedge funds, stability, investor behavior

20.

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 40 (401,463)

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hedge fund herding, independent component analysis

21.

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 23 (477,298)

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Hedge funds, gate provisions, side pockets

22.

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 (598,030)
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high-frequency trading, liquidity, regulation, market maker

Other Papers (1)

Total Downloads: 23    Citations: 0
1.

Iso-Effect Contours and Implications About Bond Market Strategy

Number of pages: 18 Posted: 11 Jul 2013 Last Revised: 25 Jan 2018
Illinois Institute of Technology - Stuart School of Business, Illinois Institute of Technology - Stuart School of Business and affiliation not provided to SSRN
Downloads 23

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Principal components, bond yields, portfolio optimization, fat tails