Author Page for Ben Van Vliet

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 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 530 (47,180)

Abstract:

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 521 (48,239)

Abstract:

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 (78,883)

Abstract:

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 327 (84,490)

Citation 1

Abstract:

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 321 (86,237)

Abstract:

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 304 (91,619)

Abstract:

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 222 (127,142)

Abstract:

8.

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 194 (144,429)

Abstract:

9.

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 183 (152,359)

Abstract:

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 180 (154,640)

Abstract:

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 170 (162,732)

Abstract:

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 143 (188,335)

Abstract:

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 141 (190,454)

Abstract:

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 121 (214,833)

Abstract:

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

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.

Downloads 95 (254,756)

Abstract:

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 83 (277,254)

Abstract:

17.

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 69 (308,444)

Abstract:

18.

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 65 (318,381)

Abstract:

19.

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 38 (402,299)

Abstract:

20.

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 (469,978)

Abstract:

21.

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 (588,108)

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Ben Van Vliet

Illinois Institute of Technology - Stuart School of Business

Associate Professor

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Scholarly Papers (21)

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High-Frequency Trading and Conflict in the Financial Markets

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Other Papers (1)

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