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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

22

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4,013

CITATIONS

1

Scholarly Papers (22)

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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 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 (48,118)

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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 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 (78,109)

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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 Akron - The George W. Daverio School of Accountancy and Illinois Institute of Technology - Stuart School of Business
Downloads 232 (91,064)

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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 (85,623)
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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 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 (161,291)

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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 (193,678)

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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 (148,045)

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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 Akron - The George W. Daverio School of Accountancy and Illinois Institute of Technology - Stuart School of Business
Downloads 90 (186,980)

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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 Akron - The George W. Daverio School of Accountancy and Illinois Institute of Technology - Stuart School of Business
Downloads 56 (276,391)

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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 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 (255,471)

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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 affiliation not provided to SSRN
Downloads 50 (307,956)

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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 Akron - The George W. Daverio School of Accountancy and Illinois Institute of Technology - Stuart School of Business
Downloads 44 (317,981)

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hedge funds, stability, investor behavior

13.

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 0 (587,143)
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high-frequency trading, liquidity, regulation, market maker

14.

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 0 (160,502)

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Cryptocurrency, Metcalfe’s Law, Diffusion of Innovation

15.

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 (342,888)

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

16.

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 0 (159,656)

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

17.

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 (216,299)

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

18.

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 0 (48,490)

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high frequency trading, phantom liquidity, limit order markets

19.

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 (467,409)

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Hedge funds, gate provisions, side pockets

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 0 (403,430)

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hedge fund herding, independent component analysis

21.

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 (128,657)

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High frequency trading, reliability engineering, systemic risk

22.

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 (86,873)

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query language, trading strategy, backtesting

Other Papers (1)

Total Downloads: 22    Citations: 0
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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 20 (322,320)

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Principal components, bond yields, portfolio optimization, fat tails