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

26

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5,541

SSRN CITATIONS

31

CROSSREF CITATIONS

3

Scholarly Papers (26)

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1.

Competitive Advantage in Algorithmic Trading: A Behavioral Innovation Economics Approach

Review of Behavioral Finance, Forthcoming
Number of pages: 40 Posted: 11 Mar 2022
Ricky Cooper, Wendy Currie, Jonathan Seddon and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT, Audencia School of Management, Audencia Nantes School of Management and Illinois Institute of Technology - Stuart School of Business
Downloads 680 (67,268)

Abstract:

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2.

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 598 (79,001)

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C++, financial programming, financial engineering

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 508 (96,801)
Citation 1

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query language, trading strategy, backtesting

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 480 (103,698)
Citation 5

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automated trading, quantitative finance, statistical process control

5.

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 433 (117,091)
Citation 9

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Cryptocurrency, Metcalfe’s Law, Diffusion of Innovation

6.

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 417 (122,693)

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

7.

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 364 (142,647)
Citation 4

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high frequency trading, performance measurement, capability

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 330 (158,558)
Citation 4

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High-frequency trading, Automation, ethics, Quality management

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) - School of Economics and Business Administration and Illinois Institute of Technology - Stuart School of Business
Downloads 303 (173,481)
Citation 1

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

10.

Cryptocurrency Anti-Money Laundering (AML) and Know-Your-Customer (KYC) Management System Standard—Requirements

Number of pages: 12 Posted: 12 Apr 2023 Last Revised: 08 Jul 2023
Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business
Downloads 208 (251,369)

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cryptocurrencies, quality management, trustworthiness

11.

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 206 (253,592)

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

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 197 (264,143)
Citation 2

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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 181 (284,707)
Citation 1

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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 178 (288,969)
Citation 2

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

15.

Abe Sklar's "FONCTIONS DE REPARTITION A N DIMENSIONS ET LEURS MARGES": The Original Document and an English Translation

Number of pages: 8 Posted: 07 Mar 2023
Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business
Downloads 131 (371,552)

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Copula, Sklar

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 120 (396,893)

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independent component analysis, option pricing, stochastic volatility

17.

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 105 (437,250)

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hedge fund herding, independent component analysis

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
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 91 (481,079)

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

19.

Cryptocurrency Mining Management System Standard—Requirements

Number of pages: 13 Posted: 12 Apr 2023
Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business
Downloads 11 (972,751)

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cryptocurrency mining, quality management, ethics

20.

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

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high frequency trading, statistical process control, generalized lambda distribution

21.

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.

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quality management system standard, automated trading

22.

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

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High frequency trading, expected return, alpha

23.

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

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high frequency trading, phantom liquidity, limit order markets

24.

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

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High frequency trading, reliability engineering, systemic risk

25.

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 (1,060,808)

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hedge funds, stability, investor behavior

26.

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

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Hedge funds, gate provisions, side pockets

Other Papers (1)

Total Downloads: 43
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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 43

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Principal components, bond yields, portfolio optimization, fat tails