Andrew Kumiega

Illinois Institute of Technology - Stuart School of Business

Adjunct Faculty

Stuart Graduate School of Business

565 W. Adams St.

Chicago, IL 60661

United States

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 37,177

SSRN RANKINGS

Top 37,177

in Total Papers Downloads

1,570

SSRN CITATIONS

11

CROSSREF CITATIONS

0

Scholarly Papers (12)

1.

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 412 (87,821)
Citation 3

Abstract:

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automated trading, quantitative finance, statistical process control

2.

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 334 (111,581)
Citation 4

Abstract:

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high frequency trading, performance measurement, capability

3.

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 269 (140,240)
Citation 1

Abstract:

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High-frequency trading, Automation, ethics, Quality management

4.

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 168 (217,534)
Citation 2

Abstract:

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independent component analysis, EGARCH, equity index volatility

5.

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 154 (234,048)
Citation 1

Abstract:

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

6.

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 89 (346,922)

Abstract:

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independent component analysis, option pricing, stochastic volatility

7.

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 76 (380,969)

Abstract:

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

8.

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 68 (404,934)

Abstract:

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hedge fund herding, independent component analysis

9.

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.

Abstract:

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quality management system standard, automated trading

10.

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

Abstract:

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High frequency trading, reliability engineering, systemic risk

11.

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 (794,867)

Abstract:

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hedge funds, stability, investor behavior

12.

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

Abstract:

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Hedge funds, gate provisions, side pockets

Other Papers (1)

Total Downloads: 27
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 27

Abstract:

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Principal components, bond yields, portfolio optimization, fat tails