Khaldoun Khashanah

Stevens Institute of Technology

Hoboken, NJ 07030

United States

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Rare Events Analysis of High-Frequency Equity Data

Wilmott Journal, pp. 74-81, 2011
Number of pages: 13 Posted: 29 Feb 2012 Last Revised: 02 Mar 2012
Dragos Bozdog, Ionut Florescu, Khaldoun Khashanah and Jim Wang
Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 603 (21,107)

Abstract:

high-frequency trading, average daily volume, trading strategy

2.

Construction of Volatility Indices Using a Multinomial Tree Approximation Method

HANDBOOK OF MODELING HIGH-FREQUENCY DATA IN FINANCE, Frederi G. Viens, Maria C. Mariani and Ionut Florescu, eds., December 2011
Number of pages: 24 Posted: 04 Mar 2012
Dragos Bozdog, Ionut Florescu, Khaldoun Khashanah and Hongwei Qiu
Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 61 (277,856)

Abstract:

volatility, multinomial tree

3.

A Slightly Depressing Jump Model: Intraday Volatility Pattern Simulation

Number of pages: 21
Jing Chen, Alan G Hawkes and Khaldoun Khashanah
Cardiff University - School of Mathematics, Swansea University - School of Management and Stevens Institute of Technology
Downloads 0

Abstract:

Hawkes process; jump detection; birth-death-immigration; financial series; intraday simulation