Brian Shay

Market Memory Trading, LLC

805 Third Ave.

New York, NY 10017

United States

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 12,357

SSRN RANKINGS

Top 12,357

in Total Papers Downloads

4,216

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (27)

1.

Complete Analytical Solution of the Heston Model for Option Pricing and Value-at-Risk Problems: A Probability Density Function Approach

Number of pages: 12 Posted: 14 Jan 2015 Last Revised: 06 Jun 2015
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 843 (30,750)

Abstract:

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Heston Model, Stochastic Volatility, Options, Put Options, Call Options, Synthetic Options, Greeks, Black Scholes, Trading, Hedging, Market Making, Risk Management, VaR, Options’ Portfolio, Probability Density Function, Probability of Default, , Insurance, Variable Annuity

2.

Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedging Strategies

Number of pages: 21 Posted: 02 Sep 2014 Last Revised: 05 Jun 2015
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 402 (79,748)

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Options, Put Options, Call Options, Greeks, Black Scholes, Trading, Hedging, Market Making, Risk Management, VaR, Options’ Portfolio, Probability Density Function, Probability of Default

3.

Complete Analytical Solution of the Asian Option Pricing and Asian Option Value-at-Risk Problems: A Probability Density Function Approach

Number of pages: 13 Posted: 09 Jan 2015 Last Revised: 10 Jan 2015
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 277 (120,742)
Citation 1

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Asian Options, Options, Put Options, Call Options, Synthetic Options, Greeks, Black Scholes, Trading, Hedging, Market Making, Risk Management, VaR, Options’ Portfolio, Probability Density Function, Probability of Default, Insurance, Variable Annuity

4.

Filtering Noise from Correlation Matrices: Paper 3 in a Series 'Uncovering Hidden Dependencies'

REVOLUTION IN UNCOVERING HIDDEN DEPENDENCIES, Forthcoming
Number of pages: 14 Posted: 16 Jan 2014 Last Revised: 18 Jan 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 264 (126,976)

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correlation matrix, covariance matrix, eigenvalue, eigenvector, spectrum, histogram, random matrix theory, Shannon entropy, noise filtering, risk analysis, pairs trading, portfolio management, correlation diversion, hidden dependences, Bloomberg Application Portal

5.

A Complete Analytical Solution of the Asian Option Pricing within the Heston Model for Stochastic Volatility: A Probability Density Function Approach

Number of pages: 11 Posted: 23 May 2015
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 243 (138,148)

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Asian Options, Stochastic Volatility, Heston model, Put Options, Call Options, Synthetic Options, Greeks, Trading, Hedging, Risk Management, VaR, Options’ Portfolio, Probability Density Function, Probability of Default, Insurance, Variable Annuity

6.

Complete Analytical Solution of the SABR Model for Fixed-Income Option Pricing and Value-at-Risk Problems - A Probability Density Function Approach

Number of pages: 11 Posted: 16 Feb 2016 Last Revised: 14 May 2016
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 194 (171,035)

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SABR Model, Stochastic Volatility, Fixed Income, Option Valuation, Put Options, Call Options, Trading, Hedging, Market Making, Risk Management, VAR, Options’ Portfolio, Probability Density Function, Probability of Default

7.

'Revolution in Uncovering Hidden Dependencies and Random Matrices': Paper 1 in a Series 'Uncovering Hidden Dependencies'

REVOLUTION IN UNCOVERING HIDDEN DEPENDENCIES, Forthcoming
Number of pages: 15 Posted: 16 Jan 2014 Last Revised: 18 Jan 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 177 (185,633)

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noise filtering, hidden dependencies, signal disguise, correlation matrix, covariance matrix, random matrix, wishart matrix, mean variance optimization, portfolio optimization, portfolio rebalancing, index plus, macro economic trend surveillance, hidden trends, cyber security

8.

Dramatically Improved Portfolio Optimization Results with Noise-Filtered Covariance

Number of pages: 5 Posted: 14 Jan 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 165 (197,237)

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Markowitz mean-variance optimization, covariance matrix, noise filtering, Sharpe ratio

9.

'Portfolio Rebalancing with Reinvestment Based on Noise Filtered Correlation/Covariance Matrices and the Case of NASDAQ 100': Paper 2 in a Series 'Uncovering Hidden Dependencies'

REVOLUTION IN UNCOVERING HIDDEN DEPENDENCIES, Forthcoming
Number of pages: 18 Posted: 16 Jan 2014 Last Revised: 13 Feb 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 164 (198,240)

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Portfolio, portfolio rebalancing, portfolio selection, index plus, correlation, covariance, noise filtering, random matrix, Shannon entropy, optimization, utility function, objective function, out-of-sample trading simulation, trading, Tracking error, long-short portfolio, Sharpe ratio

10.

Filtering Noise from Correlation Matrices (Detection of Correlation Diversion, Pairs Trading, Risk Analysis, Et Al.)

Number of pages: 11 Posted: 14 Jan 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 144 (220,913)

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correlation matrix, covariance matrix, random matrix theory, eigenvalues, noise filtering, matrix spectrum, correlation diversion, Shannon entropy, pairs trading, risk analysis

11.

A Complete Analytical Resolution of the Double Barrier Options’ Pricing within the Heston Model. A Probability Density Function Approach

Number of pages: 11 Posted: 15 May 2015
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 140 (225,894)

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Barrier Options, Double Barrier Options, Level Crossings, Heston Model, Stochastic Volatility, Put Call Options, Synthetic Options, Black Scholes, Trading, Hedging, Market Making, VaR, Options’ Portfolio, Probability Density Function, Probability of Default, Insurance, Variable Annuity

12.

Dramatically Improved Portfolio Optimization Results with Noise-Filtered Covariance: Paper 6 in a Series 'Uncovering Hidden Dependencies'

REVOLUTION IN UNCOVERING HIDDEN DEPENDENCIES, Forthcoming
Number of pages: 8 Posted: 16 Jan 2014 Last Revised: 20 Jan 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 122 (251,358)

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portfolio selection, optimization, Markowitz mean-variance optimization, noise filtering, covariance matrix, risk, trading, random matrix theory, quantitative, quantumapps, random matrix theory, Neutron

13.

Complete Analytical Solution of the American Style Option Pricing with Constant and Stochastic Volatilities: A Probability Density Function Approach

Number of pages: 17 Posted: 24 Jan 2015 Last Revised: 25 Jan 2015
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 115 (262,419)

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American Style Call Put Options, Heston Model, Stochastic Volatility, Path-Dependent Options, Synthetic Options, Greeks, Black Scholes, Trading, Hedging, Market Making, Risk Management, VaR, Options’ Portfolio, Probability Density Function, Probability of Default, , Insurance, Variable Annuity

14.

Robust Detection of Regime Change

Number of pages: 5 Posted: 15 Jan 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 107 (276,057)

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correlation matrix, noise filtering, regime change detection, trend buildup, random matrix theory, Shannon entropy

15.

'Filtering Noise from Volatility': Paper 5 in a Series 'Uncovering Hidden Dependencies'

REVOLUTION IN UNCOVERING HIDDEN DEPENDENCIES, Forthcoming
Number of pages: 7 Posted: 16 Jan 2014 Last Revised: 18 Jan 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 101 (287,243)

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volatility, noise filtering, option trading

16.

Filtering Noise from Volatility (Portfolio Management, Risk Analysis, et al.)

Number of pages: 4 Posted: 14 Jan 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 93 (303,033)

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correlation matrix, covariance matrix, noise filtering, random matrix theory, volatility, option pricing

17.

'Extraordinary Stability of Noise-Filtered Correlation Matrices': Paper 4 in a Series 'Uncovering Hidden Dependencies'

REVOLUTION IN UNCOVERING HIDDEN DEPENDENCIES, Forthcoming
Number of pages: 7 Posted: 16 Jan 2014 Last Revised: 18 Jan 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 74 (347,802)

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stability, out-of-sample, correlation matrix, covariance matrix, noise filtering, Shannon entropy, Euclidean measure

18.

Portfolio Rebalancing with Reinvestment Based on Noise Filtered Correlation/Covariance Matrices: The Case of NASDAQ 100

Number of pages: 18 Posted: 16 Jan 2014 Last Revised: 12 Feb 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 73 (350,453)

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noise filtering, hidden dependencies, signal disguise, correlation matrix, covariance matrix, random matrix, Wishart matrix, random matrix theory, mean variance optimization, portfolio optimization, portfolio rebalancing, index plus, Sharpe ratio, Tracking error

19.

Robust Detection of Regime Change: Paper 7 in A Series ‘Uncovering Hidden Dependencies’

REVOLUTION IN UNCOVERING HIDDEN DEPENDENCIES, Forthcoming
Number of pages: 8 Posted: 16 Jan 2014 Last Revised: 20 Jan 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 69 (361,455)

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regime change, detection of regime change, trend, Shannon entropy, correlation, noise filtering, random matrix theory, quantumapps, Neutron

20.
Downloads 69 (361,455)

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correlation, covariance, random matrix, global economy surveillance, hidden trends surveillance, libor surveillance, market manipulation surveillance, monitoring gambling activities, detection of trends, detection of fraud, detection of market manipulation, Shannon entropy

21.

Use and Misuse of the Langevin and Fokker-Planck Formalisms. The Brillouin and Classical Nucleation Theory Paradoxes

Number of pages: 13 Posted: 02 Feb 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 67 (367,176)

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quantitative finance, Ito calculus, Stratonovich calculus, stochastic differential equation, Langevin equation, Fokker Planck equation, nonlinearity, non-linear stochastic equations, equilibrium solution, probability density function, nucleation

22.

'Robustness of a Noise Filtering Procedure for Correlation Matrices: A. Filtering of Deliberately Introduced Noise from Empirical Correlation Matrices'; Paper 8 in a Series 'Uncovering Hidden Dependencies'

REVOLUTION IN UNCOVERING HIDDEN DEPENDENCIES, Forthcoming
Number of pages: 21 Posted: 16 Jan 2014 Last Revised: 21 Jan 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 65 (372,974)

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noise filtering, robustness, random matrix theory, Shannon entropy, correlation matrix, deliberate noise introduction, Euclidean measure, noise contamination

23.

'Robustness of a Noise Filtering Procedure for Correlation Matrices: B. Filtering of Deliberately Introduced Noise from 'True' Correlation Matrices'; Paper 9 in a Series 'Uncovering Hidden Dependencies'

REVOLUTION IN UNCOVERING HIDDEN DEPENDENCIES, Forthcoming
Number of pages: 15 Posted: 16 Jan 2014 Last Revised: 24 Jan 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 64 (375,981)

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noise filtering, robustness, random matrix theory, Shannon entropy, correlation matrix, deliberate noise introduction, Euclidean measure, noise contamination

24.

Statistics of Price Level Excursions (Normal, Student and Asymmetric Laplace Processes)

Number of pages: 33 Posted: 18 Jan 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 51 (418,847)

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Limit order, random walk, price level, price level excursions, price level crossing, probability density function, probability distribution, probability of crossing, normal random process, Gaussian random process, Student random process, Asymmetric Laplace random process, first passage time, hitting

25.

Robustness of a Noise Filtering Procedure for Correlation Matrices: A. Filtering of Deliberately Introduced Noise from Empirical Correlation Matrices

Number of pages: 18 Posted: 14 Jan 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 48 (429,835)
Citation 3

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correlation matrix, noise filtering, random matrix theory, Shannon entropy

26.

Breakthrough Technology to Resolve Problems in Annuities Hedging

Number of pages: 8 Posted: 24 Jan 2016 Last Revised: 14 May 2016
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 47 (433,725)

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Insurance, Annuities, hedging, Asian Options, Put Options, Bermuda Swaptions, Swaptions, Joint Probability Density Function, VaR Style Probability

27.

Robustness of a Noise Filtering Procedure for Correlation Matrices: B. Filtering of Deliberately Introduced Noise from 'True' Correlation Matrices

Number of pages: 12 Posted: 15 Jan 2014
Alexander Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 38 (470,450)

Abstract:

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correlation matrix, noise filtering, random matrix theory, Shannon entropy