Babak Mahdavi-Damghani

University of Oxford - Oxford-Man Institute of Quantitative Finance

United Kingdom

  • University of Oxford - Oxford-Man Institute of Quantitative Finance

SCHOLARLY PAPERS

15

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3,204

SSRN CITATIONS
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SSRN RANKINGS

Top 27,261

in Total Papers Citations

11

CROSSREF CITATIONS

18

Ideas:
“  Machine Learning, Quantitative Finance, Financial Mathematics, Agent Based Models.  ”

  • University of Oxford - Oxford-Man Institute of Quantitative Finance

Scholarly Papers (15)

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1.

De-Arbitraging with a Weak Smile: Application to Skew Risk

Wilmott Magazine, p. 40, 2013
Number of pages: 10 Posted: 25 Apr 2014 Last Revised: 21 May 2014
Babak Mahdavi-Damghani and Andrew Kos
University of Oxford - Oxford-Man Institute of Quantitative Finance and Credit Suisse AG
Downloads 723 (37,545)

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arbitrage-free volatility surface; Dupire local volatility; Fokker-Planck equation; Kolmogorov forward equation; constraint optimization; search algorithm; butterfly spread; calendar spread; arbitrage frontier; SVI; gSVI; skew risk; Vanna

2.

Introducing the Implied Volatility Surface Parametrization (IVP): Application to the FX Market

Number of pages: 14 Posted: 06 Nov 2015 Last Revised: 07 Nov 2015
Babak Mahdavi-Damghani
University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 660 (42,467)
Citation 6

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IVP; SVI; gSVI; SABR; arbitrage-free volatility surface; positive semi-definite implied correlation matrices; FX; Dupire local volatility; constraint optimization; butterfly spread; calendar spread

3.

The Non-Misleading Value of Inferred Correlation: An Introduction to the Cointelation Model

Wilmott, Volume 2013, Issue 67, pages 50-61, September 2013
Number of pages: 11 Posted: 26 Apr 2014 Last Revised: 21 May 2014
Babak Mahdavi-Damghani
University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 488 (62,556)
Citation 2

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cointelation; inferred correlation; measured correlation; cointegration; correlation term structure

4.

Introducing the HFTE Model: A Multi-Species Predator Prey Ecosystem for High Frequency Quantitative Financial Strategies

Number of pages: 18 Posted: 06 Apr 2017
Babak Mahdavi-Damghani
University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 222 (149,577)
Citation 3

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HFTE Model, High Frequency Financial Funnel, HFFF, Multi-Target Tracking, Stability of Financial Systems, Data Analysis and Patterns in Data, Electronic Trading, Systemic Risk, High Frequency Trading, Game Theory, Machine Learning, Predator Prey Models

5.

The Misleading Value of Measured Correlation

Wilmott, Volume 2012, Issue 62, pages 64-73, November 2012
Number of pages: 10 Posted: 15 Feb 2017
Babak Mahdavi-Damghani, Daniella Welch Welch, Ciaran O'Malley and Stephen Knights
University of Oxford - Oxford-Man Institute of Quantitative Finance, None, None and University of Oxford - Department of Economics
Downloads 214 (154,781)
Citation 2

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correlation; cointegration; mean reversion; cointelation

6.

Machine Learning Techniques for Deciphering Implied Volatility Surface Data in a Hostile Environment: Scenario Based Particle Filter, Risk Factor Decomposition & Arbitrage Constraint Sampling

Number of pages: 27 Posted: 04 Mar 2018 Last Revised: 26 Jan 2019
Babak Mahdavi-Damghani and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 190 (172,818)

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Implied Volatility Parametrization (IVP), Volatility Surface, SVI, gSVI, Arbitrage Free Volatility Surface, Fundamental Review of the Trading Book (FRTB)

7.

A Proposed Risk Modeling Shift from the Approach of Stochastic Differential Equation towards Machine Learning Clustering: Illustration with the Concepts of Anticipative & Responsible VaR

Number of pages: 28 Posted: 21 Sep 2017
Babak Mahdavi-Damghani and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 155 (206,231)
Citation 5

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Stochastic Differential Equation, Gaussian Process, Cointelation, Value at Risk (VaR), Responsive VaR, Stable VaR, Responsible VaR, Anticipative VaR, Anticipatible VaR, Stochastic Differential Equations (SDE), Implied Volatility Parametrization (IVP), High Frequency Trading Ecosystem (HFTE), VAR

8.

A Bottom-up Approach to the Financial Markets: Agent-Based Quantitative Algorithmic Strategies: Ecosystem, Dynamics & Detection

Number of pages: 38 Posted: 13 Feb 2019 Last Revised: 12 Jul 2019
Babak Mahdavi-Damghani and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 126 (243,281)
Citation 2

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High Frequency Trading Ecosystem (HFTE), High Frequency Financial Funnel (HFFF), Multi-Target Tracking (MTT), Stability of Financial Systems, Markov Chain Monte Carlo (MCMC), Data Analysis and Patterns in Data, Electronic Trading, Systemic Risk, High Frequency Trading, Game Theory, Machine Learning

9.

Agent-Based Quantitative Financial Strategies & Price Formation: Systems & Evolutionary Dynamics as Deciphering Keys of the High Frequency Trading Ecosystem

Number of pages: 26 Posted: 20 Sep 2017 Last Revised: 10 Aug 2018
Babak Mahdavi-Damghani and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 108 (272,190)
Citation 1

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High Frequency Trading Ecosystem (HFTE), High Frequency Financial Funnel (HFFF), Multi-Target Tracking (MTT), Stability of Financial Systems, Markov Chain Monte Carlo (MCMC), Reversible-Jump, RJ-MCMC, Data Analysis and Patterns in Data, Electronic Trading, Systemic Risk, High Frequency Trading

10.

Guidelines for Building a Realistic Algorithmic Trading Market Simulator for Backtesting while Incorporating Market Impact

Number of pages: 19 Posted: 05 Aug 2019 Last Revised: 09 Mar 2020
Babak Mahdavi-Damghani and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 92 (302,665)

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Generative Adversarial Networks (GANs), High Frequency Trading Ecosystem (HFTE), High Frequency Financial Funnel (HFFF), Multi-Target Tracking (MTT), Stability of Financial Systems, Markov Chain Monte Carlo (MCMC), Data Analysis and Patterns in Data, Elec- tronic Trading, Systemic Risk, HFT

11.

UTOPE-ia

Wilmott, Volume 2012, Issue 60, pages 28-37, July 2012
Number of pages: 10 Posted: 26 Apr 2014 Last Revised: 06 Apr 2017
Babak Mahdavi-Damghani
University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 80 (329,819)

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Psychology, Apophenia, Unfortunate cosT Of Pattern rEcognition, UTOPE, Behavioural Finance

12.

Convergence of Heston to SVI Proposed Extensions: Rational & Conjecture for the Convergence of Extended Heston to the Implied Volatility Surface Parametrization

Number of pages: 31 Posted: 21 Sep 2017 Last Revised: 30 Aug 2018
Babak Mahdavi-Damghani, Konul Mustafayeva and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance, King's College London, Department of Mathematics and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 60 (385,235)
Citation 1

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Volatility Smile, Implied Volatility Wings, Heston Model, P-Heston, IVP, SVI, Stochastic Volatility, Implied Volatility Surface Parametrization, Asymptotic Convergence, Local Correlation Surface

13.

Data-Driven Models & Mathematical Finance: Apposition or Opposition?

Number of pages: 277 Posted: 16 Feb 2020
Babak Mahdavi-Damghani
University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 43 (445,787)

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Machine Learning, Quantitative Finance, Mathematical Finance, Data Science, Cointelation, Implied Volatility, Agent Based Models

14.

Portfolio Optimization for Cointelated Pairs: SDEs vs Machine Learning

Number of pages: 47 Posted: 24 Feb 2020
Babak Mahdavi-Damghani, Konul Mustafayeva, Cristin Buescu and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance, King's College London, Department of Mathematics, King's College London, Department of Mathematics and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 25 (532,221)

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Pairs Trading, Cointelation, Portfolio Optimization, Stochastic Control, Band-wise Gaussian Mixture, Deep Learning

15.

Addendum on How Many Times Cointelated Pairs Cross Paths

Number of pages: 12 Posted: 02 Apr 2020
Babak Mahdavi-Damghani and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 18 (575,838)

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Pairs Trading, Cointelation, Cointegration, Correlation, Number of Turning Points, Number of Crosses