Konstantin Zuev

California Institute of Technology

Pasadena, CA 91125

United States

SCHOLARLY PAPERS

7

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Scholarly Papers (7)

1.

Causality Networks of Financial Assets

Journal of Network Theory in Finance, Volume 3, Issue 2, pp 17-67, June 2017, DOI: 10.21314/JNTF.2017.029
Number of pages: 73 Posted: 22 Dec 2016 Last Revised: 20 Jul 2017
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, UK, Monash University - Department of Econometrics & Business Statistics, Financial Network Analytics Ltd and California Institute of Technology
Downloads 449 (60,981)

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Causality, Efficient Market Hypothesis, Network Theory, Bonds, Oil

2.

A Dynamic Analysis of S&P 500, FTSE 100 and EURO STOXX 50 Indices Under Different Exchange Rates

PLoS ONE, Volume 13, Issue 3, pp. 1-40 e0194067, March 2018 DOI: 10.1371/journal.pone.0194067
Number of pages: 41 Posted: 14 Jul 2017 Last Revised: 20 Mar 2018
Institute for Risk and Uncertainty, University of Liverpool, UK, University of Palermo, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 169 (170,670)

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Correlation; Cointegration; ECM-based long-run Granger causality; Crises; Exchange Rates; Uncertainty

3.

Investors' Behavior on S&P 500 Index during Periods of Market Crashes: A Visibility Graph Approach

Handbook of Investors' Behavior during Financial Crises, Chapter 22, pp. 401-417, 2017, DOI: 10.1016/B978-0-12-811252-6.00022-0
Number of pages: 29 Posted: 16 Nov 2016 Last Revised: 30 Aug 2017
University of Liverpool - Department of Mathematical Sciences and Institute for Risk and Uncertainty, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 142 (197,462)

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High Frequency Data, S&P 500, Hurst Exponent, Irreversibility, Visibility Graph Method

4.

Statistical Inference

Number of pages: 145 Posted: 28 Feb 2018
Konstantin Zuev
California Institute of Technology
Downloads 129 (213,196)

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statistics, inference, hypothesis testing, estimation, regression

5.

Efficient Pricing of Barrier Options with Small Survival Probabilities Using Subset Simulation

Number of pages: 33 Posted: 01 Mar 2018 Last Revised: 02 Feb 2019
California Institute of Technology - Department of Computing and Mathematical Sciences, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 107 (244,602)

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Simulation; Barrier Options Pricing; Path--Dependent Derivatives; Monte Carlo; Discretely Monitoring

6.

Time Series Analysis of S&P 500 Index: A Horizontal Visibility Graph Approach

Physica A: Statistical Mechanics and its Applications, Volume 497, pp. 41-51, May 2018, DOI: 10.1016/j.physa.2018.01.010
Number of pages: 29 Posted: 06 Sep 2017 Last Revised: 23 Oct 2018
University of Liverpool - Department of Mathematical Sciences and Institute for Risk and Uncertainty, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 71 (315,877)

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S&P500 index, high frequency data, horizontal visibility graph, chaos theory, irreversibility, financial crises

7.

The Nature of Causality and its Dark Aspect

Posted: 28 Jan 2018 Last Revised: 30 Aug 2018
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, UK, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology

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Causality, Complex Systems, Interconnected Dynamical Systems