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 480 (61,745)

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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 201 (159,276)

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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 190 (167,687)

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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 161 (193,935)

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statistics, inference, hypothesis testing, estimation, regression

5.

Pricing Discretely-Monitored Double Barrier Options with Small Probabilities of Execution

Number of pages: 50 Posted: 01 Mar 2018 Last Revised: 30 Sep 2019
Monash University - Department of Econometrics & Business Statistics, California Institute of Technology - Department of Computing and Mathematical Sciences, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 152 (203,632)

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Simulation; Barrier options pricing; Rare event; Path–dependent derivatives; Discrete 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 92 (294,371)

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

7.

Hidden Interactions in Financial Markets

Proceedings of the National Academy of Sciences (PNAS) of the United States of America, Volume 116, Issue 22, p. 10646-10651, May 2019, DOI: 10.1073/pnas.1819449116
Number of pages: 41 Posted: 28 Jan 2018 Last Revised: 05 Jul 2019
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, UK, Monash University - Department of Econometrics & Business Statistics, Boston University - Center for Polymer Studies and California Institute of Technology
Downloads 8 (625,969)
Citation 1

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financial markets; pattern causality; complex systems; sovereign CDS networks; pairs trading