Ahmet Duran

University of Michigan at Ann Arbor

500 S. State Street

Ann Arbor, MI 48109

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 9,256

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Top 9,256

in Total Papers Downloads

4,123

CITATIONS
Rank 18,064

SSRN RANKINGS

Top 18,064

in Total Papers Citations

18

Scholarly Papers (7)

1.

A Profitable Trading and Risk Management Strategy Despite Transaction Cost

Quantitative Finance, Forthcoming
Number of pages: 28 Posted: 21 Nov 2009 Last Revised: 16 Mar 2010
Ahmet Duran and Michael James Bommarito II
University of Michigan at Ann Arbor and LexPredict, LLC
Downloads 1,572 (6,299)
Citation 1

Abstract:

portfolio risk management, algorithmic trading, out-of-sample prediction, long memory in stocks, adaptive learning algorithm, market timing, principal component analysis, simulation

2.

Data Mining for Overreaction in Financial Markets

PROCEEDINGS OF THE IASTED INTERNATIONAL CONFERENCE ON SOFTWARE ENGINEERING AND APPLICATIONS (SEA), Phoenix, AZ, November 14-16, 2005, W.-T. Tsai and M.H. Hamza, eds., Vol. 467, pp. 28-35, ACTA Press, 2005
Number of pages: 8 Posted: 01 Jun 2009 Last Revised: 05 Jun 2009
Ahmet Duran and Gunduz Caginalp
University of Michigan at Ann Arbor and University of Pittsburgh - Department of Mathematics
Downloads 612 (28,778)
Citation 3

Abstract:

data mining, overreaction, computational finance software, financial bubble, prediction, financial markets

3.

Overreaction Diamonds: Precursors and Aftershocks for Significant Price Changes

Quantitative Finance, 7(3), 2007, pp. 321-342
Number of pages: 24 Posted: 26 Sep 2006 Last Revised: 30 Mar 2009
Ahmet Duran and Gunduz Caginalp
University of Michigan at Ann Arbor and University of Pittsburgh - Department of Mathematics
Downloads 476 (42,581)
Citation 8

Abstract:

Overreaction, Price deviation, Diamond pattern, Overpositioning, Market dynamics, Financial markets, Behavioral finance, Closed-end funds

4.

Parameter Optimization for Differential Equations in Asset Price Forecasting

Optimization Methods and Software, Vol. 23, No. 4, pp. 551-574, 2008
Number of pages: 26 Posted: 16 Jun 2008 Last Revised: 15 Apr 2009
Ahmet Duran and Gunduz Caginalp
University of Michigan at Ann Arbor and University of Pittsburgh - Department of Mathematics
Downloads 384 (54,898)
Citation 4

Abstract:

numerical nonlinear optimization, inverse problem of parameter estimation, asset flow differential equations, financial market dynamics, market return prediction algorithm, data analysis in mathematical finance and economics, out-of-sample prediction

5.

Spectral Analysis of Time-Dependent Market-Adjusted Return Correlation Matrix

Number of pages: 7 Posted: 06 Sep 2010
Michael James Bommarito II and Ahmet Duran
LexPredict, LLC and University of Michigan at Ann Arbor
Downloads 226 (103,302)

Abstract:

market-adjusted return, return correlation matrix, maximum eigenvalue, random matrix theory

6.

Sensitivity Analysis of Asset Flow Differential Equations and Volatility Comparison of Two Related Variables

Numerical Functional Analysis and Optimization, Vol. 30, Nos. 1-2, pp. 82-97, 2009
Number of pages: 20 Posted: 11 Jun 2009
Ahmet Duran
University of Michigan at Ann Arbor
Downloads 188 (120,497)
Citation 2

Abstract:

parametric sensitivity analysis, extreme value based volatility, nonlinear dynamical systems, numerical solution of differential equations market dynamics, mathematical finance and economics, quantitative finance

7.

Stability Analysis of Asset Flow Differential Equations

Applied Mathematics Letters, Vol. 24, pp. 471-477, 2011
Number of pages: 7 Posted: 21 Jul 2011
Ahmet Duran
University of Michigan at Ann Arbor
Downloads 114 (187,201)

Abstract:

Stability analysis, instability, equilibrium, market dynamics, asset flow, closed-end funds, hypersensitivity, mathematical finance and economics