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ORCIDAlgorithmic Finance, Volume 2
Volume 2, Number 1, 2013
- A Minute with Andrei Kirilenko. 1-2
- Leonidas Sandoval Junior:
Cluster formation and evolution in networks of financial market indices. 3-43 - Ramón Huerta, Fernando J. Corbacho, Charles Elkan:
Nonlinear support vector machines can systematically identify stocks with high and low future returns. 45-58 - Andrei Kirilenko, Richard B. Sowers
, Xiangqian Meng:
A multiscale model of high-frequency trading. 59-98 - David H. Bailey, Marcos López de Prado, Eva del Pozo:
The strategy approval decision: A Sharpe ratio indifference curve approach. 99-109
Volume 2, Number 2, 2013
- A Minute with Giovanni Barone-Adesi.
- Slava Mazur:
Modeling market impact and timing risk in volume time. 113-126 - I. Róbert Sipos, János Levendovszky:
Optimizing sparse mean reverting portfolios. 127-139 - Oren J. Tapiero:
The relationship between risk and incomplete states uncertainty: a tsallis entropy perspective. 141-150 - Shawn Mankad, George Michailidis, Andrei Kirilenko:
Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method. 151-165
Volume 2, Numbers 3-4, 2013
- A minute with Marcos Lopez de Prado. 167-168
- Michael Rechenthin, W. Nick Street, Padmini Srinivasan:
Stock chatter: Using stock sentiment to predict price direction. 169-196 - Norbert Fogarasi, János Levendovszky:
Sparse, mean reverting portfolio selection using simulated annealing. 197-211 - Shilei Wang:
Dynamical trading mechanisms in limit order markets. 213-231 - David Bicchetti, Nicolas Maystre:
The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data. 233-239 - Kesheng Wu, E. Wes Bethel, Ming Gu, David Leinweber, Oliver Rübel:
A big data approach to analyzing market volatility. 241-267
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