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ORCIDAlgorithmic Finance, Volume 3
Volume 3, Numbers 1-2, 2014
- A Minute with Kenneth J. Arrow. 1-2
- David M. Rothschild, David M. Pennock:
The extent of price misalignment in prediction markets. 3-20 - Neil J. Calkin
, Marcos López de Prado:
Stochastic flow diagrams. 21-42 - Neil J. Calkin, Marcos López de Prado:
The topology of macro financial flows: An application of stochastic flow diagrams. 43-85 - Bryant Chen, William W. Y. Hsu, Jan-Ming Ho, Ming-Yang Kao:
Linear-time accurate lattice algorithms for tail conditional expectation. 87-140
Volume 3, Numbers 3-4, 2014
- Mark Tucker, J. Mark Bull:
An efficient algorithm for the calculation of reserves for non-unit linked life policies. 143-161 - Thomas A. Rhee:
The relationship between return fractality and bipower variation. 163-171 - Laurence Irlicht:
Fast recursive portfolio optimization. 173-188 - Lior Zatlavi, Dror Y. Kenett, Eshel Ben-Jacob:
The design and performance of the adaptive stock market index. 189-207 - Daniel Mantilla-García:
Dynamic allocation strategies for absolute and relative loss control. 209-231 - Andrey Itkin:
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps. 233-250
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