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ORCIDAlgorithmic Finance, Volume 7
Volume 7, Numbers 1-2, 2018
- Takashi Kato:
An optimal execution problem in the volume-dependent Almgren-Chriss model. 1-14 - Farzad Alavi Fard, Armin Pourkhanali
, Malick Sy:
A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein-Uhlenbeck process. 15-30 - Raymond H. Chan, Kelvin K. Kan, Alfred K. Ma:
An integer programming based strategy for Asian-style futures arbitrage over the settlement period. 31-42 - Dalila Boughaci, Abdullah Ash-shuayree Alkhawaldeh:
A new variable selection method applied to credit coring. 43-52 - Diego Aparicio, Marcos López de Prado:
How hard is it to pick the right model? MCS and backtest overfitting. 53-61
Volume 7, Numbers 3-4, 2018
- Vikram K. Srimurthy, Matthew Smalbach:
Allocation skew: Managers with conviction. 63-69 - Gianluca Piero Maria Virgilio:
Absolute vs. relative speed in high-frequency trading. 71-86 - Zura Kakushadze:
Cryptoasset factor models. 87-104 - Dominic Wright, Luca Capriotti, Jacky Lee:
Machine learning and corporate bond trading. 105-110
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