- 2023
- Jaya P. N. Bishwal:
Interest rate derivatives for the fractional Cox-Ingersoll-Ross model. Algorithmic Finance 10(1-2): 53-66 (2023) - Mavungu (John) Masiala:
Computation of financial risk using principal component analysis. Algorithmic Finance 10(1-2): 1-20 (2023) - Apurv Nigam, Piyush Pandey:
How smart is a momentum strategy? An empirical study of Indian equities. Algorithmic Finance 10(1-2): 21-37 (2023) - Andy M. Yip, William T. Ng, Ka-Wai Siu, Albert C. Cheung, Michael K. Ng:
Graph embedded dynamic mode decomposition for stock price prediction. Algorithmic Finance 10(1-2): 39-51 (2023) - 2022
- Ranjan R. Chakravarty, Sudhanshu Pani
:
Investigating Intertrade Durations using Copulas: An Experiment with NASDAQ Data. Algorithmic Finance 9(3-4): 81-102 (2022) - Yao-Tsung Chen, Yang Sheng:
Portfolio optimization with tri-objective for index fund management. Algorithmic Finance 9(3-4): 121-127 (2022) - Catalina I. Hurwitz, Suchismita Mishra, Robert T. Daigler, Ihsan Badshah:
Dynamics of information leadership in the volatility complex with trading time changes: Evidence from VIX futures and VIX ETPs. Algorithmic Finance 9(3-4): 63-79 (2022) - Codrut-Florin Ivascu:
Heuristic methods for stock selection and allocation in an index tracking problem. Algorithmic Finance 9(3-4): 103-119 (2022) - Mavungu (John) Masiala:
Point-to-point stochastic control of a self-financing portfolio. Algorithmic Finance 9(3-4): 129-143 (2022) - Philip Maymin:
IN MEMORIAM: Jayaram Muthuswamy 1952-2021. Algorithmic Finance 9(3-4): 61 (2022) - 2021
- Lucian-Ionut Gavrila, Alexandru Popa:
A novel algorithm for clearing financial obligations between companies - An application within the Romanian Ministry of economy. Algorithmic Finance 9(1-2): 49-60 (2021) - Eyal Kenig:
Portfolio selection in non-stationary markets. Algorithmic Finance 9(1-2): 35-47 (2021) - Carlos León, Ricardo Mariño, Carlos Cadena:
Do central counterparties reduce counterparty and liquidity risk? Empirical results. Algorithmic Finance 9(1-2): 25-34 (2021) - Zhang Wu, Terence Tai-Leung Chong, Yuchen Liu:
Market Reaction to iPhone Rumors. Algorithmic Finance 9(1-2): 1-23 (2021) - 2020
- Baptiste Barreau, Laurent Carlier, Damien Challet:
Deep prediction of investor interest: A supervised clustering approach. Algorithmic Finance 8(3-4): 77-89 (2020) - Ming Fang, Lilian Kuo, Frank Y. Shih, Stephen Taylor:
Sector categorization using gradient boosted trees trained on fundamental firm data. Algorithmic Finance 8(3-4): 91-99 (2020) - Dimitri Kroujiline, Maxim Gusev, Dmitry Ushanov, Sergey V. Sharov, Boris Govorkov:
An endogenous mechanism of business cycles. Algorithmic Finance 8(3-4): 127-148 (2020) - Babak Mahdavi-Damghani, Konul Mustafayeva, Cristin Buescu, Stephen Roberts:
Portfolio optimization for cointelated pairs: SDEs vs Machine learning. Algorithmic Finance 8(3-4): 101-125 (2020) - 2019
- Zachary David:
Information leakage in financial machine learning research. Algorithmic Finance 8(1-2): 1-4 (2019) - Bàrbara Llacay, Gilbert Peffer:
Impact of short-sales in stock market efficiency. Algorithmic Finance 8(1-2): 5-26 (2019) - Wiston Adrián Risso:
Modeling the financial market with labyrinth chaos. Algorithmic Finance 8(1-2): 57-75 (2019) - I. Róbert Sipos, Attila Ceffer, Gábor Horváth, János Levendovszky:
Parallel MCMC sampling of AR-HMMs for prediction based option trading. Algorithmic Finance 8(1-2): 47-55 (2019) - Harya Widiputra:
Localized trend model for stock market sectoral indexes movement profiling. Algorithmic Finance 8(1-2): 27-46 (2019) - 2018
- Diego Aparicio, Marcos López de Prado:
How hard is it to pick the right model? MCS and backtest overfitting. Algorithmic Finance 7(1-2): 53-61 (2018) - Dalila Boughaci, Abdullah Ash-shuayree Alkhawaldeh:
A new variable selection method applied to credit coring. Algorithmic Finance 7(1-2): 43-52 (2018) - Raymond H. Chan, Kelvin K. Kan, Alfred K. Ma:
An integer programming based strategy for Asian-style futures arbitrage over the settlement period. Algorithmic Finance 7(1-2): 31-42 (2018) - Farzad Alavi Fard, Armin Pourkhanali, Malick Sy:
A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein-Uhlenbeck process. Algorithmic Finance 7(1-2): 15-30 (2018) - Zura Kakushadze:
Cryptoasset factor models. Algorithmic Finance 7(3-4): 87-104 (2018) - Takashi Kato:
An optimal execution problem in the volume-dependent Almgren-Chriss model. Algorithmic Finance 7(1-2): 1-14 (2018) - Vikram K. Srimurthy, Matthew Smalbach:
Allocation skew: Managers with conviction. Algorithmic Finance 7(3-4): 63-69 (2018)
