- 2014
- Neil J. Calkin
, Marcos López de Prado:
Stochastic flow diagrams. Algorithmic Finance 3(1-2): 21-42 (2014) - Neil J. Calkin, Marcos López de Prado:
The topology of macro financial flows: An application of stochastic flow diagrams. Algorithmic Finance 3(1-2): 43-85 (2014) - Bryant Chen, William W. Y. Hsu, Jan-Ming Ho, Ming-Yang Kao:
Linear-time accurate lattice algorithms for tail conditional expectation. Algorithmic Finance 3(1-2): 87-140 (2014) - Laurence Irlicht:
Fast recursive portfolio optimization. Algorithmic Finance 3(3-4): 173-188 (2014) - Andrey Itkin:
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps. Algorithmic Finance 3(3-4): 233-250 (2014) - Daniel Mantilla-García:
Dynamic allocation strategies for absolute and relative loss control. Algorithmic Finance 3(3-4): 209-231 (2014) - Thomas A. Rhee:
The relationship between return fractality and bipower variation. Algorithmic Finance 3(3-4): 163-171 (2014) - David M. Rothschild, David M. Pennock:
The extent of price misalignment in prediction markets. Algorithmic Finance 3(1-2): 3-20 (2014) - Mark Tucker, J. Mark Bull:
An efficient algorithm for the calculation of reserves for non-unit linked life policies. Algorithmic Finance 3(3-4): 143-161 (2014) - A Minute with Kenneth J. Arrow. Algorithmic Finance 3(1-2): 1-2 (2014)
- Lior Zatlavi, Dror Y. Kenett, Eshel Ben-Jacob:
The design and performance of the adaptive stock market index. Algorithmic Finance 3(3-4): 189-207 (2014) - 2013
- David H. Bailey, Marcos López de Prado, Eva del Pozo:
The strategy approval decision: A Sharpe ratio indifference curve approach. Algorithmic Finance 2(1): 99-109 (2013) - David Bicchetti, Nicolas Maystre:
The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data. Algorithmic Finance 2(3-4): 233-239 (2013) - Norbert Fogarasi, János Levendovszky:
Sparse, mean reverting portfolio selection using simulated annealing. Algorithmic Finance 2(3-4): 197-211 (2013) - Ramón Huerta, Fernando J. Corbacho, Charles Elkan:
Nonlinear support vector machines can systematically identify stocks with high and low future returns. Algorithmic Finance 2(1): 45-58 (2013) - Leonidas Sandoval Junior:
Cluster formation and evolution in networks of financial market indices. Algorithmic Finance 2(1): 3-43 (2013) - Andrei Kirilenko, Richard B. Sowers, Xiangqian Meng:
A multiscale model of high-frequency trading. Algorithmic Finance 2(1): 59-98 (2013) - Shawn Mankad, George Michailidis, Andrei Kirilenko:
Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method. Algorithmic Finance 2(2): 151-165 (2013) - Slava Mazur:
Modeling market impact and timing risk in volume time. Algorithmic Finance 2(2): 113-126 (2013) - Michael Rechenthin, W. Nick Street, Padmini Srinivasan:
Stock chatter: Using stock sentiment to predict price direction. Algorithmic Finance 2(3-4): 169-196 (2013) - I. Róbert Sipos, János Levendovszky:
Optimizing sparse mean reverting portfolios. Algorithmic Finance 2(2): 127-139 (2013) - Oren J. Tapiero:
The relationship between risk and incomplete states uncertainty: a tsallis entropy perspective. Algorithmic Finance 2(2): 141-150 (2013) - Shilei Wang:
Dynamical trading mechanisms in limit order markets. Algorithmic Finance 2(3-4): 213-231 (2013) - Kesheng Wu, E. Wes Bethel, Ming Gu, David Leinweber, Oliver Rübel:
A big data approach to analyzing market volatility. Algorithmic Finance 2(3-4): 241-267 (2013) - A Minute with Andrei Kirilenko. Algorithmic Finance 2(1): 1-2 (2013)
- A Minute with Giovanni Barone-Adesi. Algorithmic Finance 2(2) (2013)
- A minute with Marcos Lopez de Prado. Algorithmic Finance 2(3-4): 167-168 (2013)
- 2011
- Marco Avellaneda, Josh Reed, Sasha Stoikov:
Forecasting prices from level-I quotes in the presence of hidden liquidity. Algorithmic Finance 1(1): 35-43 (2011) - Sebastían Martínez Bustos, Jørgen Vitting Andersen, Michel Miniconi, Andrzej Nowak, Magdalena Roszczynska-Kurasinska, David S. Brée:
Pricing stocks with yardsticks and sentiments. Algorithmic Finance 1(2): 183-190 (2011) - Todd J. Feldman:
Behavioral biases and investor performance. Algorithmic Finance 1(1): 45-55 (2011)
