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Algorithmic Finance

2011 - 2014

Current editor(s): Phil Maymin

From IOS Press
Series data maintained by Saskia van Wijngaarden ().

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Volume 3, issue 1-2, 2014

A Minute with Kenneth J. Arrow pp. 1-2
Phil Maymin
The extent of price misalignment in prediction markets pp. 3-20
David Rothschild and David M. Pennock
Stochastic flow diagrams pp. 21-42
Neil J. Calkin and Marcos López de Prado
The topology of macro financial flows: An application of stochastic flow diagrams pp. 43-85
Neil J. Calkin Calkin and Marcos López de Prado
Linear-time accurate lattice algorithms for tail conditional expectation pp. 87-140
Bryant Chen, William W.Y. Hsu, Jan-Ming Ho and Ming-Yang Kao

Volume 2, issue 3-4, 2013

A minute with Marcos Lopez de Prado pp. 167-168
Philip Maymin
Stock chatter: Using stock sentiment to predict price direction pp. 169-196
Michael Rechenthin, W. Nick Street and Padmini Srinivasan
Sparse, mean reverting portfolio selection using simulated annealing pp. 197-211
Norbert Fogarasi and Janos Levendovszky
Dynamical trading mechanisms in limit order markets pp. 213-231
Shilei Wang
The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data pp. 233-239
David Bicchetti and Nicolas Maystre
A big data approach to analyzing market volatility pp. 241-267
Kesheng Wu, E. Wes Bethel, Ming Gu, David Leinweber and Oliver Rübe

Volume 2, issue 2, 2013

A Minute with Giovanni Barone-Adesi pp. 111-111
Philip Maymin
Modeling market impact and timing risk in volume time pp. 113-126
Slava Mazur
Optimizing sparse mean reverting portfolios pp. 127-139
I. Róbert Sipos and János Levendovszky
The relationship between risk and incomplete states uncertainty: a Tsallis entropy perspective pp. 141-150
Oren J. Tapiero
Discovering the ecosystem of an electronic financial market with a dynamic machine-learning method pp. 151-165
Shawn Mankad and George Michailidis

Volume 2, issue 1, 2013

A Minute with Andrei Kirilenko pp. 1-2
Philip Maymin
Cluster formation and evolution in networks of financial market indices pp. 3-43
Leonidas Junior Sandoval
Nonlinear support vector machines can systematically identify stocks with high and low future returns pp. 45-58
Ramon Huerta, Fernando Corbacho and Charles Elkan
A multiscale model of high-frequency trading pp. 59-98
Andrei Kirilenko, Richard B. Sowers and Xiangqian Meng
The strategy approval decision: A Sharpe ratio indifference curve approach pp. 99-109
David H. Bailey, Marcos López de Prado and Eva del Pozo

Volume 1, issue 1, 2011

Markets are efficient if and only if P=NP pp. 1-11
Philip Maymin
Binomial options pricing has no closed-form solution pp. 13-16
Evangelos Georgiadis
Efficient greek estimation in generic swap-rate market models pp. 17-33
Mark Joshi and Chao Yang
Forecasting prices from level-I quotes in the presence of hidden liquidity pp. 35-43
Marco Avellaneda, Josh Reed and Sasha Stoikov
Behavioral biases and investor performance pp. 45-55
Todd Feldman
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