Details about Nikan Firoozye

Access statistics for papers by Nikan Firoozye.

Last updated 2024-12-08. Update your information in the RePEc Author Service.

Short-id: pfi363

Working Papers

2024

1. Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process
   Papers, arXiv.org View citations (1)
   See also Journal Article Limit Order Book dynamics and order size modelling using Compound Hawkes Process, Finance Research Letters, Elsevier (2024) (2024)
2. Limit Order Book Simulations: A Review
   Papers, arXiv.org View citations (4)

2023

3. Canonical Portfolios: Optimal Asset and Signal Combination
   Papers, arXiv.org View citations (1)
   See also Journal Article Canonical portfolios: Optimal asset and signal combination, Journal of Banking & Finance, Elsevier (2023) View citations (1) (2023)

2022

4. Online Learning with Radial Basis Function Networks
   Papers, arXiv.org View citations (1)
5. Reinforcement Learning for Systematic FX Trading
   Papers, arXiv.org View citations (2)
6. The Recurrent Reinforcement Learning Crypto Agent
   Papers, arXiv.org View citations (1)

2020

7. QuantNet: Transferring Learning Across Systematic Trading Strategies
   Papers, arXiv.org View citations (4)

2019

8. Avoiding Backtesting Overfitting by Covariance-Penalties: an empirical investigation of the ordinary and total least squares cases
   Papers, arXiv.org View citations (4)
9. Generative Adversarial Networks for Financial Trading Strategies Fine-Tuning and Combination
   Papers, arXiv.org View citations (12)
   See also Journal Article Generative adversarial networks for financial trading strategies fine-tuning and combination, Quantitative Finance, Taylor & Francis Journals (2021) View citations (18) (2021)
10. Optimal Dynamic Strategies on Gaussian Returns
    Papers, arXiv.org

2018

11. A Machine Learning-based Recommendation System for Swaptions Strategies
    Papers, arXiv.org

Journal Articles

2024

1. Limit Order Book dynamics and order size modelling using Compound Hawkes Process
   Finance Research Letters, 2024, 69, (PA)
   See also Working Paper Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process, Papers (2024) View citations (1) (2024)

2023

2. Canonical portfolios: Optimal asset and signal combination
   Journal of Banking & Finance, 2023, 154, (C) View citations (1)
   See also Working Paper Canonical Portfolios: Optimal Asset and Signal Combination, Papers (2023) View citations (1) (2023)

2022

3. QuantNet: transferring learning across trading strategies
   Quantitative Finance, 2022, 22, (6), 1071-1090 View citations (1)

2021

4. Generative adversarial networks for financial trading strategies fine-tuning and combination
   Quantitative Finance, 2021, 21, (5), 797-813 View citations (18)
   See also Working Paper Generative Adversarial Networks for Financial Trading Strategies Fine-Tuning and Combination, Papers (2019) View citations (12) (2019)

2019

5. A derivatives trading recommendation system: The mid‐curve calendar spread case
   Intelligent Systems in Accounting, Finance and Management, 2019, 26, (2), 83-103

Books

2016

1. Managing Uncertainty, Mitigating Risk
   Palgrave Macmillan Books, Palgrave Macmillan