Algorithmic Finance

2011 - 2019

Current editor(s): Phil Maymin

From IOS Press
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Information leakage in financial machine learning research pp. 1-4: Zachary David
Impact of short-sales in stock market efficiency pp. 5-26: Bàrbara Llacay and Gilbert Peffer
Localized trend model for stock market sectoral indexes movement profiling pp. 27-46: Harya Widiputra
Parallel MCMC sampling of AR-HMMs for prediction based option trading pp. 47-55: I. Róbert Sipos, Attila Ceffer, Gábor Horváth and János Levendovszky
Modeling the financial market with labyrinth chaos pp. 57-75: Wiston Adrián Risso

Allocation skew: Managers with conviction pp. 63-69: Vikram K. Srimurthy and Matthew Smalbach
Absolute vs. relative speed in high-frequency trading pp. 71-86: Gianluca Piero Maria Virgilio
Cryptoasset factor models pp. 87-104: Zura Kakushadze
Machine learning and corporate bond trading pp. 105-110: Dominic Wright, Luca Capriotti and Jacky Lee

An optimal execution problem in the volume-dependent Almgren–Chriss model pp. 1-14: Takashi Kato
A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein–Uhlenbeck process pp. 15-30: Farzad Alavi Fard, Armin Pourkhanali and Malick Sy
An integer programming based strategy for Asian-style futures arbitrage over the settlement period pp. 31-42: Raymond H. Chan, Kelvin K. Kan and Alfred K. Ma
A new variable selection method applied to credit scoring pp. 43-52: Dalila Boughaci and Abdullah A.K. Alkhawaldeh
How hard is it to pick the right model? MCS and backtest overfitting pp. 53-61: Diego Aparicio and Marcos López de Prado

Classification-based financial markets prediction using deep neural networks pp. 67-77: Matthew Dixon, Diego Klabjan and Jin Hoon Bang
Impact of global financial crisis on network of Asian stock markets pp. 79-91: Jitendra Aswani
The Russian ETF puzzle and its possible reasons pp. 93-102: Evgeni B. Tarassov
Trump tweets and the efficient Market Hypothesis pp. 103-109: Jeffery A. Born, David H. Myers and William J. Clark

Editorial pp. 1-1: Philip Maymin
Using directional bit sequences to reveal the property-liability underwriting cycle as an algorithmic process pp. 3-21: Joseph D. Haley
Study of the periodicity in Euro-US Dollar exchange rates using local alignment and random matrices pp. 23-33: E.V. Korotkov and M.A. Korotkova
AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks pp. 35-49: Luca Capriotti, Yupeng Jiang and Andrea Macrina
Wealth management: Modeling the nonlinear dependence pp. 51-65: Mariana Rosa Montenegro and Pedro Henrique Melo Albuquerque

Interviews pp. 47-47: Philip Z. Maymin and Jay Muthuswamy
Empirical evaluation of price-based technical patterns using probabilistic neural networks pp. 49-68: Samit Ahlawat
Latency arbitrage in fragmented markets: A strategic agent-based analysis pp. 69-93: Elaine Wah and Michael Wellman
Sensitivity and computational complexity in financial networks pp. 95-110: Brett Hemenway and Sanjeev Khanna
The network of the Italian stock market during the 2008–2011 financial crises pp. 111-137: Paolo Coletti and Maurizio Murgia

David Johnson pp. 1-1: Jay Muthuswamy
Multi-scale representation of high frequency market liquidity pp. 3-19: Anton Golub, Gregor Chliamovitch, Alexandre Dupuis and Bastien Chopard
Extracting predictive information from heterogeneous data streams using Gaussian Processes pp. 21-30: S Ghoshal and S Roberts
Darwinian adverse selection pp. 31-36: Wolfgang Kuhle
Natural time analysis in financial markets pp. 37-46: Kiriakopoulos, K. Mintzelas, A.

Microstructure-based order placement in a continuous double auction agent based model pp. 105-125: Alexandru Mandeş
Pricing complexity options pp. 127-137: Malihe Alikhani, Bjørn Kjos-Hanssen, Amirarsalan Pakravan and Babak Saadat
Sparse modeling of volatile financial time series via low-dimensional patterns over learned dictionaries pp. 139-158: George Tzagkarakis, Juliana Caicedo-Llano, Thomas Dionysopoulos and Thomas Dionysopoulos
Estimating the algorithmic complexity of stock markets pp. 159-178: Olivier Brandouy, Jean-Paul Delahaye and Lin Ma

A minute with Peter Bossaerts pp. 1-3: Philip Maymin
Predictable markets? A news-driven model of the stock market pp. 5-51: Maxim Gusev, Dimitri Kroujiline, Boris Govorkov, Sergey V. Sharov, Dmitry Ushanov and Maxim Zhilyaev
Multi-scale capability: A better approach to performance measurement for algorithmic trading pp. 53-68: Ricky Cooper, Michael Ong and Ben Van Vliet
Market sentiment and exchange rate directional forecasting pp. 69-79: Vasilios Plakandaras, Theophilos Papadimitriou, Periklis Gogas and Konstantinos Diamantaras
Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks pp. 81-87: Luca Capriotti
Smile in motion: An intraday analysis of asymmetric implied volatility pp. 89-104: Martin Wallmeier

A minute with Andrew Odlyzko pp. 141-142: Philip Maymin
An efficient algorithm for the calculation of reserves for non-unit linked life policies pp. 143-161: Mark Tucker and J. Mark Bull
The relationship between return fractality and bipower variation pp. 163-171: Thomas A. Rhee
Fast recursive portfolio optimization pp. 173-188: Laurence Irlicht
The design and performance of the adaptive stock market index pp. 189-207: Lior Zatlavi, Dror Y. Kenett and Eshel Ben-Jacob
Dynamic allocation strategies for absolute and relative loss control pp. 209-231: Daniel Mantilla-García
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps pp. 233-250: Andrey Itkin

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