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Algorithmic Finance

2011 - 2019

Current editor(s): Phil Maymin

From IOS Press
Bibliographic data for series maintained by Saskia van Wijngaarden ().

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Volume 8, issue 1-2, 2019

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

Volume 7, issue 3-4, 2018

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

Volume 7, issue 1-2, 2018

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

Volume 6, issue 3-4, 2017

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

Volume 6, issue 1-2, 2017

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

Volume 5, issue 3-4, 2016

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

Volume 5, issue 1-2, 2016

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.

Volume 4, issue 3-4, 2015

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

Volume 4, issue 1-2, 2015

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

Volume 3, issue 3-4, 2014

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

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
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