Economics at your fingertips  

Algorithmic Finance

2011 - 2019

Current editor(s): Phil Maymin

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

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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
Page updated 2021-05-01