Algorithmic Finance

2011 - 2019

Current editor(s): Phil Maymin

From IOS Press
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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

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

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

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