Search Results

L’analyse lexicométrique des macro discours par les vocabulaires, enjeux théoriques et méthodologiques - Lexicometric analysis of macro discourses through vocabularies, theoretical and methodological issues,
Antoine Blanc, Hélène Peton and Frédéric Garcias, in Revue Finance Contrôle Stratégie (2019)
Keywords: lexicométrie;macro-discours;vocabulaire;Prospéro;lexicometry;macro-cultural discourses;vocabulary.

Fuzzification - Decision Making in Terms of Uncertainty,
Račić Željko V., in Economics (2018)
Keywords: fuzzification, uncertainty, qualitative attributes, weight coefficients

COMPARASION OF TWO DIFFERENT RESPONDENT GROUPS WITH WEB QUESTIONNAIRE SURVEY BASED ON WEB,
Zerrin Asan, Oztas Ayhan, Levent Terlemez and Sevil Senturk, in Anadolu University Journal of Social Sciences (2008)
Keywords: Web Questionnaire, e-mail Questionnaire

Can Gender and Major Explain College Students’ Performance in Business Statistics?,
Waros Ngamsiriudom, Mitra L. Devkota and Mohan K. Menon, in American Business Review (2022)
Keywords: Gender; Major; Attitude; Perceived Statistics Worth; Business Statistics

A Minute with Kenneth J. Arrow,
Phil Maymin, in Algorithmic Finance (2014)
Keywords: Kenneth; J.; Arrow

A Minute with Giovanni Barone-Adesi,
Philip Maymin, in Algorithmic Finance (2013)
Keywords: interview

A minute with Andrew Odlyzko,
Philip Maymin, in Algorithmic Finance (2014)
Keywords: Andrew; Odlyzko

An efficient algorithm for the calculation of reserves for non-unit linked life policies,
Mark Tucker and J. Mark Bull, in Algorithmic Finance (2014)
Keywords: Solvency II; non-unit linked life reserves; brute force; parallel programming; OpenMP

The relationship between return fractality and bipower variation,
Thomas A. Rhee, in Algorithmic Finance (2014)
Keywords: Return fractality; discontinuous jumps; modified wiener process; fractal dimension; bipower variation; high frequency algorithmic/quantitative trading

Fast recursive portfolio optimization,
Laurence Irlicht, in Algorithmic Finance (2014)
Keywords: Portfolio optimization; algorithmic finance; covariance estimation; quadratic optimization; computational finance; mathematical programming; Backtesting

Dynamic allocation strategies for absolute and relative loss control,
Daniel Mantilla-García, in Algorithmic Finance (2014)
Keywords: Risk management; portfolio insurance; hedging overlay; loss aversion; Benchmarks

Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps,
Andrey Itkin, in Algorithmic Finance (2014)
Keywords: Jump-diffusion; PIDE; splitting; matrix exponential; unconditionally stable schemes

A minute with Peter Bossaerts,
Philip Maymin, in Algorithmic Finance (2015)
Keywords: -

Predictable markets? A news-driven model of the stock market,
Maxim Gusev, Dimitri Kroujiline, Boris Govorkov, Sergey V. Sharov, Dmitry Ushanov and Maxim Zhilyaev, in Algorithmic Finance (2015)
Keywords: Stock market; market dynamics; return predictability; news analysis; language patterns; investor behavior; herding; business cycle; sentiment evolution; reference sentiment level; volatility; return distribution; Ising; agent-based models; price feedback; nonlinear dynamical systems

Multi-scale capability: A better approach to performance measurement for algorithmic trading,
Ricky Cooper, Michael Ong and Ben Van Vliet, in Algorithmic Finance (2015)
Keywords: Risk-adjusted performance measure; term structure of capability; algorithmic trading; prudence

Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks,
Luca Capriotti, in Algorithmic Finance (2015)
Keywords: Adjoint Algorithmic Differentiation; Monte Carlo; derivatives securities; risk management

Smile in motion: An intraday analysis of asymmetric implied volatility,
Martin Wallmeier, in Algorithmic Finance (2015)
Keywords: Volatility smile; implied volatility; leverage effect; index options; high-frequency data

Microstructure-based order placement in a continuous double auction agent based model,
Alexandru Mandeş, in Algorithmic Finance (2015)
Keywords: Agent based modeling; continuous double auction; order placement; market price impact; high-frequency simulation

Pricing complexity options,
Malihe Alikhani, Bjørn Kjos-Hanssen, Amirarsalan Pakravan and Babak Saadat, in Algorithmic Finance (2015)
Keywords: Automatic complexity; Kolmogorov complexity; options; option pricing

Sparse modeling of volatile financial time series via low-dimensional patterns over learned dictionaries,
George Tzagkarakis, Juliana Caicedo-Llano, Thomas Dionysopoulos and Thomas Dionysopoulos, in Algorithmic Finance (2015)
Keywords: Dictionary learning; sparse modeling; financial time series; financial analytics; symbolic representations; transform coding

Estimating the algorithmic complexity of stock markets,
Olivier Brandouy, Jean-Paul Delahaye and Lin Ma, in Algorithmic Finance (2015)
Keywords: Kolmogorov complexity; return; efficiency; compression

David Johnson,
Jay Muthuswamy, in Algorithmic Finance (2016)
Keywords: -

Multi-scale representation of high frequency market liquidity,
Anton Golub, Gregor Chliamovitch, Alexandre Dupuis and Bastien Chopard, in Algorithmic Finance (2016)
Keywords: Liquidity; information theory; multi-scale; foreign exchange; high frequency trading

Extracting predictive information from heterogeneous data streams using Gaussian Processes,
S Ghoshal and S Roberts, in Algorithmic Finance (2016)
Keywords: Time series analysis; financial forecasting; Bayesian methods; Gaussian Processes

Darwinian adverse selection,
Wolfgang Kuhle, in Algorithmic Finance (2016)
Keywords: Maximization; individual rationality; economics; biology

Natural time analysis in financial markets,
Kiriakopoulos, K. Mintzelas, A., in Algorithmic Finance (2016)
Keywords: Natural time; complex systems; financial time series; trend’s prediction; market’s energy; trading strategy

Interviews,
Philip Z. Maymin and Jay Muthuswamy, in Algorithmic Finance (2016)
Keywords: interview

Empirical evaluation of price-based technical patterns using probabilistic neural networks,
Samit Ahlawat, in Algorithmic Finance (2016)
Keywords: Neural network; technical analysis; technical trading rules; scatterplot smoothing

Sensitivity and computational complexity in financial networks,
Brett Hemenway and Sanjeev Khanna, in Algorithmic Finance (2016)
Keywords: Financial contagion; computational complexity; network analysis; network stability; sensitivity

The network of the Italian stock market during the 2008–2011 financial crises,
Paolo Coletti and Maurizio Murgia, in Algorithmic Finance (2016)
Keywords: Minimum spanning tree; Italian stock market; correlation network; financial crisis; stock ownership

Editorial,
Philip Maymin, in Algorithmic Finance (2017)
Keywords: Editorial

Using directional bit sequences to reveal the property-liability underwriting cycle as an algorithmic process,
Joseph D. Haley, in Algorithmic Finance (2017)
Keywords: Simulation; capacity constraint model; property-liability underwriting cycle; equilibrium

Study of the periodicity in Euro-US Dollar exchange rates using local alignment and random matrices,
E.V. Korotkov and M.A. Korotkova, in Algorithmic Finance (2017)
Keywords: Latent periodicity; dynamic programming; rates; random matrixes; insertions; deletions

AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks,
Luca Capriotti, Yupeng Jiang and Andrea Macrina, in Algorithmic Finance (2017)
Keywords: Adjoint algorithmic differentiation (AAD); Monte Carlo methods; Bermudan-style options; valuation adjustments (XVA)

Wealth management: Modeling the nonlinear dependence,
Mariana Rosa Montenegro and Pedro Henrique Melo Albuquerque, in Algorithmic Finance (2017)
Keywords: Portfolio selection; local Gaussian correlation; nonlinear dependence

Classification-based financial markets prediction using deep neural networks,
Matthew Dixon, Diego Klabjan and Jin Hoon Bang, in Algorithmic Finance (2017)
Keywords: financial; markets

Impact of global financial crisis on network of Asian stock markets,
Jitendra Aswani, in Algorithmic Finance (2017)
Keywords: Financial crisis; stock markets; networks; Minimum Spanning Tree (MST)

The Russian ETF puzzle and its possible reasons,
Evgeni B. Tarassov, in Algorithmic Finance (2017)
Keywords: ETF; index fund rationality paradox; non-optimal index investing; index mutual funds

An optimal execution problem in the volume-dependent Almgren–Chriss model,
Takashi Kato, in Algorithmic Finance (2018)
Keywords: Optimal execution problem; market trading volume; volume-weighted average price (VWAP); market impact

A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein–Uhlenbeck process,
Farzad Alavi Fard, Armin Pourkhanali and Malick Sy, in Algorithmic Finance (2018)
Keywords: Non-parametric estimation; stochastic volatility; Ornstein-Uhlenbeck process; acceptance-rejection; out-of-sample

An integer programming based strategy for Asian-style futures arbitrage over the settlement period,
Raymond H. Chan, Kelvin K. Kan and Alfred K. Ma, in Algorithmic Finance (2018)
Keywords: Arbitrage; Asian-style futures; Asian-style settlement procedure; expiration day; integer programming

A new variable selection method applied to credit scoring,
Dalila Boughaci and Abdullah A.K. Alkhawaldeh, in Algorithmic Finance (2018)
Keywords: Credit scoring; variable selection; variable neighborhood search; search technique; Bayesian network; Hill climbing; tabu search; simulated annealing; TAN; classification

Allocation skew: Managers with conviction,
Vikram K. Srimurthy and Matthew Smalbach, in Algorithmic Finance (2018)
Keywords: conviction

Absolute vs. relative speed in high-frequency trading,
Gianluca Piero Maria Virgilio, in Algorithmic Finance (2018)
Keywords: High-Frequency Trading; sub-second scale; speed

Cryptoasset factor models,
Zura Kakushadze, in Algorithmic Finance (2018)
Keywords: Cryptoasset

Machine learning and corporate bond trading,
Dominic Wright, Luca Capriotti and Jacky Lee, in Algorithmic Finance (2018)
Keywords: Machine learning; Recommender systems; Collaborative filtering; Corporate bond trading

Information leakage in financial machine learning research,
Zachary David, in Algorithmic Finance (2019)
Keywords: financial machine; learning research

Impact of short-sales in stock market efficiency,
Bàrbara Llacay and Gilbert Peffer, in Algorithmic Finance (2019)
Keywords: Agent-based simulation; financial markets; market efficiency; short-selling JEL Classification: C63; G1; G11; G14; G17

Localized trend model for stock market sectoral indexes movement profiling,
Harya Widiputra, in Algorithmic Finance (2019)
Keywords: time-series analysis; dynamic systems; adaptive clustering; localized trend model; multiple time-series; profiles of relationship

Parallel MCMC sampling of AR-HMMs for prediction based option trading,
I. Róbert Sipos, Attila Ceffer, Gábor Horváth and János Levendovszky, in Algorithmic Finance (2019)
Keywords: Hidden Markov models; MCMC sampling; GPU; Financial time series; Option trading

Modeling the financial market with labyrinth chaos,
Wiston Adrián Risso, in Algorithmic Finance (2019)
Keywords: Financial markets; stylized facts; volatility clustering; chaos; financial time series; brownian motion

Von den Mühen der Ebenen und der Berge in den Wissenschaften,
Annette Vogt, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2021)
Keywords: Emil J. Gumbel (Mathematiker, Pazifist und politischer Autor)

On Cointegration and Cryptocurrency Dynamics,
Georg Keilbar and Yanfen Zhang, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2020)
Keywords: Cointegration, VECM, Nonstationarity, Cryptocurrencies

Deep Learning application for fraud detection in financial statements,
Patricia Craja, Alisa Kim and Stefan Lessmann, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2020)
Keywords: fraud detection, financial statements, deep learning, text analytics

Targeting Cutsomers Under Response-Dependent Costs,
Johannes Haupt and Stefan Lessmann, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2020)
Keywords: Heterogeneous Treatment Effect, Uplift Modeling, Coupon Targeting, Churn/Retention, Campaign Profit

Can Deep Learning Predict Risky Retail Investors? A Case Study in Financial Risk Behavior Forecasting,
A. Kolesnikova, Y. Yang, S. Lessmann, T. Ma, M.-C. Sung and J.E.V. Johnson, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2019)
Keywords: risk management, retail finance, forecasting, deep learning

A Machine Learning Approach Towards Startup Success Prediction,
Cemre Ünal and Ioana Ceasu, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2019)
Keywords: Machine learning

Portmanteau Test and Simultaneous Inference for Serial Covariances,
Han Xiao and Wei Biao Wu, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2019)
Keywords: Autocovariance, blocks of blocks bootstrapping, Box-Pierce test, extreme value distribution, moderate deviation, normal comparison, physical dependence measure, short range dependence, stationary process, summability of cumulants

Voting for Health Insurance Policy: the U.S. versus Europe,
Xinwen Ni, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2019)
Keywords: Social Health Insurance, Voting

Adaptive Nonparametric Community Detection,
Larisa Adamyan, Kirill Efimov and Vladimir Spokoiny, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2019)
Keywords: Adaptive weights, Gap coefficient, Graph clustering, Nonparametric, Overlapping communities

Usage Continuance in Software-as-a-Service,
Elias Baumann, Jana Kern and Stefan Lessmann, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2019)
Keywords: Linear Mixed Models Software-as-a-Service Usage Continuance

Conversion uplift in e-commerce: A systematic benchmark of modeling strategies,
Robin Gubela, Artem Bequé, Fabian Gebert and Stefan Lessmann, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: e-commerce analytics, machine learning, uplift modeling, real-time targeting

PLUG-IN L2-UPPER ERROR BOUNDS IN DECONVOLUTION, FOR A MIXING DENSITY ESTIMATE IN Rd AND FOR ITS DERIVATIVES,
Yannis G. Yatracos, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)

RESIDUAL'S INFLUENCE INDEX (RINFIN), BAD LEVERAGE AND UNMASKING IN HIGH DIMENSIONAL L2-REGRESSION,
Yannis G. Yatracos, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Big Data, Data Science, Influence Function, Leverage, Masking, Residual's Influence Index (RINFIN)

Topic Modeling for Analyzing Open-Ended Survey Responses,
Andra-Selina Pietsch and Stefan Lessmann, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Market research, open-ended responses, text analytics, short text topic models

Variable selection and direction estimation for single-index models via DC-TGDR method,
Wei Zhong, Xi Liu and Shuangge Ma, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Distance covariance, Highdimensional data, Threshold gradient directed regularization, Single-index models, Variable selection

Inferences for a Partially Varying Coefficient Model With Endogenous Regressors,
Zongwu Cai, Ying Fang, Ming Lin and Jia Su, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Endogeneity, Functional coefficients, Generalized F-test, Instrumental variables models, Nonparametric test, Profile least squares

On Complete Convergence in Marcinkiewicz-Zygmund Type SLLN for END Random Variables and its Applications,
Ji Gao Yan, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Complete convergence, Maximal weighted sums, Extended negatively dependent

On complete convergence in Marcinkiewicz-Zygmund type SLLN for random variables,
Anna Kuczmaszewska and Ji Gao Yan, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Complete convergence, Marcinkiewicz-Zygmund type SLLN, Extended negatively dependent, Mixing dependency, Weakly mean bounded

Complete Convergence and Complete Moment Convergence for Maximal Weighted Sums of Extended Negatively Dependent Random Variables,
Ji Gao Yan, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Extended negatively dependent, complete convergence, complete moment convergence, maximal weighted sums, strong law of large numbers

Default probabilities and default correlations under stress,
Natalie Packham, Michael Kalkbrener and Ludger Overbeck, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: financial risk management, credit portfolio modelling, stress testing, elliptic distribution, max-domain

Correlation Under Stress In Normal Variance Mixture Models,
Michael Kalkbrener and Natalie Packham, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Stress testing, risk management, correlation, normal variance mixture distribution, multivariate normal distribution, multivariate t-distribution

Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present,
Natalie Packham, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Principal-agent modelling, contract design, stochastic process, stochastic control

Instrumental variables regression,
Andzhey Koziuk and Vladimir Spokoiny, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Gaussian Process, Kernel methods, Wasserstein Distance

Gaussian Process Forecast with multidimensional distributional entries,
Francois Bachoc, Alexandra Suvorikova, Jean-Michel Loubes and Vladimir Spokoiny, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Gaussian Process, Kernel methods, Wasserstein Distance

Pointwise adaptation via stagewise aggregation of local estimates for multiclass classification,
Nikita Puchkin and Vladimir Spokoiny, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)

Toolbox: Gaussian comparison on Eucledian balls,
Andzhey Koziuk and Vladimir Spokoiny, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: multivariate Gaussian measure, Kolmogorov distance, Gaussian comparison

Bayesian inference for spectral projectors of covariance matrix,
Igor Silin and Vladimir Spokoiny, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: covariance matrix, spectral projector, principal component analysis, Bernstein-von Mises theorem

Large ball probabilities, Gaussian comparison and anti-concentration,
Friedrich Götze, Alexey Naumov, Vladimir Spokoiny and Vladimir Ulyanov, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Gaussian comparison, Gaussian anti-concentration inequalities, effective rank, dimension free bounds, Schatten norm, high-dimensional inference

Construction of Non-asymptotic Confidence Sets in 2 -Wasserstein Space,
Johannes Ebert, Vladimir Spokoiny and Alexandra Suvorikova, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Wasserstein barycenters, hypothesis testing, multiplier bootstrap, change point detection, confidence sets

Bootstrap Confidence Sets for Spectral Projectors of Sample Covariance,
A. Naumov, V. Spokoiny and V. Ulyanovk, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)

Lasso, knockoff and Gaussian covariates: a comparison,
Laurie Davies, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)

Adaptive Nonparametric Clustering,
Kirill Efimov, Larisa Adamyan and Vladimir Spokoiny, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: adaptive weights, clustering, gap coecient, manifold clustering

Deregulated day-ahead electricity markets in Southeast Europe: Price forecasting and comparative structural analysis,
Antanina Hryshchuk and Stefan Lessmann, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: ARIMA models, energy forecasting, time series models, neural networks

Systemic Risk in Global Volatility Spillover Networks: Evidence from Option-implied Volatility Indices,
Zihui Yang and Yinggang Zhou, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Network, Option-implied Volatility, Spillover, Asymmetric linkage, Systemic risk

Nonparametric Variable Selection and Its Application to Additive Models,
Zheng-Hui Feng, Lu Lin, Ruo-Qing Zhu and Li-Xing Zhu, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
Keywords: Adaptive estimation, non-parametric additive model, purely nonparametric regression, variable selection

Affordable Uplift: Supervised Randomization in Controlled Exprtiments,
Johannes Haupt, Daniel Jacob, Robin M. Gubela and Stefan Lessmann, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2019)
Keywords: Uplift Modeling, Causal Inference, Experimental Design, Selection Bias

A note on differentiating matrices,
Pawel Kowal, from University Library of Munich, Germany (2006)
Keywords: matrix differentiation; generalized Kronecker products

Valuing a portfolio of dependent RandD projects: a Copula approach,
Gea Cayetano, from University Library of Munich, Germany (2006)
Keywords: Copula, valuation, company, real options

Prognozēšanas metodes uzņēmējdarbībā,
Valerijs Skribans, from University Library of Munich, Germany (2002)
Keywords: uzņēmējdarbības attīstība, dinamiskā simulācija, ekonometriskie modeļi, prognozēšana, tirgus pētījumi un analīze