Algorithmic Finance最新文献_第5页

A Minute with Peter Bossaerts 彼得·博萨茨一分钟访谈

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Algorithmic Finance Pub Date : 2015-05-01 DOI: 10.3233/AF-150047

P. Bossaerts

引用次数: 0

A Minute with Andrew Odlyzko Andrew Odlyzko一分钟访谈

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Algorithmic Finance Pub Date : 2014-12-11 DOI: 10.3233/af-140046

Algorithmic Finance Journal

引用次数: 0

Linear-Time Accurate Lattice Algorithms for Tail Conditional Expectation 尾部条件期望的线性时间精确点阵算法

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Algorithmic Finance Pub Date : 2014-05-26 DOI: 10.3233/AF-140034

Bryant Chen, William W. Y. Hsu, Jan-Ming Ho, M. Kao

引用次数: 5

A Minute with Kenneth J. Arrow 《一分钟与肯尼斯·j·阿罗

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Algorithmic Finance Pub Date : 2014-01-01 DOI: 10.3233/AF-140035

Philip Z. Maymin

{"title":"A Minute with Kenneth J. Arrow","authors":"Philip Z. Maymin","doi":"10.3233/AF-140035","DOIUrl":"https://doi.org/10.3233/AF-140035","url":null,"abstract":"In each issue, Algorithmic Finance features a brief interview with one member of our advisory or editorial boards or another leading academic or practitioner. These brief conversations are intended to provide a glimpse of their current thinking. In this issue, we talk with Kenneth J. Arrow. Kenneth J. Arrow is the Joan Kenney Professor of Economics and Professor of Operations Research, emeritus; a CHP/PCOR fellow; and an FSI senior fellow by courtesy. He is a Nobel Prize-winning economist whose work has been primarily in economic theory and operations research, focusing on areas including social choice theory, risk bearing, medical economics, general equilibrium analysis, inventory theory, and the economics of information and innovation. He was one of the first economists to note the existence of a learning curve, and he also showed that under certain conditions an economy reaches a general equilibrium. In 1972, together with Sir John Hicks, he won the Nobel Prize in economics for his pioneering contributions to general equilibrium theory and welfare theory. To date, he is still the youngest person ever to receive that award. Arrow has served on the economics faculties of the University of Chicago, Harvard and Stanford. Prior to that, he served as a weather officer in the U.S. Air Corps (1942–1946), and a research associate at the Cowles Commission for Research in Economics (1947–1949). In addition to the Nobel Prize, he has received the American Economic Association’s John Bates Clark Medal and was a recipient of the 2004 National Medal of Science, presented by President George W. Bush for his contributions to research on the problem of making decisions using imperfect information and his research on bearing risk. He is a member of the National Academy of Sciences and the Institute of Medicine. He received a BS from City College, an MA and PhD from Columbia University, and holds approximately 20 honorary degrees.","PeriodicalId":42207,"journal":{"name":"Algorithmic Finance","volume":"3 1","pages":"1-2"},"PeriodicalIF":0.5,"publicationDate":"2014-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3233/AF-140035","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69723636","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A Big Data Approach to Analyzing Market Volatility 分析市场波动的大数据方法

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Algorithmic Finance Pub Date : 2013-06-05 DOI: 10.2139/ssrn.2274991

Kesheng Wu, E. Bethel, Ming Gu, D. Leinweber, O. Rübel

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引用次数: 35

Dynamical Trading Mechanisms in Limit Order Markets 限价订单市场中的动态交易机制

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Algorithmic Finance Pub Date : 2013-03-01 DOI: 10.3233/AF-13027

Shilei Wang

引用次数: 0

A minute with Marcos Lopez de Prado 跟马科斯·洛佩兹·德·普拉多聊一分钟

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Algorithmic Finance Pub Date : 2013-01-01 DOI: 10.3233/AF-13029

Philip Z. Maymin

引用次数: 0

Sparse, Mean Reverting Portfolio Selection Using Simulated Annealing 基于模拟退火的稀疏均值回归投资组合选择

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Algorithmic Finance Pub Date : 2013-01-01 DOI: 10.3233/AF-13026

N. Fogarasi, J. Levendovszky

引用次数: 19

A Minute with Andrei Kirilenko 安德烈·基里连科一分钟访谈

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Algorithmic Finance Pub Date : 2013-01-01 DOI: 10.3233/AF-13019

A. Kirilenko, A. Kirilenko

{"title":"A Minute with Andrei Kirilenko","authors":"A. Kirilenko, A. Kirilenko","doi":"10.3233/AF-13019","DOIUrl":"https://doi.org/10.3233/AF-13019","url":null,"abstract":"ANDREI KIRILENKO is the Professor of the Practice of Finance at the Sloan School of Management of the Massachusetts Institute of Technology (MIT) and Co-Director of the MIT Sloan Center for Finance and Policy. Prior to joining MIT in January 2013, Kirilenko spent four years at the Commodity Futures Trading Commission (CFTC) where he served as Chief Economist between December 2010 and December 2012. In his capacity as Chief Economist, he was instrumental in using modern analytical tools and methods to improve the Commission’s ability to develop and enforce an effective regulatory regime in automated financial markets. Kirilenko is perhaps best known for his role in the investigation of the “Flash Crash” of May 6, 2010, when the Dow Jones industrial average took an unprecedented plunge of almost 1000 points in minutes before ultimately recovering. The Flash Crash was originally blamed on high frequency trading. According to Kirilenko’s authoritative study, high frequency trading did not set off the chain of events on May 6, but did contribute to exorbitant market volatility as the whole market system spiraled out of control. Kirilenko received his Ph.D. in Economics from the University of Pennsylvania. His scholarly works have appeared in the Journal of Finance and the Journal of Financial Markets among others and have won numerous awards. In 2010, he was the recipient of the CFTC Chairman’s Award for Excellence (highest honor), which recognized his “extraordinary accomplishments and superior service.” What are your research interests right now? My research generally focuses on innovations in the design of markets, products, and trading strategies due to advances in technology. My current research interests are algorithmic and high frequency trading, machine-learning methods and models, measuring and managing systemic risk, and the design of innovative financial products, such as exchange traded funds. I look at the opportunities, challenges, and economic incentives that accompany these innovations. I also look at the potential threats to financial stability created or facilitated by them. People often ask me: “Could a Flash Crash happen again?” My answer is: Yes—financial markets have become so technologically complex and interconnected that no one really knows how the whole system operates and when it will malfunction again. The next question is typically: Can regulation help avoid that? The difficulty is that regulation is backward-looking; it is always trying to solve the latest crisis. In fact, I ultimately want to develop the principles of Financial Regulation 2.0 suitable for the automated era. FinReg 2.0 needs to be cyber-centric rather human-centric, designed for extra safety and resilience, encourage innovation, and, most importantly, make people regain confidence in markets. People need to start feeling again that financial markets serve their needs rather than the interests of technologically-advanced “power users” like high frequency t","PeriodicalId":42207,"journal":{"name":"Algorithmic Finance","volume":"2 1","pages":"1-2"},"PeriodicalIF":0.5,"publicationDate":"2013-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3233/AF-13019","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69723166","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A Minute with Giovanni Barone-Adesi Giovanni Barone Adesi一分钟

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Algorithmic Finance Pub Date : 2013-01-01 DOI: 10.3233/AF-13024

G. Barone-Adesi

{"title":"A Minute with Giovanni Barone-Adesi","authors":"G. Barone-Adesi","doi":"10.3233/AF-13024","DOIUrl":"https://doi.org/10.3233/AF-13024","url":null,"abstract":"In each issue, Algorithmic Finance features a brief interview with one member of our advisory or editorial boards or another leading academic or practitioner. These brief conversations are intended to provide a glimpse of their current thinking. In this issue, we talk with Giovanni Barone-Adesi. – GIOVANNI BARONE-ADESI is professor of finance theory and director at the Swiss Finance Institute, University of Lugano, Switzerland. He studied electrical engineering as an undergraduate at the University of Padova. Later he received a MBA and a PhD from the Graduate Business School at the University of Chicago, specializing in Finance and Statistics. Before moving to Lugano he has taught at the University of Alberta, University of Texas at Austin, the Wharton School of the University of Pennsylvania and City University. His main research interests are derivative securities, asset and risk management. He is the author of several models for valuing and hedging securities. Especially well-known are his contributions with Whaley to the pricing of American commodity options and his filtered simulation approach to the measurement of market risk, developed while advising the London Clearing House. His more recent works concern the pricing of index options, barrier options, and gold derivatives. Currently he is president of Open Capital, a fund management firm. He has been an advisor to several exchanges, financial intermediaries and other business organizations in the areas of risk management and financial strategy. – What are your research interests right now? Currently I am interested in understanding the component of systemic risk due to investors’ behavior, which has been neglected in the literature. Most of the current debate on financial regulation relates to institutions too big to fail. I am old enough to remember the Savings & Loans crisis. The herding behavior of thousands of small institutions may be very destructive. I am trying to model investors’ behavior by proposing a precise definition of sentiment that is econometrically testable, linked to the pricing kernel. Also I am interested in the herding generated by regulation itself. Rules meant to increase safety may force institutions toward holding similar portfolios and also to attempt making simultaneous adjustments. This behavior increases the likelihood of a crash. What do you see as academically exciting? I enjoy financial research because it brings together ideas from a wide variety of academic disciplines. Some of the most innovative theories I am excited about are based on the analysis of the stability of complex systems, the neurological basis of investment decisions, and the legal foundations of financial systems. On a more applied level, I am interested in the design of a new financial architecture to replace the economic functions of the financial system displaced by the new safety regulations. Whenever we say that banks should reduce their exposure to a market, we leave unanswered q","PeriodicalId":42207,"journal":{"name":"Algorithmic Finance","volume":"2 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2013-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3233/AF-13024","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69722858","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0