Zobrazeno 1 - 10
of 36
pro vyhledávání: '"Ionuţ Florescu"'
Publikováno v:
Mathematics, Vol 11, Iss 5, p 1223 (2023)
This paper extends previous research performed with the SHIFT financial market simulation platform. In our previous work, we show how this order-driven, distributed asynchronous, and multi-asset simulated environment is capable of reproducing known s
Externí odkaz:
https://doaj.org/article/aa38c3c9742e4faa9119d95c0bfb26ea
Publikováno v:
IEEE Internet of Things Journal. 9:5617-5628
In 2012, SEC mandated all corporate filings for any company doing business in US be entered into the Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system. In this work we are investigating ways to analyze the data available through EDGAR
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1c9b72756c5b21fe89e67c4cd2acedd1
https://doi.org/10.1109/jiot.2020.3030492
https://doi.org/10.1109/jiot.2020.3030492
Publikováno v:
Research in International Business and Finance. 64:101869
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::97fd4559c811a7a6a6a1f5464b3dd13c
https://doi.org/10.1016/j.ribaf.2022.101869
https://doi.org/10.1016/j.ribaf.2022.101869
Publikováno v:
The Journal of Derivatives. 26:22-34
In a recent study, Zhao et al. (2017) presented a tree methodology to evaluate the expected generalized realized variance in a general stochastic volatility model; it provided an efficient way of calculating the fair value of the strike for variance
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2214317529c346e83afbfc01195194d1
https://doi.org/10.3905/jod.2019.26.3.022
https://doi.org/10.3905/jod.2019.26.3.022
Autor:
Ziwen Ye, Ionuţ Florescu
Publikováno v:
High Frequency. 2:37-47
In this research, we develop a set of new measures to evaluate the data flow in the U.S. equity exchanges using Level I order book data. The quantities we develop and use to summarize trading activity are: the activity-weighted spread and the activit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eb4cad9cd06ee8e243daa602f808dd7d
https://doi.org/10.1002/hf2.10029
https://doi.org/10.1002/hf2.10029
Credit ratings are one of the primary keys that reflect the level of riskiness and reliability of corporations to meet their financial obligations. Rating agencies tend to take extended periods of time to provide new ratings and update older ones. Th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c7b6e047877734bbb64da2bd99220fc0
Publikováno v:
The Journal of Derivatives. 25:7-21
Pricing and hedging real world derivatives requires approximation methods for all but the plainest of plain vanilla cases. The two standard classes of valuation tools are lattices (trees) and Monte Carlo simulation. Lattice methods start at maturity
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a346a73d9d826ba7f5b0461aef23b0bb
https://doi.org/10.3905/jod.2017.25.2.007
https://doi.org/10.3905/jod.2017.25.2.007
Autor:
Maria C. Mariani, Ionut Florescu
Presents a multitude of topics relevant to the quantitative finance community by combining the best of the theory with the usefulness of applications Written by accomplished teachers and researchers in the field, this book presents quantitative finan
Publikováno v:
SSRN Electronic Journal.
A new valuation and calibration method for VIX futures and VIX options is proposed. The method is based on a closed-form Hermite series expansion for a stochastic volatility model with the stochastic variance process driven by an affine drift term. W
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2f5a0b4a1b08a86f04fd8aae0d792d0f
https://doi.org/10.2139/ssrn.3043402
https://doi.org/10.2139/ssrn.3043402
Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities