Zobrazeno 1 - 10
of 16
pro vyhledávání: '"V L Raju Chinthalapati"'
Autor:
V L Raju Chinthalapati, Edward Tsang
Publikováno v:
Algorithms, Vol 12, Iss 4, p 69 (2019)
Algorithms play an important part in finance [...]
Externí odkaz:
https://doaj.org/article/8f939d75d4ac4bf6803bfcec55e386a2
Publikováno v:
Journal of International Financial Markets, Institutions and Money
This paper is the first to highlight that the stock-ADR arbitrage pair trading found by Alsayed and McGroarty (2012) is directly influenced by the market microstructure of ADRs. In Alsayed and McGroarty (2012) they are the first to demonstrate that a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a40308834ff2e911a86dd3d457b1cd24
http://livrepository.liverpool.ac.uk/3052904/1/StockADRPaperLE.pdf
http://livrepository.liverpool.ac.uk/3052904/1/StockADRPaperLE.pdf
Directional Change (DC) is a technique to summarize price movements in a financial market. According to the DC concept, data is sampled only when the magnitude of price change is significant according to the investor. In this paper, we develop a cont
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ee13ee3109bc8845c2ead20e36043222
Given recent requirements for ensuring the robustness of algorithmic trading strategies laid out in the Markets in Financial Instruments Directive II (MiFID II), this paper proposes a novel agent-based simulation for exploring algorithmic trading str
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f1baea3b9939fbab46bab926356f6556
https://eprints.soton.ac.uk/423233/
https://eprints.soton.ac.uk/423233/
To date, existing studies that use multilayer networks, in their multiplex form, to analyse the structure of financial systems, have (i) considered the structure as a non-interconnected multiplex network, (ii) no mechanism of multichannel contagion h
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6c0d6bbe527afe8d0ba58b023efcbe38
Publikováno v:
IEEE BigData
Market prices are traditionally recorded in fixed time intervals. Directional Change is an alternative approach to summarize price movements in financial markets that is consistent with across all time scales. Unlike time series, directional change s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::823fc65021f53dd7fc3c3b4006cd0917
https://doi.org/10.1109/bigdata.2017.8258453
https://doi.org/10.1109/bigdata.2017.8258453
Publikováno v:
SSCI
Directional Change (DC) is a technique to summarize price movements in a financial market. According to the DC concept, data is sampled only when the magnitude of price change is significant according to the investor. Unlike with time series, DC samp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::88c187412dddf8440a75ec7f19f7a5fe
Publikováno v:
Risks. 7:87
We obtain closed-form expressions for the value of the joint Laplace transform of therunning maximum and minimum of a diffusion-type process stopped at the first time at which theassociated drawdown or drawup process hits a constant level before an i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6dee2354dd5fe6258eeecc4ddd7c6f0a
https://doi.org/10.3390/risks7030087
https://doi.org/10.3390/risks7030087
Autor:
Pradeep Ghosh, V L Raju Chinthalapati
We investigate the application of machine learning Agent Based Modelling (ABM) techniques to model and forecast various financial markets including Foreign Exchange and Equities, especially models that could reproduce the time-series properties of th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d27e5291b827c0c47faff12d53575107
http://gala.gre.ac.uk/id/eprint/13355/1/13355_CHINTHALAPATI_Financial_times_series_(2014).pdf
http://gala.gre.ac.uk/id/eprint/13355/1/13355_CHINTHALAPATI_Financial_times_series_(2014).pdf