Combining low-volatility and mean-reversion anomalies: Better together?

2023-11-27

Guidelines for building a realistic algorithmic trading market simulator for backtesting while incorporating market impact

2023-10-5

How smart is a momentum strategy? An empirical study of Indian equities

2023-9-16

Interest rate derivatives for the fractional Cox-Ingersoll-Ross model

2023-9-16

Graph embedded dynamic mode decomposition for stock price prediction

2023-9-16

Computation of financial risk using principal component analysis

2023-9-16

Computation of financial risk using principal component analysis

2022-9-30

Heuristic methods for stock selection and allocation in an index tracking problem

2022-8-3

Point-to-point stochastic control of a self-financing portfolio

2022-8-3

Investigating Intertrade Durations using Copulas: An Experiment with NASDAQ Data

2022-8-3

IN MEMORIAM: Jayaram Muthuswamy 1952–2021

2022-8-3

Portfolio optimization with tri-objective for index fund management

2022-8-3

Dynamics of information leadership in the volatility complex with trading time changes: Evidence from VIX futures and VIX ETPs

2022-8-3

FRONT MATTER

2022-5-25

BACK MATTER

2022-5-25

Heuristic methods for stock selection and allocation in an index tracking problem

2021-8-24

A novel algorithm for clearing financial obligations between companies - An application within the Romanian Ministry of economy

2021-8-24

Portfolio selection in non-stationary markets

2021-8-24

Do central counterparties reduce counterparty and liquidity risk? Empirical results

2021-7-16

Market Reaction to iPhone Rumors

2021-3-16

An endogenous mechanism of business cycles

2021-1-7

Sector categorization using gradient boosted trees trained on fundamental firm data

2021-1-7

Deep prediction of investor interest: A supervised clustering approach

2021-1-7

Portfolio optimization for cointelated pairs: SDEs vs Machine learning

2021-1-7

Sector categorization using gradient boosted trees trained on fundamental firm data

2020-6-23

Modeling the financial market with labyrinth chaos

2019-12-26

Impact of short-sales in stock market efficiency

2019-12-26

Parallel MCMC sampling of AR-HMMs for prediction based option trading

2019-12-26

Localized trend model for stock market sectoral indexes movement profiling

2019-12-26

Information leakage in financial machine learning research

2019-12-26

An endogenous mechanism of business cycles

2019-10-11

Machine learning and corporate bond trading

2019-4-17

Allocation skew: Managers with conviction

2019-4-17

Absolute vs. relative speed in high-frequency trading

2019-4-17

Cryptoasset factor models

2019-3-8

Allocation skew: Managers with conviction

2018-7-20

An optimal execution problem in the volume-dependent Almgren–Chriss model

2018-6-21

How hard is it to pick the right model? MCS and backtest overfitting

2018-6-21

A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein–Uhlenbeck process

2018-6-21

A new variable selection method applied to credit scoring

2018-6-21

An integer programming based strategy for Asian-style futures arbitrage over the settlement period

2018-4-20

Classification-based financial markets prediction using deep neural networks

2017-12-21

Impact of global financial crisis on network of Asian stock markets

2017-12-21

The Russian ETF puzzle and its possible reasons

2017-12-21

Trump tweets and the efficient Market Hypothesis

2017-12-21

Study of the periodicity in Euro-US Dollar exchange rates using local alignment and random matrices

2017-10-21

AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks

2017-10-21

Using directional bit sequences to reveal the property-liability underwriting cycle as an algorithmic process

2017-10-21

Wealth management: Modeling the nonlinear dependence

2017-10-21

Editorial

2017-10-21