(Series interrupted due to change of host)
Notations for Directional Change Research
WP073-14: Edward P K Tsang, Ran Tao and Shuai Ma
Simulation Based Estimation Using Empirical Likelihood
WP072-13: M. K. Nguyen; W. L. Ng; S. Phelps
Periodicities of Foreign Exchange Markets and the Directional Change Power Law
WP071-13: I. Giampaoli; W. L. Ng; N. Constantinou
Normally Distributed High-Frequency Returns: A Subordination Approach
WP070-13: A. Türkoğlu
Capturing
Market Movements with Directional Changes
WP069-13: H. Ao; E. Tsang
WP068-13: V. Vella; W. L. Ng
A path-independent approach to integrated variance under the CEV model
WP067-13: H. Wang; J. G. O'Hara; N. Constantinou
General Multivariate Dependence Using Associated Copulas
WP066-13: Y. Salazar
Valuation of American Options with Meshfree
Methods
WP065-12: A. Guarin; X. Liu ; W. L. Ng
Learning leads to scaling behaviour in an
adaptive expectations model of a double-auction market
WP064-12: S. Phelps; W. L. Ng
Network motifs for microeconomic analysis
WP063-12: S. Phelps; K. Musial-Gabrys
Read for Greed - Read With Speed : Financial
News Analytics - An Overview
WP062-12: W. L. Ng
Recovering
Default Risk from CDS Spreads with a Nonlinear Filter
WP061-12: A. Guarin; X. Liu ; W. L. Ng
Can a Zero-Intelligence Plus Strategy
Explain the Stylized Facts of Financial Time Series Data?
WP060-12: I. Palit; S. Phelps; W.L. Ng
General Multivariate Dependence Using Associated Copulas
WP059-12: Y. Salazar
Optimal Level of Leverage Using
Numerical Methods
WP058-12: E. Sbruzzi; S. Phelps
Online Supplement to Simulation
Based Estimation using Extended Balanced Augmented Empirical Likelihood
WP057-12: M. K. Nguyen; W. L. Ng; S. Phelps
Applying Dependency Injection to
Agent-Based Modelling: the JABM toolkit
WP056-12: S. Phelps
Emergence of social networks via
direct and indirect reciprocity
WP055-12: S. Phelps
Financial Distress Prediction: A
Multinomial Logistic Approach To Small Companies
WP054-11: M. M. M. Maharaullee
Empirical
Likelihood Estimation of Agent-Based Models
WP053-11: M. K. Nguyen; S. Phelps; W. L. Ng
Testing
adaptive expectations models of an continuous double auction market against
empirical facts
WP052-11: N. Rayner; S. Phelps; N. Constantinou
A Model of
Stochastic Volatility with Time-Depedendent Parameters
WP051-11: C. Sophocleous; J. G. O'Hara; P. G. L. Leach
Direction Changes, Definitions
WP050-10: E.P.K. Tsang
This document has been updated and published as
Appendix A,
J. Chen & E.P.K.Tsang,
Detecting Regime Change in Computational Finance, Data Science, Machine Learning and Algorithmic Trading,
CRC Press, September 2020
Biological
markets: a catalyst for the major transitions?
WP049-10: S. Phelps
An
agent-based model of direct and indirect reciprocity: group size effects and
network properties
WP048-10: S. Phelps; A. Howes
Computation
and Finance: Potentials and Limitations
WP047-10: E. Tsang
New ways to
understand financial markets
WP046-10: E. Tsang
Inferring the
state of a double-auction market from empirical high-frequency transaction data
WP045-10: M. K. Nguyen; N. Rayner; S. Phelps
Negative (LU
and UL) tail dependence using copulae
WO044-10: Y. S. Flores
The origin of
long-memory in order flow
WP043-10: I. Palit; B. Toth; F Lillo; J. Doyne Farmer
The Effect of Group Size and Frequency of Encounter on the Evolution of
Cooperation
WP042-10: S. Phelps; G. Nevarez; A. Howes
Symmetries and the Merton portfolio selection model
WP041-10: V. Naicker; J. O'Hara; P. G. L. Leach
An Anaysis of the Determinants of the iTraxx CDS SPreads using the Skewed
Student's t AR-GARCH Model
WP040-10: Yuan-Sung Chu; Nick Constantinou; John O'Hara
EDDIE for Investment Opportunities Forecasting: Extending the Search Space of
the GP
WP039-10: Michael Kampouridis; Edward Tsang
The Event Calculus on High-frequency Finance
WP038-10: E. Tsang; R. Olsen; S. Masry
Comparison of Two Factor CIR and Essentially Affine Models for the UK Term
Structure: from Black Wednesday to the 2008 Credit Crisis
WP037-09: Jenny Castellenos; Nick Constantinou
Modeling Financial time Series using Grammatical Swarm
WP036-09: Kamal Adamu; Steve Phelps
How does CPPI perform against the simplest guarantee strategies?
WP035-08: Anil Khuman; Nick Constantinou
Analysis of Ultra-High-Frequency Financial Data Using Advanced Fourier
Transforms
WP034-08: Iacopo Giampaoli; Wing Lon Ng; Nick Constantinou
The Effect of the Real-Estate Downturn on the Link between REIT's and the Stock
Market
WP033-08: Steven Simon; Wing Lon Ng
Clustering Duration Cluster Patterns in Financial Markets - Empirical Evidence
on FTSE100
WP032-08: Wing Lon Ng; Jian Jiang
High-frequency Index Returns: The Stylized Facts Revised
WP031-08: Wing Lon Ng; Mark Trede
Spectral Densities of Ultra-high Frequency Data
WP030-08: Wing Lon Ng
Modelling Dynamic Demand and Supply Curves of Electronic Markets
WP029-08: Wing Lon Ng
Order Submission and Herding Behaviour in Electronic
Trading
WP028-08: Wing Lon Ng
Emergence of tiering in large value payment systems
WP027-08: Mark Adams; Marco Galbiati; Simone Giansante
Forecasting - where computational intelligence meets the stock market
WP026-08: Edward Tsang
An extensive set of scaling laws and the FX coastline
WP025-08: J. B. Glattfelder; A. Dupuisy; R. B. Olsen
Estimating Multifactor Uncorrelated Vasicek and CIR Model for the UK Term
Structure
WP024-08: Jenny B. Castellanos Pinzon
Constant Proportion Portfolio Insurance: Statistical Properties and Practical
Implications
WP023-08: Anil Khuman; Dietmar Maringer; Nick Constantinou
Evolutionary Money Management
WP022-08: Philip Saks; Dietmar Maringer
Nonlinearities in Stochastic clocks
WP021-08: Rafael Velasco-Fuentes; Wing Lon Ng
Statistical Arbitrage with Genetic Programming
WP020-08: Philip Saks; Dietmar Maringer
Single versus Multiple Tree Genetic Programming for Dynamic Decision Making
WP019-08: Philip Saks; Dietmar Maringer
Evolutionary Learning of the Optimal Pricing Strategy in an Artificial Payment
Card Market
WP018-08: Biliana Alexandrova-Kabadjova; Edward Tsang; Andreas Krause
Competition is bad for consumers: Analysis of an Artificial Payment Card Market
WP017-08: Biliana Alexandrova-Kabadjova; Edward Tsang; Andreas Krause
Finding Profit-Maximizing Strategies for the Artificial Payment Card Market
WP016-08: Biliana Alexandrova-Kabadjova; Edward Tsang; Andreas Krause
Computational Intelligence Determines Effective Rationality
WP015-07: Edward Tsang
Risk Preferences and Loss Aversion in Portfolio Optimization
WP014-07: Dietmar Maringer
Generalized Extreme Value Distribution and Extreme Economic Value at Risk
(EE-VaR)
WP013-07: Amadeo Alentorn; Sheri Markose
Analyzing Liquidity and Absorption Limits of Electronic
Markets with Volume Durations
WP012-07: Wing Lon Ng
Dependence of - and Long Memory in - Exchange Rate Returns: Statistics,
Robustness, Time Aggregation
WP011-07: Peter Winker; Vahidin Jeleskovic
Smooth Transition Autoregressive Models - New Approaches to the Model Selection
Problem
WP010-06: Dietmar Maringer Mark Meyer
The Threshold Acceptance Optimization Heuristic in Economics and Statistics
WP009-06: Peter Winker; Dietmar Maringer
The Unconditional Distribution of Exchange Rate Returns: Statistics, Robustness,
Time Aggregation
WP008-06: Peter Winker; Vahidin Jeleskovic
An agent-based model of interactions in the payment card market
WP007-06: Biliana Alexandrova-Kabadjova; Andreas Krause; Edward Tsang
Market structure and information in payment card markets
WP006-06: Biliana Alexandrova-Kabadjova; Edward Tsang; Andreas Krause
Small is beautiful. Diversification with a limited number of assets
WP005-06: Dietmar Maringer
Levy processes driven by stochastic volatility
WP004-06: Kyriakos Chourdakis
Switching Levy models in continuous time: finite distributions and option
pricing
WP003-06: Kyriakos Chourdakis
Removing maturity effects of implied risk neutral densities and related
statistics
WP002-06: Amadeo Alentorn; Sheri Markose
The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option
Pricing
WP001-06: Sheri Markose; Amadeo Alentorn
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