We consider a tractable affine stochastic volatility model that generalizes the seminal Heston (1993) model by augmenting it with jumps in the instantaneous variance process. In this framework, we consider options written on the realized variance, and we examine the impact of the distribution of...

We build an optimal trading model for submitting market orders in volatile market. We show some analytical properties of our computational solution. We conduct simulation and empirical study to investigate the model performance. In comparison with other two alternative models, the empirical...

We define and study a correlation based notion of equity market centrality. This is pursued by examining the minimum spanning tree of a complete market graph that represents trading pattern similarities between the members of indices of equity securities. Specifically, we consider the degree...

A large variety of information flows through a financial services firm. This information can come from a variety of sources, both external and internal. It is a significant task to reconcile the data from multiple sources and ensure that it is correct before being used within the firm.In this...

A trader's execution strategy has a large effect on his profits. Identifying an optimal strategy, however, is often frustrated by the complexity of market microstructure's. We analyse an order book based continuous double auction market under two different models of trader's behaviour. In the...

This article represents working notes about algorithmic finance, designed as an introduction to the basic equations that drive financial planning algorithms. They focus on establishing closed form solutions to the problem of finding the maximum amount of money that an investor may withdraw from...

Integrated Trend Analysis is an attempt to study and analysis the diverse forces which affect the price of a security with the help of Triple Trend Oscillator (TTO). TTO is a trend following oscillator devised to identify the exact technical strength of a stock or indices over multiple...

We consider a simple investment project with the following parameters: I0: Initial investment which is amortizable in n years; n: Number of years the investment allows production with constant output per year; A0: Annual amortization (A=I/n); Q0: Quantity of products sold per year; Cv0: Variable...

This paper will give a brief overview of the work of introducing machine learning intelligence in the Kineta e-markets system, to facilitate auto-hedging, smart price engine algorithms and proprietary automatic positioning within the foreign exchange market. In this paper we will give a brief...