In this thesis, problems in the realm of high frequency trading and optimal market making are established and solved in both single asset and multiple asset economies. For an agent that is averse to holding large inventories for long periods of time, optimal high frequency trading strategies are...

In this paper, we establish a link between quantum stochastic processes, and non-local diffusions. We demonstrate how the non-commutative Black-Scholes equation of Accardi & Boukas (Luigi Accardi, Andreas Boukas, The Quantum Black-Scholes Equation, Global Journal of Pure and Applied Mathematics,...

We use the Least Absolute Shrinkage and Selection Operator (LASSO) quantile regression technique to construct and analyse the complete tail risk connectedness network of the whole US industry system. We also investigate the empirical relationship between input-output linkages and the tail risk...

A barrier option is a derivative instrument whose payoff is dependent on the path of the underlying security up to maturity. We design a pricing system using Finite Differences to investigate the properties of and price options with exotic barrier features. The system determines the payoff,...

We present an enterprise design pattern for managing metadata in support of financial analytics packages. The complexity of financial modeling typically requires deployment of multiple financial analytics packages, drawing data from multiple source systems. Business domain experts are typically...

We introduce human traders into an agent based financial market simulation prone to bubbles and crashes. We find that human traders earn lower profits overall than do the simulated agents (robots) but earn higher profits in the most crash-intensive periods. Inexperienced human traders tend to...

We entertain the possibility of pervasive factors that are not common across two (or more) groups of securities. We propose a general procedure to estimate the space spanned by the common pervasive and group-specific pervasive factors. In our empirical analysis, we study the factor structure of...

A family of Exponentially Fitted Block Backward Differentiation Formulas (EFBBDFs) whose coefficients depend on a parameter and step-size is developed and implemented on the Black-Scholes partial differential equation (PDE) for the valuation of options on a non-dividend-paying stock. Specific...

Investors take for granted that returns are recorded in units of time, such as days, months, or years. Yet some time periods include unusual events that reasonably cause asset prices to change, whereas other periods are relatively free of unusual events, in which case returns mostly reflect...

In investment appraisal, uncertainty can be managed through intervals or fuzzy numbers because the arithmetical properties and the extension principle are well established and can be successfully applied in a rigorous way. We apply interval and fuzzy numbers to the Average Internal Rate of...