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An optimal control strategy for execution of large stock orders using long short-term memory networks
Papanicolaou, Andrew; Fu, Hao; Krishnamurthy, Prashanth; … - In: The journal of computational finance 26 (2023) 4, pp. 37-65
Persistent link: https://www.econbiz.de/10014342063
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Optimization of multi-type traffic sensor locations for estimation of multi-period origin-destination demands with covariance effects
Fu, Hao; Lam, William H. K.; Shao, Hu; Kattan, Lina; … - In: Transportation research / E : an international journal 157 (2022), pp. 1-28
Persistent link: https://www.econbiz.de/10013169863
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Financial fraud detection model : based on random forest
Liu, Chengwei; Chan, Yixiang; Kazmi, Syed Hasnain Alam; … - In: International journal of economics and finance 7 (2015) 7, pp. 178-188
Persistent link: https://www.econbiz.de/10011334071
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Consistent time-homogeneous modeling of SPX and VIX derivatives
Papanicolaou, Andrew - In: Mathematical finance : an international journal of … 32 (2022) 3, pp. 907-940
Persistent link: https://www.econbiz.de/10013331067
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Principal Eigenportfolios for U.S. Equities
Avellaneda, Marco; Healy, Brian; Papanicolaou, Andrew; … - 2022
We analyze portfolios constructed from the principal eigenvector of the equity re- turns’ correlation matrix and compare these portfolios with the capitalization weighted market portfolio. It is well known empirically that principal eigenportfolios are a good proxy for the market portfolio. We...
Persistent link: https://www.econbiz.de/10013323371
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Implied filtering densities on the hidden state of stochastic volatility
Fuertes, Carlos; Papanicolaou, Andrew - In: Applied mathematical finance 21 (2014) 5/6, pp. 483-522
Persistent link: https://www.econbiz.de/10010500874
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Trading signals in VIX futures
Avellaneda, Marco; Li, Thomas Nanfeng; Papanicolaou, Andrew - In: Applied mathematical finance 28 (2021) 3, pp. 275-298
Persistent link: https://www.econbiz.de/10013171072
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A functional analysis approach to the static replication of European options
Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew - In: Quantitative finance 21 (2021) 4, pp. 637-655
Persistent link: https://www.econbiz.de/10012483843
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Pairs trading of two assets with uncertainty in co-integration's level of mean reversion
Lee, Sangmin; Papanicolaou, Andrew - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10011686768
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Statistics of VIX futures and their applications to trading volatility exchange-traded products
Avellaneda, Marco; Papanicolaou, Andrew - In: The journal of investment strategies 7 (2018) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10011880127