Quantitative Finance, Volume 15, Issue 8 (2015)

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Quantitative Finance, Volume 15, Issue 8 (2015)

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Special Issue on High Frequency Data Modeling in Finance

Features

Stochastic portfolio theory optimization and the origin of rule-based investing
Gianluca Oderda
Pages: 1259-1266
Published online: 09 Jul 2015
First Page PreviewforStochastic portfolio theory optimization and the origin of rule-based investing | Full Text | References | PDF (294.1 KB)
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Book review

Book Review
High-frequency Trading
Riccardo Rebonato
Pages: 1267-1271
Published online: 09 Jul 2015
First Page PreviewforHigh-frequency Trading | Full Text | References | PDF (160.9 KB)
  • 818 Views
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Free Access

Calendar

Calendar
Calendar
Page: 1273
Published online: 09 Jul 2015
CitationforCalendar | Full Text | PDF (40.3 KB)
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Foreword

Special Issue of Quantitative Finance on ‘High Frequency Data Modeling in Finance’
Ionut Florescu, Maria C. Mariani, H. Eugene Stanley & Frederi G. Viens
Page: 1277
Published online: 09 Jul 2015
CitationforSpecial Issue of Quantitative Finance on ‘High Frequency Data Modeling in Finance’ | Full Text | PDF (70.6 KB)
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Research Papers

Article
Optimal execution with limit and market orders
Álvaro Cartea & Sebastian Jaimungal
Pages: 1279-1291
Published online: 07 May 2015
AbstractforOptimal execution with limit and market orders | Full Text | References | PDF (679.9 KB)
  • 1628 Views
  • 55 CrossRef citations
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Article
Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
V. Filimonov & D. Sornette
Pages: 1293-1314
Published online: 11 May 2015
AbstractforApparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data | Full Text | References | PDF (1.1 MB)
  • 709 Views
  • 57 CrossRef citations
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Article
Modelling high-frequency limit order book dynamics with support vector machines
Alec N. Kercheval & Yuan Zhang
Pages: 1315-1329
Published online: 02 Jun 2015
AbstractforModelling high-frequency limit order book dynamics with support vector machines | Full Text | References | PDF (921.4 KB)
  • 2460 Views
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Article
High-frequency volatility of volatility estimation free from spot volatility estimates
Simona Sanfelici, Imma Valentina Curato & Maria Elvira Mancino
Pages: 1331-1345
Published online: 11 May 2015
AbstractforHigh-frequency volatility of volatility estimation free from spot volatility estimates | Full Text | References | PDF (717 KB)
  • 503 Views
  • 17 CrossRef citations
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Article
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
Jozef Barunik & Lukas Vacha
Pages: 1347-1364
Published online: 11 May 2015
AbstractforRealized wavelet-based estimation of integrated variance and jumps in the presence of noise | Full Text | References | PDF (1.9 MB)
  • 348 Views
  • 18 CrossRef citations
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Article
Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data
Maria Pia Beccar Varela, Francis Biney & Ionut Florescu
Pages: 1365-1374
Published online: 11 May 2015
AbstractforLong correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data | Full Text | References | PDF (162.9 KB)
  • 235 Views
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Article
Emergence of statistically validated financial intraday lead-lag relationships
Chester Curme, Michele Tumminello, Rosario N. Mantegna, H. Eugene Stanley & Dror Y. Kenett
Pages: 1375-1386
Published online: 07 May 2015
AbstractforEmergence of statistically validated financial intraday lead-lag relationships | Full Text | References | PDF (1.1 MB)
  • 759 Views
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Article
Evolution of high-frequency systematic trading: a performance-driven gradient boosting model
Nan Zhou, Wen Cheng, Yichen Qin & Zongcheng Yin
Pages: 1387-1403
Published online: 09 Jul 2015
AbstractforEvolution of high-frequency systematic trading: a performance-driven gradient boosting model | Full Text | References | PDF (1.5 MB)
  • 741 Views
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Article
Can a corporate network and news sentiment improve portfolio optimization using the Black–Litterman model?
Germán G. Creamer
Pages: 1405-1416
Published online: 02 Jun 2015
AbstractforCan a corporate network and news sentiment improve portfolio optimization using the Black–Litterman model? | Full Text | References | PDF (1.2 MB)
  • 1019 Views
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Article
Numerical methods applied to option pricing models with transaction costs and stochastic volatility
Maria C. Mariani, Indranil SenGupta & Granville Sewell
Pages: 1417-1424
Published online: 13 May 2015
AbstractforNumerical methods applied to option pricing models with transaction costs and stochastic volatility | Full Text | References | PDF (456.5 KB)
  • 345 Views
  • 6 CrossRef citations
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Article
High-performance financial simulation using randomized quasi-Monte Carlo methods
Linlin Xu & Giray Ökten
Pages: 1425-1436
Published online: 11 May 2015
AbstractforHigh-performance financial simulation using randomized quasi-Monte Carlo methods | Full Text | References | PDF (1 MB)
  • 393 Views
  • 5 CrossRef citations
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