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Volume 17, Issue 5

Quantitative Finance

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Quantitative Finance, Volume 17, Issue 5 (2017)

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Quantitative Finance, Volume 17, Issue 5 (2017)

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Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Vol 21, 2021 Vol 20, 2020 Vol 19, 2019 Vol 18, 2018 Volume 17, 2017 Vol 16, 2016 Vol 15, 2015 Vol 14, 2014 Vol 13, 2013 Vol 12, 2012 Vol 11, 2011 Vol 10, 2010 Vol 9, 2009 Vol 8, 2008 Vol 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001

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Features

Article

Birth or burst of financial bubbles: which one is easier to diagnose?

G. Demos & D. Sornette

Pages: 657-675

Published online: 23 Nov 2016

First Page PreviewforBirth or burst of financial bubbles: which one is easier to diagnose? | Full Text | References | PDF (2.4 MB) | Supplemental

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Book review

Book Review

Asset Management: A Systematic Approach to Factor Investing

Riccardo Rebonato

Pages: 677-680

Published online: 06 Mar 2017

First Page PreviewforAsset Management: A Systematic Approach to Factor Investing | Full Text | References | PDF (185 KB)

821 Views
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Free Access

Calendar

Page: 681

Published online: 07 Apr 2017

CitationforCalendar | Full Text | PDF (39.7 KB)

19 Views
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Research Papers

Article

Modelling intensities of order flows in a limit order book

Ioane Muni Toke & Nakahiro Yoshida

Pages: 683-701

Published online: 04 Nov 2016

AbstractforModelling intensities of order flows in a limit order book | Full Text | References | PDF (1.5 MB)

632 Views
10 CrossRef citations
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Article

Model-based pairs trading in the bitcoin markets

P. S. Lintilhac & A. Tourin

Pages: 703-716

Published online: 04 Nov 2016

AbstractforModel-based pairs trading in the bitcoin markets | Full Text | References | PDF (1.1 MB)

1914 Views
54 CrossRef citations
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Article

Low-latency liquidity inefficiency strategies

Christian Oesch & Dietmar Maringer

Pages: 717-727

Published online: 04 Nov 2016

AbstractforLow-latency liquidity inefficiency strategies | Full Text | References | PDF (379.1 KB)

468 Views
2 CrossRef citations
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Article

Tail-risk protection trading strategies

N. Packham, J. Papenbrock, P. Schwendner & F. Woebbeking

Pages: 729-744

Published online: 18 Nov 2016

AbstractforTail-risk protection trading strategies | Full Text | References | PDF (2.1 MB)

3767 Views
11 CrossRef citations
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Open Access

Article

The dynamics of leveraged ETFs returns: a panel data study

Antoine Giannetti

Pages: 745-761

Published online: 04 Nov 2016

AbstractforThe dynamics of leveraged ETFs returns: a panel data study | Full Text | References | PDF (810.4 KB)

372 Views
2 CrossRef citations
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Article

Binary switch portfolio

Tengfei Li, Kani Chen, Yang Feng & Zhiliang Ying

Pages: 763-780

Published online: 04 Nov 2016

AbstractforBinary switch portfolio | Full Text | References | PDF (999.6 KB)

507 Views
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Article

Interacting default intensity with a hidden Markov process

Feng-Hui Yu, Wai-Ki Ching, Jia-Wen Gu & Tak-Kuen Siu

Pages: 781-794

Published online: 07 Nov 2016

AbstractforInteracting default intensity with a hidden Markov process | Full Text | References | PDF (480.4 KB)

296 Views
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Article

Predictability of structural co-movement in commodity prices: the role of technical indicators

Libo Yin, Qingyuan Yang & Zhi Su

Pages: 795-812

Published online: 04 Nov 2016

AbstractforPredictability of structural co-movement in commodity prices: the role of technical indicators | Full Text | References | PDF (415.1 KB)

529 Views
18 CrossRef citations
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