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Volume 19, Issue 7

Quantitative Finance

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Quantitative Finance, Volume 19, Issue 7 (2019)

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Quantitative Finance, Volume 19, Issue 7 (2019)

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Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Vol 21, 2021 Vol 20, 2020 Volume 19, 2019 Vol 18, 2018 Vol 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

Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation

Nathalie Oriol & Iryna Veryzhenko

Pages: 1075-1092

Published online: 16 Jan 2019

AbstractforMarket structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation | Full Text | References | PDF (2.8 MB) | EPUB

471 Views
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Book review

Book Review

The Economic Foundations of Risk Management

Natalie Packham

Pages: 1093-1094

Published online: 03 Jun 2019

CitationforThe Economic Foundations of Risk Management | Full Text | PDF (353.1 KB) | EPUB

326 Views
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Free Access

Calendar

Page: 1095

Published online: 03 Jun 2019

CitationforCalendar | Full Text | PDF (498.5 KB) | EPUB

23 Views
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Research Papers

Article

Stochastic regularization for the mean-variance allocation scheme

Gilles Zumbach

Pages: 1097-1120

Published online: 12 Feb 2019

AbstractforStochastic regularization for the mean-variance allocation scheme | Full Text | References | PDF (386.1 KB) | EPUB

215 Views
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Article

Enhancing the momentum strategy through deep regression

Saejoon Kim

Pages: 1121-1133

Published online: 25 Jan 2019

AbstractforEnhancing the momentum strategy through deep regression | Full Text | References | PDF (1.1 MB) | EPUB

1573 Views
11 CrossRef citations
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Article

Optimal investment and consumption under a continuous-time cointegration model with exponential utility

Guiyuan Ma & Song-Ping Zhu

Pages: 1135-1149

Published online: 14 Feb 2019

AbstractforOptimal investment and consumption under a continuous-time cointegration model with exponential utility | Full Text | References | PDF (605.1 KB) | EPUB

842 Views
20 CrossRef citations
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Article

Stock market uncertainty and economic fundamentals: an entropy-based approach

K. Ahn, D. Lee, S. Sohn & B. Yang

Pages: 1151-1163

Published online: 19 Mar 2019

AbstractforStock market uncertainty and economic fundamentals: an entropy-based approach | Full Text | References | PDF (619.2 KB) | EPUB

1289 Views
27 CrossRef citations
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Article

The endo–exo problem in high frequency financial price fluctuations and rejecting criticality

Spencer Wheatley, Alexander Wehrli & Didier Sornette

Pages: 1165-1178

Published online: 11 Jan 2019

AbstractforThe endo–exo problem in high frequency financial price fluctuations and rejecting criticality | Full Text | References | PDF (978.6 KB) | EPUB

509 Views
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Article

The influence of intraday seasonality on volatility transmission pattern

N. Alemany, V. Aragó & E. Salvador

Pages: 1179-1197

Published online: 25 Jan 2019

AbstractforThe influence of intraday seasonality on volatility transmission pattern | Full Text | References | PDF (3 MB) | EPUB

270 Views
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Article

A systematic and efficient simulation scheme for the Greeks of financial derivatives

Yuh-Dauh Lyuu, Huei-Wen Teng, Yao-Te Tseng & Sheng-Xiang Wang

Pages: 1199-1219

Published online: 25 Jan 2019

AbstractforA systematic and efficient simulation scheme for the Greeks of financial derivatives | Full Text | References | PDF (727.2 KB) | EPUB

451 Views
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Article

Operational risk quantified with spectral risk measures: a refined closed-form approximation

Bin Tong, Xundi Diao & Chongfeng Wu

Pages: 1221-1242

Published online: 25 Jan 2019

AbstractforOperational risk quantified with spectral risk measures: a refined closed-form approximation | Full Text | References | PDF (1 MB) | EPUB

324 Views
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Article

A new mixture cure model under competing risks to score online consumer loans

Nailong Zhang, Qingyu Yang, Aidan Kelleher & Wujun Si

Pages: 1243-1253

Published online: 18 Jan 2019

AbstractforA new mixture cure model under competing risks to score online consumer loans | Full Text | References | PDF (481.8 KB) | EPUB

486 Views
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Quantitative Finance (Vol.19, Iss.7, 2019)

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