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Volume 22, Issue 11

Quantitative Finance

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Quantitative Finance, Volume 22, Issue 11 (2022)

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Quantitative Finance, Volume 22, Issue 11 (2022)

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Vol 24, 2024 Vol 23, 2023 Volume 22, 2022 Vol 21, 2021 Vol 20, 2020 Vol 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

When do systematic strategies decay?

Antoine Falck, Adam Rej & David Thesmar

Pages: 1955-1969

Published online: 08 Aug 2022

AbstractforWhen do systematic strategies decay? | Full Text | References | PDF (844.4 KB) | EPUB

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Open Access

Book Review

Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes

by Cornelis W. Oosterlee and Lech A. Grzelak, World Scientific Pub Co Inc (2019). Hardback. ISBN 978-1786348050.

Alessandro Gnoatto & Blanka Horvath

Pages: 1971-1972

Published online: 06 Oct 2022

CitationforMathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes | Full Text | PDF (558.7 KB) | EPUB

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Research Papers

Article

Learning a functional control for high-frequency finance

L. Leal, M. Lauriere & C.-A. Lehalle

Pages: 1973-1987

Published online: 23 Aug 2022

AbstractforLearning a functional control for high-frequency finance | Full Text | References | PDF (1.5 MB) | EPUB

478 Views
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Article

A deep learning approach to estimating fill probabilities in a limit order book

Costis Maglaras, Ciamac C. Moallemi & Muye Wang

Pages: 1989-2003

Published online: 04 Oct 2022

AbstractforA deep learning approach to estimating fill probabilities in a limit order book | Full Text | References | PDF (766.5 KB) | EPUB

550 Views
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Article

Cooperation between independent market makers

Bingyan Han

Pages: 2005-2019

Published online: 28 Jul 2022

AbstractforCooperation between independent market makers | Full Text | References | PDF (1.3 MB) | EPUB

267 Views
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Article

A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes

Liang-Chih Liu, Tian-Shyr Dai, Hao-Han Chang & Lei Zhou

Pages: 2021-2045

Published online: 20 Sep 2022

AbstractforA novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes | Full Text | References | PDF (1.5 MB) | EPUB

282 Views
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Article

Forecasting interval-valued crude oil prices using asymmetric interval models

Quanying Lu, Yuying Sun, Yongmiao Hong & Shouyang Wang

Pages: 2047-2061

Published online: 15 Sep 2022

AbstractforForecasting interval-valued crude oil prices using asymmetric interval models | Full Text | References | PDF (889.6 KB) | EPUB

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Article

Higher moments in the fundamental specification of electricity forward prices

Angelica Gianfreda, Giacomo Scandolo & Derek W. Bunn

Pages: 2063-2078

Published online: 29 Sep 2022

AbstractforHigher moments in the fundamental specification of electricity forward prices | Full Text | References | PDF (1.2 MB) | EPUB

184 Views
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Article

Bitcoin: jumps, convenience yields, and option prices

Jimmy E. Hilliard & Julie T. D. Ngo

Pages: 2079-2091

Published online: 05 Sep 2022

AbstractforBitcoin: jumps, convenience yields, and option prices | Full Text | References | PDF (1,017.3 KB) | EPUB

2292 Views
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Open Access

Article

High-dimensional realized covariance estimation: a parametric approach

G. Buccheri & G. Mboussa Anga

Pages: 2093-2107

Published online: 31 Aug 2022

265 Views
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Article

Valuing real options with endogenous payoff

Kyoung Jin Choi & Minsuk Kwak

Pages: 2109-2123

Published online: 28 Jul 2022

AbstractforValuing real options with endogenous payoff | Full Text | References | PDF (401 KB) | EPUB

205 Views
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Article

Peer effects in professional analysts’ choice of their portfolio of companies

Victor Fang, Lutz Honvehlmann & Thomas Lux

Pages: 2125-2137

Published online: 27 Sep 2022

AbstractforPeer effects in professional analysts’ choice of their portfolio of companies | Full Text | References | PDF (411.4 KB) | EPUB

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Quantitative Finance (Vol.22, Iss.11, 2022)

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