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Volume 22, Issue 8

Quantitative Finance

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Quantitative Finance, Volume 22, Issue 8 (2022)

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Quantitative Finance, Volume 22, Issue 8 (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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Feature

Article

On detecting spoofing strategies in high-frequency trading

Xuan Tao, Andrew Day, Lan Ling & Samuel Drapeau

Pages: 1405-1425

Published online: 16 May 2022

AbstractforOn detecting spoofing strategies in high-frequency trading | Full Text | References | PDF (4.6 MB) | EPUB

615 Views
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Book Review

The Book of Alternative Data: A Guide for Investors, Traders and Risk Managers

by Alexander Denev and Saeed Amen, Wiley (2020). Hardback. ISBN: 9781119601814

Matthew Dixon

Pages: 1427-1428

Published online: 08 Jun 2022

CitationforThe Book of Alternative Data: A Guide for Investors, Traders and Risk Managers | Full Text | References | PDF (435.6 KB) | EPUB

730 Views
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Free Access

Research Papers

Article

Deep differentiable reinforcement learning and optimal trading

Thibault Jaisson

Pages: 1429-1443

Published online: 08 Jun 2022

AbstractforDeep differentiable reinforcement learning and optimal trading | Full Text | References | PDF (787.8 KB) | EPUB

526 Views
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Article

The reinforcement learning Kelly strategy

R. Jiang, D. Saunders & C. Weng

Pages: 1445-1464

Published online: 24 Mar 2022

AbstractforThe reinforcement learning Kelly strategy | Full Text | References | PDF (839 KB) | EPUB

681 Views
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Article

Robust deep hedging

Eva Lütkebohmert, Thorsten Schmidt & Julian Sester

Pages: 1465-1480

Published online: 25 Apr 2022

AbstractforRobust deep hedging | Full Text | References | PDF (1.5 MB) | EPUB

750 Views
3 CrossRef citations
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Article

An unsupervised deep learning approach to solving partial integro-differential equations

Weilong Fu & Ali Hirsa

Pages: 1481-1494

Published online: 24 Apr 2022

AbstractforAn unsupervised deep learning approach to solving partial integro-differential equations | Full Text | References | PDF (591.1 KB) | EPUB

400 Views
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Article

Forecasting with fractional Brownian motion: a financial perspective

Matthieu Garcin

Pages: 1495-1512

Published online: 20 May 2022

AbstractforForecasting with fractional Brownian motion: a financial perspective | Full Text | References | PDF (1.6 MB) | EPUB

454 Views
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Article

A generalized heterogeneous autoregressive model using market information

Rodrigo Hizmeri, Marwan Izzeldin, Ingmar Nolte & Vasileios Pappas

Pages: 1513-1534

Published online: 02 Jun 2022

AbstractforA generalized heterogeneous autoregressive model using market information | Full Text | References | PDF (1.5 MB) | EPUB

2878 Views
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Open Access

Article

Bayesian estimation of electricity price risk with a multi-factor mixture of densities

Li Kang, Stephen Walker, Paul Damien & Derek Bunn

Pages: 1535-1544

Published online: 25 Mar 2022

170 Views
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Article

Forecasting crude oil prices: do technical indicators need economic constraints?

Danyan Wen, Mengxi He, Li Liu & Yaojie Zhang

Pages: 1545-1559

Published online: 20 May 2022

364 Views
2 CrossRef citations
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Article

The volatility risk premium in the oil market

Ilia Bouchouev & Brett Johnson

Pages: 1561-1578

Published online: 18 May 2022

AbstractforThe volatility risk premium in the oil market | Full Text | References | PDF (2.3 MB) | EPUB

427 Views
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Quantitative Finance (Vol.22, Iss.8, 2022)

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