This note is best described as a ‘Research Challenge’, and concerns building an ultra high frequency (UHF) trading system. The emphasis is on addressing the problems posed by ...
We give an approximate and often extremely fast method of building a particular kind of portfolio in finance, here called a portfolio design (PD), with applications in the credit ...
Pierre Flener, Justin Pearson, Luis G. Reyna, Olof...
- As mobile devices have been popular, many wireless applications for mobile devices have been developed. One of applications is to represent financial transaction report for a pro...
Jongwook Woo, Dong-Yon Kim, Wonhong Cho, MinSeok J...
A recent study by two prominent finance researchers, Fama and French, introduces a new framework for studying risk vs. return: the migration of stocks across size-value portfolio ...
Xiaoxi Du, Ruoming Jin, Liang Ding, Victor E. Lee,...
The paper presents an overview of financial applications of copulas. Copulas permit to represent joint distribution functions by splitting the marginal behavior, embedded in the ma...