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Volume 15, Issue 10

Quantitative Finance

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Quantitative Finance, Volume 15, Issue 10 (2015)

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Quantitative Finance, Volume 15, Issue 10 (2015)

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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 Vol 17, 2017 Vol 16, 2016 Volume 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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Special Issue on Financial Data Analytics

Features

Stochastic volatility with heterogeneous time scales

D. Delpini & G. Bormetti

Pages: 1597-1608

Published online: 16 Sep 2015

First Page PreviewforStochastic volatility with heterogeneous time scales | Full Text | References | PDF (409.8 KB)

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Book Review

Yield Curve Modeling and Forecasting—The Dynamic Nelson–Siegel Approach

Riccardo Rebonato

Pages: 1609-1612

Published online: 25 Feb 2015

First Page PreviewforYield Curve Modeling and Forecasting—The Dynamic Nelson–Siegel Approach | Full Text | References | PDF (208.2 KB)

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Free Access

Calendar

Page: 1613

Published online: 16 Sep 2015

CitationforCalendar | Full Text | PDF (38.5 KB)

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Foreword

Special Issue of Quantitative Finance on ‘Financial Data Analytics’

Jessica James, Dietmar Maringer, Vasile Palade & Antoaneta Serguieva

Page: 1617

Published online: 16 Sep 2015

CitationforSpecial Issue of Quantitative Finance on ‘Financial Data Analytics’ | Full Text | PDF (71.4 KB)

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Research Papers

Article

Bank networks from text: interrelations, centrality and determinants

Samuel Rönnqvist & Peter Sarlin

Pages: 1619-1635

Published online: 16 Sep 2015

AbstractforBank networks from text: interrelations, centrality and determinants | Full Text | References | PDF (1.4 MB)

554 Views
23 CrossRef citations
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Article

Twitter financial community sentiment and its predictive relationship to stock market movement

Steve Y. Yang, Sheung Yin Kevin Mo & Anqi Liu

Pages: 1637-1656

Published online: 16 Sep 2015

AbstractforTwitter financial community sentiment and its predictive relationship to stock market movement | Full Text | References | PDF (1.1 MB)

2816 Views
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Article

Data-driven methods for equity similarity prediction

John Robert Yaros & Tomasz Imieliński

Pages: 1657-1681

Published online: 16 Sep 2015

AbstractforData-driven methods for equity similarity prediction | Full Text | References | PDF (1.4 MB)

378 Views
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Article

Gaussian process-based algorithmic trading strategy identification

Steve Y. Yang, Qifeng Qiao, Peter A. Beling, William T. Scherer & Andrei A. Kirilenko

Pages: 1683-1703

Published online: 12 Mar 2015

AbstractforGaussian process-based algorithmic trading strategy identification | Full Text | References | PDF (1.9 MB)

13317 Views
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Open Access

Article

Hedge fund replication with a genetic algorithm: breeding a usable mousetrap

Brian C. Payne & Jiri Tresl

Pages: 1705-1726

Published online: 28 Nov 2014

AbstractforHedge fund replication with a genetic algorithm: breeding a usable mousetrap | Full Text | References | PDF (1.9 MB)

409 Views
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Article

An analysis of price impact functions of individual trades on the London stock exchange

M. Wilinski, Wei Cui, A. Brabazon & P. Hamill

Pages: 1727-1735

Published online: 16 Sep 2015

AbstractforAn analysis of price impact functions of individual trades on the London stock exchange | Full Text | References | PDF (572 KB)

382 Views
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Article

Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data

Efstathios Panayi, Gareth W. Peters & Ioannis Kosmidis

Pages: 1737-1758

Published online: 16 Sep 2015

AbstractforLiquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data | Full Text | References | PDF (1.8 MB)

338 Views
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Quantitative Finance (Vol.15, Iss.10, 2015)

Special Issue on Financial Data Analytics

Special Issue on Financial Data Analytics

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