1.
Stevens Institute of Technology가 주최하는 4th Annual Modeling High Frequency Data in Finance Conference 이 작년에 있었습니다. 주제는 아래입니다.
- Mathematical, Statistical and Computer Science models for data sampled with high frequency
- Market Micro-structure theory and practice
- Multi-scale modeling of financial events
- Trading rules and strategies when using high frequency data
- Regulatory aspects of financial Markets
- Systemic risk
2013년 10월 말에 다섯번째 행사가 열립니다.
- Mathematical, Statistical and Computer Science models for data sampled with high frequency
- Market Micro-structure theory and practice
- Multi-scale modeling of financial events
- Trading rules and strategies when using high frequency data
- Regulatory aspects of financial Markets
- Systemic risk
아마도 작년에 북마크를 해놓은 행사입니다. 주제가 HFT Modeling이니까 관심을 가졌습니다. 1년이 지나니까 자료가 올라오네요.(^^) 이 행사에서 펴낸 책도 있습니다. 한번 목차를 살펴보시길 바랍니다.
The Handbook of High-Frequency Trading and Modeling in Finance
2.
이제 2012년도 발표문입니다.
Alec Schmidt,Business Development & Research, ICAP Electronic Broking
High-frequency trading in the modern institutional spot FX marketCostis Maglaras and Hua Zhang, Graduate School of Business, Columbia University
Optimal Order Routing in a Fragmented Market.Sasha Stoikov, Head of research Cornell Financial Engineering Manhattan, Senior researcher, ORIE, Cornell University
Optimal Asset Liquidation using Limit Order Book Information.Nan Zhou, Quantitative Research, J.P. Morgan
Non-Linear Supervised High Frequency Trading Strategies with Applications in US Equity Markets.Tobias Preis, Founder and Managing Director Artemis Capital Asset Management GmbH, Boston University, University College London, Chair of Sociology at ETH Zurich
Quantifying Financial Market Fluctuations Using Big DataGiray Okten,Department of Mathematics, Florida State University
Monte Carlo and Randomized Quasi-Monte Carlo methods on GPU.Olympia Hadjiliadis, Dept of Mathematics, Brooklyn College and Graduate Center, City University of New York
The price of a market crash and drawdown insurance.Vladimir Filimonov, Chair of Entrepreneurial Risks, ETH Zurich, Swiss
Quantifying reflexivity in financial markets: towards a prediction of flash crashes Part1
Quantifying reflexivity in financial markets: towards a prediction of flash crashes Part2.Goong Chen, Department of Mathematical Sciences, Texas A&M University
Notes on the Fourier Spectrum of Functions and Oscillatory Curves.Thomas Lonon, Math, Stevens Institute of Technology
Option Pricing Utilizing A Jump Diffusion Model With A Log Mixture Normal Jump Distribution.Peter Carr and Jiming Yu, Global Head of Market Modeling, Morgan Stanley and Executive Director of the Math. Finance program at Courant Institute, NYU
Risk, Return and Ross Recovery, forthcoming in Journal of Derivatives
Crystal Ball Gazing, the Ross Recovery Theorem and SphericaL Harmonics.Alexey Zemnitskiy,Founder & CEO, Snowfall Systems, Inc.
Computational challenges in HF Volatility Estimation.Ciamac Moallemi,Graduate School of Business, Columbia University
Dynamic Portfolio Choice with Linear Rebalancing Rules.Josef Barunik,Charles University and Academy of Sciences, Czech Republic
Realized Wavelet Jump-Garch Model: Can Wavelet Decomposition Of Volatility Improve It’S Forecasting?.Robert Almgren,Co-founder and Head of research for Quantitative Brokers and Adjunct professor, NYU
The effects of information events on high frequency market data Part1
The effects of information events on high frequency market data Part2.Kurtas Erozan, Assistant Director, U.S. Securities and Exchange Commission
Compliance and Risk Management in 21st CenturyAlexander Shklyarevsky,Global Markets Risk Management, Bank of America
Cross-fertilization of ODE, PDE, PIDE and related analytical approaches used in Physics and in UHF Data and Quantitative Finance Modeling.Ruihua Liu,Dept of Mathematics, University of Dayton
Optimal Investment and Consumption Problem in Regime-Switching ModelGeng Jian, Dept of Mathematics, Florida State University
Non-parametric calibration of the local volatility surface for European Options Part1
Non-parametric calibration of the local volatility surface for European Options Part2Yuta Koite, University of Tokio, Japan
An Estimator for the cumulative Co-Volatility of nonsynchronously observed Semimartingales with jumps and noiseTerry Stratoudakis, Executive Director, Wall Street FPGA, LLC
Survey of High Performance Computing in Financial ServicesK.K. Thampi,Dept. of Mathematics and Statistics, Mahatma Gandhi University, India
Asymptotic behavior of finite time ruin probabilities of a dependent risk model with constant force of interest
3.
오래전에 북마크를 해놓았던 사이트를 두개 더 소개합니다.
첫째는 Notes on Quantitative Analysis in Finance입니다. 러시아출신으로 Wachovia Securities, Market Risk Analytics (Equities)에서 Vice President를 했던 Konstantin G. Aslanidi가 운영하는 곳입니다. 정략적 분석과 관련한 지식과 경험을 정리하여 소개하고 PDF로 만들어 판매도 합니다. 정략적 분석을 위해 필요한 프로그래맹기술도 자세히 정리해놓고 있습니다. Python이나 Excel에 유용한 도구가 제공합니다.
둘째는 Anthony Bradford이 운용하는 OptionMatrix입니다. 파생상품 계산기라고 소개하고 있습니다. 오픈소스입니다. OptionMatrix는 A a library financial options-related functions인 Metaoptions라는 라이브러리를 기반으로 개발하였습니다. 옵션과 관련한 거의 대부분의 금융공학적 함수들을 C로 구현했습니다.
