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Computational Finance

Authors and titles for recent submissions

[ total of 5 entries: 1-5 ]
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Thu, 17 May 2018

[1]  arXiv:1805.06126 [pdf, other]
Title: Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy
Comments: 56 pages, 3 figures
Subjects: Computational Finance (q-fin.CP); Artificial Intelligence (cs.AI); Learning (cs.LG); Adaptation and Self-Organizing Systems (nlin.AO); Portfolio Management (q-fin.PM)

Wed, 16 May 2018

[2]  arXiv:1805.05617 [pdf, other]
Title: Aggregating multiple types of complex data in stock market prediction: A model-independent framework
Subjects: Computational Finance (q-fin.CP); Computational Engineering, Finance, and Science (cs.CE); Applications (stat.AP)

Tue, 15 May 2018

[3]  arXiv:1805.04704 (cross-list from q-fin.PR) [pdf, other]
Title: The Heston stochastic volatility model with piecewise constant parameters - efficient calibration and pricing of window barrier options
Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP)

Wed, 9 May 2018

[4]  arXiv:1805.03172 (cross-list from q-fin.PR) [pdf, other]
Title: Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options
Authors: Jaehyuk Choi
Journal-ref: Journal of Futures Markets, 38(6):627-644, 2018
Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF)

Fri, 4 May 2018

[5]  arXiv:1805.00558 (cross-list from physics.soc-ph) [pdf, other]
Title: Sentiment-Based Prediction of Alternative Cryptocurrency Price Fluctuations Using Gradient Boosting Tree Model
Comments: working paper. comments are welcome
Subjects: Physics and Society (physics.soc-ph); Computational Finance (q-fin.CP)
[ total of 5 entries: 1-5 ]
[ showing up to 25 entries per page: fewer | more ]

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