1

Modelling high-frequency limit order book dynamics with support vector machines

Kercheval, Alec N., Zhang, Yuan
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 1.08 MB
english, 2015
3

Modeling Credit Risk

Kercheval, Alec, Goldberg, Lisa R, Breger, Ludovic
Journal:
The Journal of Portfolio Management
Year:
2003
Language:
english
File:
PDF, 557 KB
english, 2003
5

Portfolio optimization for student t and skewed t returns

Hu, Wenbo, Kercheval, Alec N.
Journal:
Quantitative Finance
Year:
2010
Language:
english
File:
PDF, 867 KB
english, 2010
7

A Structural Jump Threshold Framework for Credit Risk

Garreau, Pierre, Kercheval, Alec
Journal:
SIAM Journal on Financial Mathematics
Year:
2016
Language:
english
File:
PDF, 510 KB
english, 2016
8

A generalized birth–death stochastic model for high-frequency order book dynamics

Huang, He, Kercheval, Alec N.
Journal:
Quantitative Finance
Year:
2012
Language:
english
File:
PDF, 224 KB
english, 2012
9

Denjoy minimal sets are far from affine

KERCHEVAL, ALEC NORTON
Journal:
Ergodic Theory and Dynamical Systems
Year:
2002
Language:
english
File:
PDF, 284 KB
english, 2002
11

t ‐statistics for weighted means in credit risk modeling

Goldberg, Lisa R., Kercheval, Alec N., Lee, Kiseop
Journal:
The Journal of Risk Finance
Year:
2005
Language:
english
File:
PDF, 256 KB
english, 2005