Volume 13; Issue 9

Quantitative Finance

Volume 13; Issue 9
1

Pairs trading based on statistical variability of the spread process

Bogomolov, Timofei
Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 685 KB
english, 2013
2

Optimal trade execution under price-sensitive risk preferences

Ankirchner, Stefan, Kruse, Thomas
Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 419 KB
english, 2013
3

A mean/variance approach to long-term fixed-income portfolio allocation

Zumbach, Gilles
Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 735 KB
english, 2013
4

Good times, bad times: inflation uncertainty and equity returns

Galsband, Victoria
Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 442 KB
english, 2013
5

A moment matching market implied calibration

Guillaume, Florence, Schoutens, Wim
Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 1.13 MB
english, 2013
6

Modeling trade duration in U.S. Treasury markets

Dungey, Mardi, Henry, Olan, Mckenzie, Michael
Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 354 KB
english, 2013
7

Block bootstrap methods and the choice of stocks for the long run

Cogneau, Philippe, Zakamouline, Valeri
Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 323 KB
english, 2013
9

Impact of meta-order in the Minority Game

Barato, A. C., Mastromatteo, I., Bardoscia, M., Marsili, M.
Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 584 KB
english, 2013
10

Relative forecasting performance of volatility models: Monte Carlo evidence

Lux, Thomas, Morales-Arias, Leonardo
Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 411 KB
english, 2013
11

Time consistency of dynamic risk measures in markets with transaction costs

Feinstein, Zachary, Rudloff, Birgit
Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 387 KB
english, 2013
12

Numerical Solution of Stochastic Differential Equations with Jumps in Finance

Papanicolaou, Andrew
Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 239 KB
english, 2013
13

Calendar

Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 49 KB
english, 2013