downloads

Many of our projects involve expertise in areas which also have some potential for publication, some of which are listed below:

  • My thesis: Data-Driven Models & Mathematical Finance: Opposition or Apposition? (download available upon private request)
  • Presentation: A Bottom-up Approach to the Financial Markets:  Agent-Based Quantitative Algorithmic Strategies: Ecosystem, Dynamics & Detection download
  • Paper: A Bottom-up Approach to the Financial Markets:  Agent-Based Quantitative Algorithmic Strategies: Ecosystem, Dynamics & Detection download
  • Machine Learning Techniques for Deciphering Implied Volatility Surface Data in a Hostile Environment: Scenario Based Particle Filter, Risk Factor Decomposition & Arbitrage Constraint Sampling Download
  • Introducing the Implied Volatility Surface Parametrization (IVP): Application to the FX Market download
  • Portfolio Optimization in the Context of Cointelated Pairs: Stochastic Differential Equation vs. Machine Learning Approach download
  • Deciphering Price Formation in the High Frequency Domain: Systems & Evolutionary Dynamics as keys for construction of the High Frequency Trading Ecosystem download
  • Convergence of Heston to SVI Proposed Extensions: Rational & Conjecture for the Convergence of Extended Heston to the Implied Volatility surface Parametrization download
  • A Proposed Risk Modeling Shift from the Approach of Stochastic Differential Equation towards Machine Learning Clustering: Illustration with the concepts of Anticipative & Responsible VaR download
  • Introducing the HFTE Model: A Multi-Species Predator-Prey Ecosystem for High-Frequency Quantitative Financial Strategies (Presentation) download
  •  CQF presentation, Introducing the Implied Volatility surface Parameterization (IVP): Application to Options Statistical Arbitrage & Risk Management download
  •  De-Arbitraging with a Weak Smile: Application to Skew Risk download
  • The Non-Misleading Value of Inferred Correlation: An Introduction to the Cointelation Model download
  • The Misleading Value of Measured Correlation download

Pairs Trading
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HFTE Latest Paper
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Our Risk Approach
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Our latest paper
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Our latest CQF taught model
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