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