decomposition algorithm) that allows us to deconstruct price series into the true efficient price and microstructure noise …

This comprehensive text and reference combines the theory behind financial engineering with numerous algorithms for …

correlation structures that geometrically represents solutions from asymptotic Random Matrix theory (RMT) consistently, and allows …

this paper, we introduce the local linear scaling approximation (in short, LLSA), which is a nonlinear filtering algorithm …

. It is a bedrock assumption in theory that securities prices reveal how effectively public companies utilize capital. This …

economy.Theory and regulation have failed to keep pace with markets where traders rely on pre-programmed algorithms to execute … fully control the operation of the algorithm. Algorithms can execute many thousands of trades in milliseconds, crunching … for a trader to fully predict how an algorithm might behave ex ante and near-impossible for her to track and control its …