nmdang's library 86 articles Export

	A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions [My Copy] Journal of Business & Economic Statistics, Vol. 9, No. 1. (1991), pp. 27-39. by James D. Hamilton posted to quasi-bayesian parameters by nmdang on 2009-11-17 12:19:01 as
	A stochastic target formulation for optimal switching problems in finite horizon [My Copy] Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 81, No. 2., pp. 171-197. by Bruno Bouchard posted to optimal-control stochastic-target by nmdang on 2009-07-20 10:22:56 as
	The Geometry of Fractal Sets (Cambridge Tracts in Mathematics) [My Copy] (25 July 1986) by K. J. Falconer posted to fractal geometry by nmdang on 2009-07-15 08:48:40 as
	Numerical Partial Differential Equations: Finite Difference Methods (Texts in Applied Mathematics) [My Copy] (06 November 1998) by J. W. Thomas posted to finite-difference numerical-method pde by nmdang on 2009-05-07 08:26:45 as along with 1 person haidimingzhu
	Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach (The Wiley Finance Series) [My Copy] (23 May 2006) by Daniel J. Duffy posted to finite-difference numerical-method by nmdang on 2009-05-06 14:42:26 as
	Collocation and Fredholm Integral Equations of the First Kind [My Copy] Journal of Inequalities in Pure and Applied Mathematics, Vol. 6, No. 5. (2005) by George Hanna, John Roumeliotis, Adam Kucera posted to generalized-abel-equation integral-equation numerical-method by nmdang on 2009-04-08 18:19:52 as
	Boundary Value Problems [My Copy] (01 March 1990) by F. D. Gakhov posted to boundary-value-problem generalized-abel-equation integral-equation by nmdang on 2009-04-08 13:25:01 as
	Fluctuations and Market Friction in Financial Trading [My Copy] (6 Jul 2001) by Bernd Rosenow posted to market-impact order-book by nmdang on 2009-03-30 19:30:21 as
	How Markets Slowly Digest Changes in Supply and Demand [My Copy] Social Science Research Network Working Paper Series (15 September 2008) by Jean-Philippe Bouchaud, J. D. Farmer, Fabrizio Lillo posted to market-impact optimal-trading order-book by nmdang on 2009-03-30 18:31:36 as
	Price Manipulation and Quasi-Arbitrage [My Copy] Econometrica, Vol. 72, No. 4. (2004), pp. 1247-1275. by Gur Huberman, Werner Stanzl posted to market-impact optimal-trading by nmdang on 2009-03-30 08:42:56 as
	Dynamic Trading Policies With Price Impact [My Copy] Social Science Research Network Working Paper Series (07 November 2001) by Hua He, Harry Mamaysky posted to market-impact optimal-trading by nmdang on 2009-03-24 14:42:24 as
	Numerical Methods in Finance (Publications of the Newton Institute) [My Copy] (28 June 1997) edited by D. Taylay, L. C. G. Rogers posted to numerical-method viscosity-solution by nmdang on 2009-03-18 10:26:09 as
	High-frequency trading in a limit order book [My Copy] Quantitative Finance, Vol. 8, No. 3. (2008), pp. 217-224. by Marco Avellaneda, Sasha Stoikov posted to limit-order-book optimal-control optimal-trading by nmdang on 2009-03-08 16:33:16 as along with 1 person lehalle
	On Dealer Markets Under Competition [My Copy] The Journal of Finance, Vol. 35, No. 2. (1980), pp. 259-267. by Thomas Ho, Hans R. Stoll posted to limit-order-book optimal-trading by nmdang on 2009-03-08 16:21:25 as
	Convergence of approximation schemes for fully nonlinear second order equations [My Copy] Asymptotic Analysis In Decision and Control, 1990., Proceedings of the 29th IEEE Conference on, Vol. 4 (1991), pp. 271-283. by G. Barles, P. E. Souganidis posted to finite-difference numerical-method viscosity-solution by nmdang on 2009-02-27 14:36:23 as
	Convergence of Numerical Schemes for Parabolic Equations Arising in Finance Theory [My Copy] Mathematical Models and Methods in Applied Sciences, Vol. 5, No. 1. (1995), pp. 125-143. by Guy Barles, Ch Daher, Marc Romano posted to numerical-method viscosity-solution by nmdang on 2009-02-27 14:22:55 as
	Understanding Numerical Analysis for Option Pricing [My Copy] (28 February 2009) by B. J. Lapeyre, A. Sulem, D. Talay posted to finite-difference numerical-method optimal-control by nmdang on 2009-02-25 13:05:12 as
	Modeling Anticipations on Financial Markets [My Copy] Paris-Princeton Lectures on Mathematical Finance 2002 (2003), pp. 43-94. by Fabrice Baudoin posted to anticipation arbitrage filtration-enlargement trading by nmdang on 2009-02-09 14:01:32 as
	User's guide to viscosity solutions of second order partial differential equations [My Copy] ArXiv Mathematics e-prints (June 1992) by M. G. Crandall, H. Ishii, P. L. Lions posted to viscosity-solution by nmdang on 2009-01-24 00:46:10 as
	Numerical recipes : the art of scientific computing [My Copy] (10 September 2007) by William H. Press posted to numerical-method by nmdang on 2009-01-22 13:01:13 as along with 20 people and 1 group flips vmarceau hans_meine anna_yershova alucke alvarolozano mairr ddahlem jdserna mshafiei 6rheology mmeteo harish Zaphod seana OndrejMarsalek sobolevnrm ansobol diancu wvangeit baker-group
	Numerical Analysis [My Copy] (10 December 2004) by Richard L. Burden, Douglas J. Faires posted to numerical-method by nmdang on 2009-01-22 12:59:28 as along with 3 people and 3 groups chadhogan jjrohal aitter MathBio Numerics Optimization
	On extremals for integrals depending on a convolution product [My Copy] Journal of Mathematical Analysis and Applications, Vol. 11 (1965), pp. 213-216. by D. Sanchez posted to convolution-product optimal-control by nmdang on 2009-01-20 14:33:16 as
	Optimal Trading Strategy and Supply/Demand Dynamics [My Copy] Social Science Research Network Working Paper Series (14 February 2005) by Anna A. Obizhaeva, Jiang Wang posted to market-impact optimal-trading by nmdang on 2009-01-07 10:27:01 as
	Fluctuations and Response in Financial Markets: The Subtle Nature of 'Random' Price Changes [My Copy] Social Science Research Network Working Paper Series (27 February 2004) by Jean-Philippe Bouchaud, Yuval Gefen, Marc Potters, Matthieu Wyart posted to market-impact optimal-trading by nmdang on 2009-01-07 10:24:57 as
	Equity market impact [My Copy] Risk (July 2005), pp. 57-62. by Robert Almgren, Chee Thum, Emmanuel Hauptmann, Hong Li posted to market-impact optimal-trading by nmdang on 2009-01-07 10:23:26 as
	No-Dynamic-Arbitrage and Market Impact [My Copy] Social Science Research Network Working Paper Series (31 October 2008) by Jim Gatheral posted to market-impact optimal-trading by nmdang on 2009-01-07 10:06:30 as
	Reinforcement learning for optimized trade execution [My Copy] In ICML '06: Proceedings of the 23rd international conference on Machine learning (2006), pp. 673-680. by Yuriy Nevmyvaka, Yi Feng, Michael Kearns posted to statistical-learning trading by nmdang on 2008-12-17 10:15:30 as along with 1 person scis0000001
	Discrete Parameter Martingales [My Copy] by J. Neveu posted to discrete-martingale stochastic-calculus by nmdang on 2008-06-01 09:31:39 as
	Numerical Methods for Controlled Stochastic Delay Systems (Systems & Control: Foundations & Applications) [My Copy] (18 July 2008) by Harold J. Kushner posted to numerical-method stochastic-control-with-delay by nmdang on 2008-06-01 09:28:31 as
	Stochastic Approximation Algorithms and Applications (Applications of Mathematics) [My Copy] (15 January 1997) by Harold J. Kushner, George Yin posted to stochastic-algorithm by nmdang on 2008-06-01 09:26:21 as
	Adaptive Arrival Price [My Copy] Algorithmic Trading III: Precision, Control, Execution (2007) by Robert Almgren, Julian Lorenz posted to optimal-trading by nmdang on 2008-05-09 12:06:55 as
	Bayesian Adaptive Trading with a Daily Cycle [My Copy] Journal of Trading, Vol. Fall (2006) by Robert Almgren, Julian Lorenz posted to bayesian-adaptive-trading optimal-trading by nmdang on 2008-05-09 12:04:11 as
	Optimal Liquidity Trading [My Copy] Social Science Research Network Working Paper Series (11 December 2000) by Gur Huberman, Werner Stanzl posted to optimal-trading by nmdang on 2008-05-09 11:51:35 as along with 1 person lehalle
	Optimal control of execution costs [My Copy] Journal of Financial Markets, Vol. 1, No. 1. (30 April 1998), pp. 1-50. by Dimitris Bertsimas, Andrew W. Lo posted to optimal-trading by nmdang on 2008-05-09 11:40:29 as
	Constrained portfolio liquidation in a limit order book model [My Copy] (2007) by Aurélien Alfonsi, Alexander Schied, Antje Schulz posted to limit-order-book optimal-trading by nmdang on 2008-05-07 16:48:36 as
	Optimal execution strategies in limit order books with general shape functions [My Copy] (25 Sep 2007) by Aurélien Alfonsi, Alexander Schied, Antje Schulz posted to limit-order-book optimal-trading by nmdang on 2008-05-07 16:21:54 as
	Understanding the Profit and Loss Distribution of Trading Algorithms [My Copy] Guide to Algorithmic Trading, Vol. Spring (2005) by Robert Kissell, Roberto Malamut posted to trading by nmdang on 2008-05-06 11:04:07 as
	Viscosity Solutions and Applications: Lectures Given at the 2nd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.) Held in Montecatini Terme, ... 12-20, 1995 (Lecture Notes in Mathematics) [My Copy] (09 June 1997) by M. Bardi, M. G. Crandall, L. C. Evans, H. M. Soner posted to stochastic-control viscosity-solution by nmdang on 2008-04-08 18:02:11 as
	Algorithmes stochastiques (Mathématiques et Applications) [My Copy] (26 June 1996) by Marie Duflo posted to stochastic-algorithm by nmdang on 2008-04-08 18:00:38 as
	Stochastic Optimal Control: The Discrete-Time Case (Optimization and Neural Computation Series) [My Copy] (01 February 2007) by Dimitri P. Bertsekas, Steven E. Shreve posted to optimal-control stochastic-control by nmdang on 2008-04-08 17:59:52 as
	Financial Risk Manager Handbook (Wiley Finance) [My Copy] (15 June 2007) by Philippe Jorion, Garp posted to finance-handbook financial-risk by nmdang on 2008-03-26 23:42:48 as along with 2 people mmanti financekev
	The Dynamics of the Hedge Fund Industry [My Copy] (19 August 2005) by Andrew W. Lo posted to hedge-fund by nmdang on 2008-03-26 13:39:02 as
	Functional Analysis for Probability and Stochastic Processes: An Introduction [My Copy] (19 September 2005) by Adam Bobrowski posted to functional-analysis stochastic-process by nmdang on 2008-03-26 13:37:50 as
	Theoretical Numerical Analysis: A Functional Analysis Framework (Texts in Applied Mathematics) [My Copy] (21 June 2007) by Kendall Atkinson, Weimin Han posted to finite-difference functional-analysis numerical-method by nmdang on 2008-03-26 13:36:37 as along with 1 person dmitry_s_yershov
	Order Statistics (Wiley Series in Probability and Statistics) [My Copy] (04 August 2003) by Herbert A. David, H. N. Nagaraja posted to order-statistic by nmdang on 2008-03-26 13:34:13 as
	Continuous Martingales and Brownian Motion (Grundlehren der mathematischen Wissenschaften) [My Copy] (22 December 2004) by Daniel Revuz, Marc Yor posted to stochastic-calculus by nmdang on 2008-03-26 13:33:09 as along with 2 people larrard lehalle
	A Non-Random Walk Down Wall Street [My Copy] (26 December 2001) by Andrew W. Lo, A. Craig Mackinlay posted to efficient-market-hypothesis by nmdang on 2008-03-26 13:30:57 as along with 1 person mdimitrakakis
	Optimal Stopping and Free-Boundary Problems (Lectures in Mathematics. ETH Zürich) [My Copy] (25 September 2006) by Goran Peskir, Albert Shiryaev posted to stochastic-control by nmdang on 2008-03-26 13:28:15 as
	Tactical Liquidity Trading and Intraday Volume [My Copy] Social Science Research Network Working Paper Series (September 2006) by Merrell Hora posted to intraday-volume market-impact by nmdang on 2008-03-26 13:26:46 as
	Stochastic Portfolio Theory [My Copy] (12 April 2002) by Robert E. Fernholz posted to portfolio by nmdang on 2008-03-26 13:24:33 as

Note: You may cite this page as: http://www.citeulike.org/user/nmdang

Result page: 1 2 Next

optimal-trading	16
numerical-method	12
market-impact	10
stochastic-control	7
optimal-control	6
trading	6
boosting	5
finite-difference	5
viscosity-solution	5
limit-order-book	4
order-book	3
portfolio	3
sde	3
stochastic-calculus	3
functional-analysis	2
generalized-abel-equation	2
integral-equation	2
microstructure	2
statistical-learning	2
stochastic-algorithm	2
stochastic-process	2
abrupt-changes	1
anticipation	1
arbitrage	1
artificial-intelligence	1
bayesian-adaptive-trading	1
behavioral-finance	1
black-scholes	1
boundary-value-problem	1
brownian-motion	1
cart	1
continuous-time	1
convolution-product	1
diffusion	1
discrete-martingale	1
early-detection	1
econometrics	1
econophysicist	1
efficient-market-hypothesis	1
filtration-enlargement	1
finance-handbook	1
financial-risk	1
financial-time-series	1
fractal	1
friction	1
geometry	1
hedge-fund	1
high-frequency	1
incomplete-gamma	1
information-theory	1
intraday-volume	1
limit-theorem	1
markov-process	1
mesh-connected	1
nao	1
order-statistic	1
parameters	1
pde	1
price	1
probability	1
quantitative	1
quasi-bayesian	1
sorting	1
stochastic-control-with-delay	1
stochastic-finance	1
stochastic-integration	1
stochastic-target	1
utility-based-framwork	1
yield-curve	1

nmdang's library 86 articles Export

nmdang's tags