A new Journal - Algorithmic Finance - Volume 1 Issue 1 is out now
Fri, 13 Jan 2012 00:10:00 GMT
I don't tend to mention Journal Issues in the main part of this blog any more, mostly due to the fact that we have a whole research section and a library devoted to academic research, but I thought I'd make an exception in this case since it is an inaugural issue, and I know that many readers will be particularly interested and the full text journal is free (at least right now).
Here's the Table of Contents for Algorithmic Finance, Vol 1 Issue 1
- A Minute with Emanuel Derman
- Behavioral biases and investor performance - Todd Feldman
- Binomial options pricing has no closed-form solution - Evangelos Georgiadis
- Efficient greek estimation in generic swap-rate market models - Mark Joshi and Chao Yang
- Forecasting prices from level-I quotes in the presence of hidden liquidity - Marco Avellaneda, Josh Reed and Sasha Stoikov
- Markets are efficient if and only if P = NP - Philip Z. Maymin (you can see a video of Phil talking about this paper here)
- Tweets and peers: defining industry groups and strategic peers based on investor perceptions of stocks on Twitter - Timm O. Sprenger and Isabell M. Welpe
The Journal is now being published by IOS Press, a small STM Publisher based in The Netherlands.
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Managing Editor Philip Maymin Deputy Managing Editor Jayaram Muthuswamy Advisory Board Kenneth J. Arrow Herman Chernoff David S. Johnson Leonid Levin Myron Scholes Michael Sipser Richard Thaler Stephen Wolfram |
Editorial Board Peter Bossaerts Emanuel Derman Ming-Yang Kao Pete Kyle David Leinweber Richard J. Lipton Avi Silberschatz Robert Webb Affiliate Editors Giovanni Barone-Adesi Bruce Lehmann |
