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Popular MoneyScience 2012 Part 3: Top 30 Research Papers

Mon, 17 Dec 2012 06:53:00 GMT

Following on from Part 1 (Top 10 Videos) and Part 2 (Top 10 Blog Posts), I'm pleased to present the final part of our annual review of the most popular content at MoneyScience.

In the 2 lists below you'll find the Top 10 most popular papers contributed to the MoneyScience Research Library, along with the Top 20 Pre-prints cross-promoted from the arXiv preprint server.

Top 10 Papers from the MoneyScience Research Library

High Frequency Trading Acceleration Using FPGAs
Christian Leber, Benjamin Geib, Heiner Litz


Financial black swans driven by ultrafast machine ecology
Neil Johnson, Guannan Zhao, Eric Hunsader, Jing Meng, Amith Ravindar, Spencer Carran, Brian Tivnan


Non-computability, unpredictability, and Financial markets
Daniel S. Graca


Need for Speed: An Empirical Analysis of Hard and Soft Information in a High Frequency World
S. Sarah Zhang


On Default Correlation: A Copula Function Approach (2000)
David X. Li


Introduction to HFT Scalping Strategies
Haim Bodek and Mark Shaw


Relative Strength and Portfolio Management
John Lewis


Theory of Games and Economic Behaviour (1944)
John von Neumann and economist Oskar Morgenstern


Why It is No Longer a Good Idea to Be in The Investment Industry
Nassim N. Taleb


Low-Frequency Traders in a High-Frequency World: A Survival Guide
Marcos Lopez de Prado


You might also be interested in the 2011 Top 10 papers which is available here.

Top 20 Preprints which have received coverage at MoneyScience

Entropy:A concept that is not a physical quantity
Shufeng-zhang

Common Mistakes when Applying Computational Intelligence and Machine Learning to Stock Market modelling
E. Hurwitz, T. Marwala

Optimal portfolio for a robust financial system
Yoshiharu Maeno, Satoshi Morinaga, Hirokazu Matsushima, Kenichi Amagai

A New Kind of Finance
Philip Z. Maymin

How Non-linearity will Transform Information Systems
Paolo Magrassi

High-Frequency Trading Synchronizes Prices in Financial Markets
Austin Gerig

High Frequency Market Making
Rene Carmona, Kevin Webster

Representation Theory for Risk On Markowitz-Tversky-Kahneman Topology
G. Charles-Cadogan

Any Regulation of Risk Increases Risk
Philip Z. Maymin, Zakhar G. Maymin

On the non-stationarity of financial time series: impact on optimal portfolio selection
Giacomo Livan, Jun-ichi Inoue, Enrico Scalas

Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources
Ivan Kitov

How the Scientific Community Reacts to Newly Submitted Preprints: Article Downloads, Twitter Mentions, and Citations
Xin Shuai, Alberto Pepe, Johan Bollen

Quantifying the Behavior of Stock Correlations Under Market Stress
Tobias Preis, Dror Y. Kenett, H. Eugene Stanley, Dirk Helbing & Eshel Ben-Jacob

Hurst Exponents For Short Time Series
Jingzhao Qi, Huijie Yang

Influence Spread in Large-Scale Social Networks - A Belief Propagation Approach
Huy Nguyen, Rong Zheng

A Mechanical Explanation of Share Price Path Selection
Mohamed Abdel Maksoud

Optimal starting times, stopping times and risk measures for algorithmic trading
Mauricio Labadie, Charles-Albert Lehalle

Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information
Fabien Guilbaud, Huyên Pham

Do arbitrage-free prices come from utility maximization?
Pietro Siorpaes

Applications of statistical mechanics to economics: Entropic origin of the probability distributions of money, income, and energy consumption
Victor M. Yakovenko

 

 

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