Table of Contents

• An analysis of price impact functions of individual trades on the London Stock ExchangeMateusz Wilinski, Wei Cui, Anthony Brabazon. 1-8 [doi]
• Survival models for the duration of bid-ask spread deviationsEfstathios Panayi, Gareth W. Peters. 9-16 [doi]
• An agent-based model for market impactChristian Oesch. 17-24 [doi]
• Time series prediction with a non-causal neural networkYicun Ouyang, Hujun Yin. 25-31 [doi]
• A comparison of forecasting approaches for capital marketsScott McDonald, Sonya A. Coleman, T. Martin McGinnity, Yuhua Li, Ammar Belatreche. 32-39 [doi]
• Exchange rate forecasting using echo state networks for trading strategiesLeandro Maciel, Fernando A. C. Gomide, David Santos, Rosangela Ballini. 40-47 [doi]
• From text to bank interrelation mapsSamuel Rönnqvist, Peter Sarlin. 48-54 [doi]
• An empirical study of the financial community network on TwitterSteve Y. Yang, Sheung Yin Kevin Mo, Xiaodi Zhu. 55-62 [doi]
• Twitter financial community modeling using agent based simulationSteve Y. Yang, Anqi Liu, Sheung Yin Kevin Mo. 63-70 [doi]
• Do dark pools stabilize markets and reduce market impacts? Investigations using multi-agent simulationsTakanobu Mizuta, Wataru Matsumoto, Shintaro Kosugi, Kiyoshi Izumi, Takuya Kusumoto, Shinobu Yoshimura. 71-76 [doi]
• Detecting price manipulation in the financial marketYi Cao, Yuhua Li, Sonya A. Coleman, Ammar Belatreche, Thomas Martin McGinnity. 77-84 [doi]
• Detecting wash trade in the financial marketYi Cao, Yuhua Li, Sonya A. Coleman, Ammar Belatreche, Thomas Martin McGinnity. 85-91 [doi]
• Improving portfolio risk profile with threshold acceptingManuel Kleinknecht, Wing Lon Ng. 92-99 [doi]
• Multi-period asset allocation with lower partial moments criteria and affine policiesGiuseppe Carlo Calafiore, Fatemeh Kharaman. 100-106 [doi]
• Better portfolios with optionsGerda Cabej, Manfred Gilli, Enrico Schumann. 107-113 [doi]
• Predicting exchange rates with sentiment indicators: An empirical evaluation using text mining and multilayer perceptronsSven F. Crone, Christian Koeppel. 114-121 [doi]
• Pre-processing online financial text for sentiment classification: A natural language processing approachFan Sun, Ammar Belatreche, Sonya A. Coleman, T. Martin McGinnity, Yuhua Li. 122-129 [doi]
• Diversification improvements through news article co-occurrencesJohn Robert Yaros, Tomasz Imielinski. 130-137 [doi]
• Regulations' effectiveness for market turbulence by large erroneous orders using multi agent simulationTakanobu Mizuta, Kiyoshi Izumi, Isao Yagi, Shinobu Yoshimura. 138-143 [doi]
• A mesoscopic approach to modeling and simulation of systemic risksKiyotaka Ide, Ryota Zamami, Akira Namatame. 144-151 [doi]
• Impact of credit default swaps on financial contagionYoshiharu Maeno, Satoshi Morinaga, Kenji Nishiguchi, Hirokazu Matsushima. 152-157 [doi]
• Portfolio optimization using fundamental indicators based on multi-objective EAAntonio Silva, Rui Ferreira Neves, Nuno Horta. 158-165 [doi]
• Constructing smart portfolios from data driven quantitative investment modelsChetan Saran Mehra, Adam Prügel-Bennett, Enrico Gerding, Valentin Robu. 166-173 [doi]
• Maximizing positive porfolio diversificationPhil Maguire, Philippe Moser, Kieran O'Reilly, Conor McMenamin, Robert Kelly, Rebecca Maguire. 174-181 [doi]
• Volatility homogenisation decomposition for forecastingAdam W. Kowalewski, Owen D. Jones, Kotagiri Ramamohanarao. 182-189 [doi]
• A hidden Markov reduced-form risk modelJia-Wen Gu, Wai-Ki Ching, Harry Zheng. 190-196 [doi]
• A framework for Web news items analysis in relation to share pricesRobert Max van Essen, Viorel Milea, Flavius Frasincar. 197-202 [doi]
• Modelling the dynamics of the "Smarter Region"Andranik S. Akopov, Gayane L. Beklaryan. 203-209 [doi]
• High frequency trading an analysis regarding volatility and liquidity starting from a base case of algorithms and a dedicated software architectureGiulio Carlone. 210-214 [doi]
• Mixed precision multilevel Monte Carlo on hybrid computing systemsChristian Brugger, Christian de Schryver, Norbert Wehn, Steffen Omland, Mario Hefter, Klaus Ritter, Anton Kostiuk, Ralf Korn. 215-222 [doi]
• Bibliometric analysis in financial researchJosé M. Merigó, Jian-Bo Yang. 223-230 [doi]
• Engineering Financial EngineeringGary D. Boetticher. 231-238 [doi]
• Optimal negative weight moving average for stock price series smoothingAistis Raudys. 239-246 [doi]
• Frequency effects on predictability of stock returnsPawel Fiedor. 247-254 [doi]
• Quality and consistency assurance of quote data for algorithmic trading strategiesSven Koschnicke, Vasco Grossmann, Christoph Starke, Manfred Schimmler. 255-261 [doi]
• Multi-agent pre-trade analysis acceleration in FPGAEduardo A. Gerlein, T. Martin McGinnity, Ammar Belatreche, Sonya A. Coleman, Yuhua Li. 262-269 [doi]
• Modelling the relationship between developed equity markets and emerging equity marketsZvonko Kostanjcar, Branko Jeren, Zeljan Juretic. 270-277 [doi]
• Causal inference from financial factors: Continuous variable based local structure learning algorithmJianjun Yang, Yunhai Tong, Xinhai Liu, Shaohua Tan. 278-285 [doi]
• Predicting equity market price impact with performance weighted ensembles of random forestsAsh Booth, Enrico Gerding, Frank McGroarty. 286-293 [doi]
• Micro-price trading in an order-driven marketAndrew Todd, Roy Hayes, Peter A. Beling, William T. Scherer. 294-297 [doi]
• Role of Price in industry dynamics: A modular perspectiveBin-Tzong Chie, Shu-Heng Chen. 298-302 [doi]
• On the calibration of stochastic volatility models: A comparison studyJia Zhai, Yi Cao. 303-309 [doi]
• Nonlinear filtering of asymmetric stochastic volatility models and Value-at-Risk estimationNikolay Y. Nikolaev, Lilian M. de Menezes, Evgueni N. Smirnov. 310-317 [doi]
• Estimation of financial indices volatility using a model with time-varying parametersFelipe A. Tobar, Marcos E. Orchard, Danilo P. Mandic, Anthony G. Constantinides. 318-324 [doi]
• Guided Fast Local Search for speeding up a financial forecasting algorithmMing Shao, Dafni Smonou, Michael Kampouridis, Edward P. K. Tsang. 325-332 [doi]
• Combining different meta-heuristics to improve the predictability of a Financial Forecasting algorithmBabatunde Aluko, Dafni Smonou, Michael Kampouridis, Edward P. K. Tsang. 333-340 [doi]
• Forecasting stock price directional movements using technical indicators: Investigating window size effects on one-step-ahead forecastingYauheniya Shynkevich, T. Martin McGinnity, Sonya A. Coleman, Yuhua Li, Ammar Belatreche. 341-348 [doi]
• How agent-based modeling and simulation relates to CGE and DSGE modelingClaudius Grabner. 349-356 [doi]
• Technological progress and effects of (Supra) regional innovation and production collaboration. An agent-based model simulation studyBen Vermeulen, Andreas Pyka. 357-364 [doi]
• Learning to be risk averse?Robert E. Marks. 365-369 [doi]
• Pricing window barrier options with a hybrid stochastic-local volatility modelYu Tian, Zili Zhu, Geoffrey Lee, Thomas Lo, Fima C. Klebaner, Kais Hamza. 370-377 [doi]
• A Kalman filtering approach for detection of option mispricing in the Black-Scholes PDE modelGerasimos G. Rigatos. 378-383 [doi]
• Optimal search for parameters in Monte Carlo simulation for derivative pricingChuan-Ju Wang, Ming-Yang Kao. 384-390 [doi]
• Risk-averse reinforcement learning for algorithmic tradingYun Shen, Ruihong Huang, Chang Yan, Klaus Obermayer. 391-398 [doi]
• Using equity analyst coverage to determine stock similarityJohn Robert Yaros, Tomasz Imielinski. 399-406 [doi]
• Transition variable selection for regime switching recurrent reinforcement learningDietmar Maringer, Jin Zhang. 407-413 [doi]
• Simulating natural disasters - A complex systems frameworkAli Asjad Naqvi, Miriam Rehm. 414-421 [doi]
• Wealth inequality and wealth effectWeihong Huang, Yu Zhang. 422-426 [doi]
• A computational agent-based simulation of an artificial monetary union for dynamic comparative institutional analysisBernhard Rengs, Manuel Wäckerle. 427-434 [doi]
• On pricing and hedging basket credit derivatives with dependent structureDong-Mei Zhu, Yue Xie, Wai-Ki Ching, Harry Zheng. 435-440 [doi]
• Dynamic hedging of foreign exchange risk using stochastic model predictive controlFarzad Noorian, Philip H. W. Leong. 441-448 [doi]
• Explicit solutions of discrete-time quadratic optimal hedging strategies for European contingent claimsEaswar Subramanian, VijaySekhar Chellaboina. 449-456 [doi]
• A reinforcement learning extension to the Almgren-Chriss framework for optimal trade executionDieter Hendricks, Diane Wilcox. 457-464 [doi]
• Enhancing intraday trading performance of Neural Network using dynamic volatility clustering fuzzy filterVince Vella, Wing Lon Ng. 465-472 [doi]
• Co-evolving online high-frequency trading strategies using grammatical evolutionPatrick Gabrielsson, Ulf Johansson, Rikard König. 473-480 [doi]
• Evolving hybrid neural fuzzy network for realized volatility forecasting with jumpsRaul Rosa, Leandro Maciel, Fernando A. C. Gomide, Rosangela Ballini. 481-488 [doi]
• Classification system for mortgage arrear managementZhe Sun, Marco A. Wiering, Nicolai Petkov. 489-496 [doi]
• Probabilistic fuzzy systems for seasonality analysis and multiple horizon forecastsRui Jorge Almeida, Nalan Bastürk, Uzay Kaymak. 497-504 [doi]