826 citations · 1.1k across the 9 of their papers we have counts for
9 papers
A Modern Paradigm for Algorithmic Trading
James B. Glattfelder, Thomas Houweling, Richard B. Olsen
We introduce a novel framework for developing fully-automated trading model algorithms. Unlike the traditional approach, which is grounded in analytical complexity favored by most…
Calculating Profits and Losses for Algorithmic Trading Strategies: A Short Guide
James B. Glattfelder, Thomas Houweling
We present a series of equations that track the total realized and unrealized profits and losses at any time, incorporating the spread. The resulting formalism is ideally suited to…
The Theory of Intrinsic Time: A Primer
James B. Glattfelder, Richard B. Olsen
The concept of time mostly plays a subordinate role in finance and economics. The assumption is that time flows continuously and that time series data should be analyzed at regular…
Bridging the Gap: Decoding the Intrinsic Nature of Time in Market Data
James B. Glattfelder, Anton Golub
Intrinsic time is an example of an event-based conception of time, used to analyze financial time series. Here, for the first time, we reveal the connection between intrinsic time…
The Bow-Tie Centrality: A Novel Measure for Directed and Weighted Networks with an Intrinsic Node Property
James B Glattfelder
Today, there exist many centrality measures for assessing the importance of nodes in a network as a function of their position and the underlying topology. One class of such measur…
R&D Strategy Document
James B. Glattfelder, Thomas Bisig, Richard B. Olsen
We outline what we believe are the prerequisites and building-blocks for successfully devising trading models and other financial applications based on a complex systems perspectiv…
The network of global corporate control
Stefania Vitali, James B. Glattfelder, Stefano Battiston
The structure of the control network of transnational corporations affects global market competition and financial stability. So far, only small national samples were studied and t…
Backbone of complex networks of corporations: The flow of control
J. B. Glattfelder, S. Battiston
We present a methodology to extract the backbone of complex networks based on the weight and direction of links, as well as on nontopological properties of nodes. We show how the m…
Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws
J. B. Glattfelder, A. Dupuis, R. B. Olsen
We have discovered 12 independent new empirical scaling laws in foreign exchange data-series that hold for close to three orders of magnitude and across 13 currency exchange rates.…