3 citations · 6 across the 4 of their papers we have counts for
10 papers
Calibrating an adaptive Farmer-Joshi agent-based model for financial markets
Ivan Jericevich, Murray McKechnie, Tim Gebbie
We replicate the contested calibration of the Farmer and Joshi agent based model of financial markets using a genetic algorithm and a Nelder-Mead with threshold accepting algorithm…
Comparing the market microstructure between two South African exchanges
Ivan Jericevich, Patrick Chang, Tim Gebbie
We consider shared listings on two South African equity exchanges: the Johannesburg Stock Exchange (JSE) and the A2X Exchange. A2X is an alternative exchange that provides for both…
Learning low-frequency temporal patterns for quantitative trading
Joel da Costa, Tim Gebbie
We consider the viability of a modularised mechanistic online machine learning framework to learn signals in low-frequency financial time series data. The framework is proved on da…
A Framework for Online Investment Algorithms
Andrew Paskaramoorthy, Terence van Zyl, Tim Gebbie
The artificial segmentation of an investment management process into a workflow with silos of offline human operators can restrict silos from collectively and adaptively pursuing a…
Malliavin-Mancino estimators implemented with non-uniform fast Fourier transforms
Patrick Chang, Etienne Pienaar, Tim Gebbie
We implement and test kernel averaging Non-Uniform Fast Fourier Transform (NUFFT) methods to enhance the performance of correlation and covariance estimation on asynchronously samp…
Revisiting the Epps effect using volume time averaging: An exercise in R
Patrick Chang, Roger Bukuru, Tim Gebbie
We revisit and demonstrate the Epps effect using two well-known non-parametric covariance estimators; the Malliavin and Mancino (MM), and Hayashi and Yoshida (HY) estimators. We sh…