108 citations · 435 across the 38 of their papers we have counts for
10 papers · 1 filter
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…
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…
Agglomerative Likelihood Clustering
Lionel Yelibi, Tim Gebbie
We consider the problem of fast time-series data clustering. Building on previous work modeling the correlation-based Hamiltonian of spin variables we present an updated fast non-e…
Learning the dynamics of technical trading strategies
Nicholas Murphy, Tim Gebbie
We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cost portfolio strategies. The learning algori…
Fast Super-Paramagnetic Clustering
Lionel Yelibi, Tim Gebbie
We map stock market interactions to spin models to recover their hierarchical structure using a simulated annealing based Super-Paramagnetic Clustering (SPC) algorithm. This is dir…
Can Agent-Based Models Probe Market Microstructure?
Donovan Platt, Tim Gebbie
We extend prior evidence that naively using intraday agent-based models that involve realistic order-matching processes for modeling continuous-time double auction markets seems to…
The Problem of Calibrating an Agent-Based Model of High-Frequency Trading
Donovan Platt, Tim Gebbie
Agent-based models, particularly those applied to financial markets, demonstrate the ability to produce realistic, simulated system dynamics, comparable to those observed in empiri…
Learning zero-cost portfolio selection with pattern matching
Tim Gebbie, Fayyaaz Loonat
We consider and extend the adversarial agent-based learning approach of Gy{ö}rfi {\it et al} to the situation of zero-cost portfolio selection implemented with a quadratic approxim…
High-speed detection of emergent market clustering via an unsupervised parallel genetic algorithm
Dieter Hendricks, Diane Wilcox, Tim Gebbie
We implement a master-slave parallel genetic algorithm (PGA) with a bespoke log-likelihood fitness function to identify emergent clusters within price evolutions. We use graphics p…