108 citations · 435 across the 38 of their papers we have counts for
4 papers · 1 filter
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…
Systematic Asset Allocation using Flexible Views for South African Markets
Ann Sebastian, Tim Gebbie
We implement a systematic asset allocation model using the Historical Simulation with Flexible Probabilities (HS-FP) framework developed by Meucci. The HS-FP framework is a flexibl…
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…