7 citations · 9 across the 5 of their papers we have counts for
5 papers
Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation
Gareth W. Peters, Balakrishnan B. Kannan, Ben Lasscock +2
We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of…
Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
Gareth W. Peters, Balakrishnan Kannan, Ben Lasscock +1
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach…
Local Risk Decomposition for High-frequency Trading Systems
M. Bartolozzi, C. Mellen
In the present work we address the problem of evaluating the historical performance of a trading strategy or a certain portfolio of assets. Common indicators such as the Sharpe rat…
Effects of diversification among assets in an agent-based market model
F. Ghoulmié, M. Bartolozzi, C. P. Mellen +1
We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmie et al (2005). In particular, we focus on adaptive…
Applications of physical methods in high-frequency futures markets
M. Bartolozzi, C. Mellen, F. Chan +3
In the present work we demonstrate the application of different physical methods to high-frequency or tick-by-tick financial time series data. In particular, we calculate the Hurst…