17 citations · 27 across the 2 of their papers we have counts for
8 papers
Deviations in expected price impact for small transaction volumes under fee restructuring
Michael Harvey, Dieter Hendricks, Tim Gebbie +1
We report on the occurrence of an anomaly in the price impacts of small transaction volumes following a change in the fee structure of an electronic market. We first review evidenc…
Detecting intraday financial market states using temporal clustering
Dieter Hendricks, Tim Gebbie, Diane Wilcox
We propose the application of a high-speed maximum likelihood clustering algorithm to detect temporal financial market states, using correlation matrices estimated from intraday ma…
Hierarchical causality in financial economics
Diane Wilcox, Tim Gebbie
Hierarchical analysis is considered and a multilevel model is presented in order to explore causality, chance and complexity in financial economics. A coupled system of models is u…
A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution
Dieter Hendricks, Diane Wilcox
Reinforcement learning is explored as a candidate machine learning technique to enhance existing analytical solutions for optimal trade execution with elements from the market micr…
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…
On pricing kernels, information and risk
D. L. Wilcox, T. J. Gebbie
We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theor…