CCFEA Working Paper Series

2021

2020

2019

2018

2017

2016

2015


(Series interrupted due to change of host)

2014

Notations for Directional Change Research

WP073-14: Edward P K Tsang, Ran Tao and Shuai Ma

2013

Simulation Based Estimation Using Empirical Likelihood

WP072-13: M. K. Nguyen; W. L. Ng; S. Phelps

 

Periodicities of Foreign Exchange Markets and the Directional Change Power Law

WP071-13: I. Giampaoli; W. L. Ng; N. Constantinou

 

Normally Distributed High-Frequency Returns: A Subordination Approach

WP070-13: A. Türkoğlu

 

Capturing Market Movements with Directional Changes

WP069-13: H. Ao; E. Tsang

 

Improving risk-adjusted performance profile of intraday trading models with Neuro-Fuzzy techniques and moving average high-frequency price signals

WP068-13: V. Vella; W. L. Ng

 

A path-independent approach to integrated variance under the CEV model

WP067-13: H. Wang; J. G. O'Hara; N. Constantinou

General Multivariate Dependence Using Associated Copulas

WP066-13: Y. Salazar

2012

Valuation of American Options with Meshfree Methods
WP065-12: A. Guarin; X. Liu ; W. L. Ng

Learning leads to scaling behaviour in an adaptive expectations model of a double-auction market
WP064-12: S. Phelps; W. L. Ng

Network motifs for microeconomic analysis
WP063-12: S. Phelps; K. Musial-Gabrys

Read for Greed - Read With Speed : Financial News Analytics - An Overview
WP062-12: W. L. Ng

Recovering Default Risk from CDS Spreads with a Nonlinear Filter
WP061-12: A. Guarin; X. Liu ; W. L. Ng

Can a Zero-Intelligence Plus Strategy Explain the Stylized Facts of Financial Time Series Data?
WP060-12: I. Palit; S. Phelps; W.L. Ng

General Multivariate Dependence Using Associated Copulas

WP059-12: Y. Salazar

Optimal Level of Leverage Using Numerical Methods
WP058-12: E. Sbruzzi; S. Phelps

Online Supplement to Simulation Based Estimation using Extended Balanced Augmented Empirical Likelihood
WP057-12: M. K. Nguyen; W. L. Ng; S. Phelps

Applying Dependency Injection to Agent-Based Modelling: the JABM toolkit
WP056-12: S. Phelps

Emergence of social networks via direct and indirect reciprocity
WP055-12: S. Phelps

2011

Financial Distress Prediction: A Multinomial Logistic Approach To Small Companies
WP054-11: M. M. M. Maharaullee

Empirical Likelihood Estimation of Agent-Based Models
WP053-11: M. K. Nguyen; S. Phelps; W. L. Ng

Testing adaptive expectations models of an continuous double auction market against empirical facts
WP052-11: N. Rayner; S. Phelps; N. Constantinou

A Model of Stochastic Volatility with Time-Depedendent Parameters
WP051-11: C. Sophocleous; J. G. O'Hara; P. G. L. Leach

2010

Direction Changes, Definitions
WP050-10: E.P.K. Tsang
This document has been updated and published as Appendix A, J. Chen & E.P.K.Tsang, Detecting Regime Change in Computational Finance, Data Science, Machine Learning and Algorithmic Trading, CRC Press, September 2020

Biological markets: a catalyst for the major transitions?
WP049-10: S. Phelps

An agent-based model of direct and indirect reciprocity: group size effects and network properties
WP048-10: S. Phelps; A. Howes

Computation and Finance: Potentials and Limitations
WP047-10: E. Tsang

New ways to understand financial markets
WP046-10: E. Tsang

Inferring the state of a double-auction market from empirical high-frequency transaction data
WP045-10: M. K. Nguyen; N. Rayner; S. Phelps

Negative (LU and UL) tail dependence using copulae
WO044-10: Y. S. Flores

The origin of long-memory in order flow
WP043-10: I. Palit; B. Toth; F Lillo; J. Doyne Farmer

The Effect of Group Size and Frequency of Encounter on the Evolution of Cooperation
WP042-10: S. Phelps; G. Nevarez; A. Howes

Symmetries and the Merton portfolio selection model
WP041-10: V. Naicker; J. O'Hara; P. G. L. Leach

An Anaysis of the Determinants of the iTraxx CDS SPreads using the Skewed Student's t AR-GARCH Model
WP040-10: Yuan-Sung Chu; Nick Constantinou; John O'Hara

EDDIE for Investment Opportunities Forecasting: Extending the Search Space of the GP
WP039-10: Michael Kampouridis; Edward Tsang

The Event Calculus on High-frequency Finance
WP038-10: E. Tsang; R. Olsen; S. Masry

2009

Comparison of Two Factor CIR and Essentially Affine Models for the UK Term Structure: from Black Wednesday to the 2008 Credit Crisis
WP037-09: Jenny Castellenos; Nick Constantinou

Modeling Financial time Series using Grammatical Swarm
WP036-09: Kamal Adamu; Steve Phelps

How does CPPI perform against the simplest guarantee strategies?
WP035-08: Anil Khuman; Nick Constantinou

2008

Analysis of Ultra-High-Frequency Financial Data Using Advanced Fourier Transforms
WP034-08: Iacopo Giampaoli; Wing Lon Ng; Nick Constantinou

The Effect of the Real-Estate Downturn on the Link between REIT's and the Stock Market
WP033-08: Steven Simon; Wing Lon Ng

Clustering Duration Cluster Patterns in Financial Markets - Empirical Evidence on FTSE100
WP032-08: Wing Lon Ng; Jian Jiang

High-frequency Index Returns: The Stylized Facts Revised
WP031-08: Wing Lon Ng; Mark Trede

Spectral Densities of Ultra-high Frequency Data
WP030-08: Wing Lon Ng

Modelling Dynamic Demand and Supply Curves of Electronic Markets
WP029-08: Wing Lon Ng

Order Submission and Herding Behaviour in Electronic Trading
WP028-08: Wing Lon Ng

Emergence of tiering in large value payment systems
WP027-08: Mark Adams; Marco Galbiati; Simone Giansante

Forecasting - where computational intelligence meets the stock market
WP026-08: Edward Tsang

An extensive set of scaling laws and the FX coastline
WP025-08: J. B. Glattfelder; A. Dupuisy; R. B. Olsen

Estimating Multifactor Uncorrelated Vasicek and CIR Model for the UK Term Structure
WP024-08: Jenny B. Castellanos Pinzon

Constant Proportion Portfolio Insurance: Statistical Properties and Practical Implications
WP023-08: Anil Khuman; Dietmar Maringer; Nick Constantinou

Evolutionary Money Management
WP022-08: Philip Saks; Dietmar Maringer

Nonlinearities in Stochastic clocks
WP021-08: Rafael Velasco-Fuentes; Wing Lon Ng

Statistical Arbitrage with Genetic Programming
WP020-08: Philip Saks; Dietmar Maringer

Single versus Multiple Tree Genetic Programming for Dynamic Decision Making
WP019-08: Philip Saks; Dietmar Maringer

Evolutionary Learning of the Optimal Pricing Strategy in an Artificial Payment Card Market
WP018-08: Biliana Alexandrova-Kabadjova; Edward Tsang; Andreas Krause

Competition is bad for consumers: Analysis of an Artificial Payment Card Market
WP017-08: Biliana Alexandrova-Kabadjova; Edward Tsang; Andreas Krause

Finding Profit-Maximizing Strategies for the Artificial Payment Card Market
WP016-08: Biliana Alexandrova-Kabadjova; Edward Tsang; Andreas Krause

2006/2007

Computational Intelligence Determines Effective Rationality
WP015-07: Edward Tsang

Risk Preferences and Loss Aversion in Portfolio Optimization
WP014-07: Dietmar Maringer

Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)
WP013-07: Amadeo Alentorn; Sheri Markose

Analyzing Liquidity and Absorption Limits of Electronic Markets with Volume Durations
WP012-07: Wing Lon Ng

Dependence of - and Long Memory in - Exchange Rate Returns: Statistics, Robustness, Time Aggregation
WP011-07: Peter Winker; Vahidin Jeleskovic

Smooth Transition Autoregressive Models - New Approaches to the Model Selection Problem
WP010-06: Dietmar Maringer Mark Meyer

The Threshold Acceptance Optimization Heuristic in Economics and Statistics
WP009-06: Peter Winker; Dietmar Maringer

The Unconditional Distribution of Exchange Rate Returns: Statistics, Robustness, Time Aggregation
WP008-06: Peter Winker; Vahidin Jeleskovic

An agent-based model of interactions in the payment card market
WP007-06: Biliana Alexandrova-Kabadjova; Andreas Krause; Edward Tsang

Market structure and information in payment card markets
WP006-06: Biliana Alexandrova-Kabadjova; Edward Tsang; Andreas Krause

Small is beautiful. Diversification with a limited number of assets
WP005-06: Dietmar Maringer

Levy processes driven by stochastic volatility
WP004-06: Kyriakos Chourdakis

Switching Levy models in continuous time: finite distributions and option pricing
WP003-06: Kyriakos Chourdakis

Removing maturity effects of implied risk neutral densities and related statistics
WP002-06: Amadeo Alentorn; Sheri Markose

The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing
WP001-06: Sheri Markose; Amadeo Alentorn


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