| Mathematical models of price impact and optimal portfolio management in llliquid markets
|
2015 |
Andreev, Nikolay |
| Revisiting of empirical zero intelligence models
|
2015 |
Arbuzov, Vyacheslav |
| Stress-testing model for corporate borrower portfolios
|
2015 |
Seleznev, Vladimir |
| Evidence of microstructure variables' nonlinear dynamics from noised high-frequency data
|
2015 |
Andreev, Nikolay |
| Market shocks : review of studies
|
2015 |
Frolova, Mariya |
| On the modeling of financial time series
|
2015 |
Kutergin, Aleksey |
| Simulating the synchronizing behavior of high-frequency trading in multiple markets
|
2015 |
Myers, Benjamin |
| Raising issues about impact of high frequency trading on market liquidity
|
2015 |
Naumenko, Vladimir |
| Construction and backtesting of a multi-factor stress-scenario for the stock market
|
2015 |
Boldyrev, Kirill |
| Modeling financial market using percolation theory
|
2015 |
Byachkova, Anastasiya |
| How tick size affects the high frequency scaling of stock return distributions
|
2015 |
Curato, Gianbiagio |
| The synergy of rating agencies' efforts : Russian experience
|
2015 |
Karminsky, Alexander |
| Spread modelling under asymmetric information
|
2015 |
Kazachenko, Sergey |
| Adaptive stress testing : amplifying network intelligence by integrating outlier information (draft 16)
|
2015 |
Laubsch, Alan |
| Application of Copula models for modeling one-dimensional time series
|
2015 |
Onishchenko, Vadim |
| Global risk factor theory and risk scenario generation based on the Rogov-causality test of time series time-warped longest common subsequence
|
2015 |
Rogov, Mikhail |
| On some approaches to managing market risk using VaR limits : a note
|
2015 |
Lobanov, Alexey |
| Modeling demand for mortgage loans using loan-level data
|
2015 |
Ozhegov, Evgeniy |
| Sample selection bias in mortgage market credit risk modeling
|
2015 |
Lozinskaia, Agatha |
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