Difference between revisions of "Rare Events Project"
From revent
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==Team== | ==Team== | ||
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| + | ==Principal Investigator== | ||
| + | [http://personal.stevens.edu/~dbozdog/ '''Dr. Dragos Bozdog'''] | ||
==Publications== | ==Publications== | ||
# "A Study of Rare Events in High-Frequency Financial Data", D. Bozdog, Ph.D. Dissertation, Stevens Institute of Technology, 2014. | # "A Study of Rare Events in High-Frequency Financial Data", D. Bozdog, Ph.D. Dissertation, Stevens Institute of Technology, 2014. | ||
Revision as of 08:40, 8 July 2017
Principal Investigator
Publications
- "A Study of Rare Events in High-Frequency Financial Data", D. Bozdog, Ph.D. Dissertation, Stevens Institute of Technology, 2014.
- "Rare Events Analysis for High-Frequency Equity Data", D. Bozdog, I. Florescu, K. Khashanah, and J. Wang, Proceedings of the 10th International Workshop on Rare Event Simulation, RESIM 2014, Amsterdam.
- "Rare Events Analysis of High-Frequency Equity Data", D. Bozdog, I. Florescu, K. Khashanah, and J. Wang, Wilmott Journal (July 2011), 2011(54), pg. 74-81.
- "A study of persistence of price movement using High Frequency Financial Data", D. Bozdog, I. Florescu, K. Khashanah, and J. Wang, Chapter in "Handbook of Modeling High-Frequency Data in Finance", December 2011.
