Difference between revisions of "Rare Events Project"
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==Objectives== | ==Objectives== | ||
Revision as of 16:07, 24 July 2017
Rare Events Project
General Overview of the Project
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.
