Difference between revisions of "Rare Events Project"
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==Publications== | ==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. |
==Presentations== | ==Presentations== | ||
| + | # ''Application of Rare Events Detection Techniques to Financial Data'', Strategy Exploration Meeting: Lockheed Martin and SIT, School of Systems and Enterprises, Stevens Institute of Technology, July 2014. | ||
| + | # ''Rare Events Analysis for High-Frequency Equity Data'', 10th International Workshop on Rare Event Simulation (RESIM 2014), Tinbergen Institute, Amsterdam, August 27-29, 2014 | ||
| + | # ''Early Warning Methods for Rare Events Detection'', Stevens Innovation Expo - Faculty Poster Session, April 24, 2013 | ||
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Revision as of 16:28, 24 July 2017
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.
Presentations
- Application of Rare Events Detection Techniques to Financial Data, Strategy Exploration Meeting: Lockheed Martin and SIT, School of Systems and Enterprises, Stevens Institute of Technology, July 2014.
- Rare Events Analysis for High-Frequency Equity Data, 10th International Workshop on Rare Event Simulation (RESIM 2014), Tinbergen Institute, Amsterdam, August 27-29, 2014
- Early Warning Methods for Rare Events Detection, Stevens Innovation Expo - Faculty Poster Session, April 24, 2013
