Difference between revisions of "Rare Events Project"
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# ''Equity and commodity behavior in the proximity of rare events'', Sixth Rutgers-Stevens Workshop in Optimization of Stochastic Systems, November 4-5, 2011 | # ''Equity and commodity behavior in the proximity of rare events'', Sixth Rutgers-Stevens Workshop in Optimization of Stochastic Systems, November 4-5, 2011 | ||
# ''A Study of Persistence of Price Movement Using High Frequency Financial Data'', 37th Eastern Economic Association Annual Meetings in New York City, 2011 | # ''A Study of Persistence of Price Movement Using High Frequency Financial Data'', 37th Eastern Economic Association Annual Meetings in New York City, 2011 | ||
+ | # ''Empirical Study of the Price-Volume relationship using High-Frequency data'', Conference on Modeling High Frequency Data in Finance II, June 24-27, 2010 | ||
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Revision as of 16:31, 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
- Methods for Detection and Analysis of Rare Events in High-Frequency Financial Data, The 4th Annual Modeling High Frequency Data in Finance Conference , July 19-22, 2012
- Detection and Analysis of Rare Events in High-Frequency Financial Data, Stevens Financial Systems Center (FSC) Launch Event, April 17, 2012
- Rare Events Detection and Analysis of Equity and Commodity High-Frequency Data, SIAM Conference on Uncertainty Quantification, April 2-5, 2012
- Equity and commodity behavior in the proximity of rare events, Sixth Rutgers-Stevens Workshop in Optimization of Stochastic Systems, November 4-5, 2011
- A Study of Persistence of Price Movement Using High Frequency Financial Data, 37th Eastern Economic Association Annual Meetings in New York City, 2011
- Empirical Study of the Price-Volume relationship using High-Frequency data, Conference on Modeling High Frequency Data in Finance II, June 24-27, 2010