Rare Events Project

Publications

1. A Study of Rare Events in High-Frequency Financial Data, D. Bozdog, Ph.D. Dissertation, Stevens Institute of Technology, 2014.
2. 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.
3. 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.
4. 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

1. 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.
2. Rare Events Analysis for High-Frequency Equity Data, 10th International Workshop on Rare Event Simulation (RESIM 2014), Tinbergen Institute, Amsterdam, August 27-29, 2014
3. Early Warning Methods for Rare Events Detection, Stevens Innovation Expo - Faculty Poster Session, April 24, 2013
4. 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
5. Detection and Analysis of Rare Events in High-Frequency Financial Data, Stevens Financial Systems Center (FSC) Launch Event, April 17, 2012
6. Rare Events Detection and Analysis of Equity and Commodity High-Frequency Data, SIAM Conference on Uncertainty Quantification, April 2-5, 2012
7. Equity and commodity behavior in the proximity of rare events, Sixth Rutgers-Stevens Workshop in Optimization of Stochastic Systems, November 4-5, 2011
8. A Study of Persistence of Price Movement Using High Frequency Financial Data, 37th Eastern Economic Association Annual Meetings in New York City, 2011
9. Empirical Study of the Price-Volume relationship using High-Frequency data, Conference on Modeling High Frequency Data in Finance II, June 24-27, 2010
10. Rare Events Detection and Analysis of High-Frequency Financial Data, AMS Western Sectional Meeting, Albuquerque, April 17-18, 2010