5th Annual Modeling HF
Data In Finance
Conference

  • Modeling High Frequency Data in Finance Conference

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Research & Publications

The FSC will support innovative research into some of the most urgent problems and topics in contemporary Finance such as:

  • Financial Systems Regulation
  • Economic Policy Support
  • Design and Regulation of New Exchange Platform Technologies and Institutions
  • Design and Regulation of Advanced Trading Models & Practices

Additional information on research activities will be added to the FSC site in the near future.

Faculty Research & Publications

Below is a listing of the research papers and publications of Stevens, Quantitative Finance and Financial Engineering faculty.

Selected Publications

- K. Khashanah, "Financial Regulation Innovation Complexity and Systemic Risk" Systems Research Forum, World Scientific, Vol 5, No. 1 (2011) 73-87.

- D. Bozdog, I. Florescu, K. Khashanah, and J. Wang, "A Study of Persistence of Price Movement using High-Frequency Equity Data", in Handbook for Modeling High-frequency Data in Finance, Edited by M. Mariani and I. Florescu, Wiley 2012.


- D. Bozdog, I. Florescu, K. Khashanah, and H. Qiu, "Construction of Volatility Indices Using A multinomial Tree Approximation Method", in Handbook for Modeling High-frequency Data in Finance, Edited by M. Mariani and I. Florescu, Wiley 2012.

- K. Khashanah and Linyan Miao, "Dynamic Structure of US Financial Systems", Studies in Economics and Finance, Emerald, Volume 28, Number 4 (2011).


- D. Bozdog, I. Florescu, K. Khashanah, and J. Wang, "Rare Events Analysis of High-Frequency Equity Data", in Wilmott Journal, pp. 74-81, 2011. Available at SSRN: http://ssrn.com/abstract=2013355 / http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2013355

- George A. Polacek, David A. Gianetto, Khaldoun Khashanah, and Dinesh Verma, “On Principles and Rules in Complex adaptive systems: A Financial System Case Study”, accepted in Journal of Systems Engineering.