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Playing with rgl package. Seems efficient 3D engine #rstats

July 11, 2011, 5:17 pm

Playing with rgl package. Seems efficient 3D engine #rstats

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Just uploaded 'High-Frequency Trading Happy Hour for Chinese and Expat...

July 11, 2011, 5:17 pm

Just uploaded 'High-Frequency Trading Happy Hour for Chinese and Expat Speed...' to SlideShare. http://slidesha.re/pLjwoI

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Level Two High Frequency Trading.mov: Level two high frequency trading. this...

July 11, 2011, 5:25 pm

Level Two High Frequency Trading.mov: Level two high frequency trading. this video is for educational purposes only http://6tnvq.tk

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Anomalous price impact and the critical nature of liquidity in financial...

July 11, 2011, 5:32 pm

We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is generic, and only relies...

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On Investment-Consumption with Regime-Switching. (arXiv:1107.1895v1 [math.OC])

July 11, 2011, 5:32 pm

In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount...

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Implied Volatility Surface: Construction Methodologies and Characteristics....

July 11, 2011, 5:32 pm

The implied volatility surface (IVS) is a fundamental building block in computational finance. We provide a survey of methodologies for constructing such surfaces. We also discuss various topics which...

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Adjoints and Automatic (Algorithmic) Differentiation in Computational...

July 11, 2011, 5:32 pm

Two of the most important areas in computational finance: Greeks and, respectively, calibration, are based on efficient and accurate computation of a large number of sensitivities. This paper gives an...

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Optimal Execution Problem for Geometric Ornstein-Uhlenbeck Price Process....

July 11, 2011, 5:32 pm

We study the optimal execution problem in the presence of market impact and give a generalization of the main result of Kato(2009). Then we consider an example where the security price follows a...

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