Research & Publications
Books & Articles Published by our Team

Published in 2016
by Palgrave Macmillan

ISBN 978-1-137-48879-4

New Developments in Quantitative Trading and Investment

We are pleased to announce a new book series on 'New Developments in Quantitative Trading and Investment', published by MacMillan.

The 2007-2008 financial crisis and the subsequent world economic crisis have demonstrated the need for academics and the fund management industry to better address the deep complexity of financial decision processes through more robust and refined investment and trading approaches, if they wish to be in a position to offer investment portfolios that combine outstanding returns and minimal risk.

Please, see the call for contributions for more information.

Books

  • “Artificial Intelligence in Financial Markets”
    Palgrave Macmillan, 2016, ISBN: 978-1-137-48879-4
  • “Computational Intelligence Techniques for Trading and Investment”
    Routledge, 2013, ISBN: 978-0415636803
  • “Applied Quantitative Methods for Trading and Investment”
    John Wiley, 2003, ISBN: 0470848855
  • “Developments in Forecast Combination and Portfolio Choice”
    John Wiley, 2001, ISBN: 0471521655
  • “Advances in Quantitative Asset Management”
    Kluwer Academic Publishers, 2000, ISBN: 0-7923-7778-8
  • “Nonlinear Modelling of High Frequency Financial Time Series”
    John Wiley, 1998, ISBN:0471974641
  • “Forecasting Financial Markets”
    John Wiley, 1996, ISBN: 0471966533
  • “Exchange Rate Forecasting”
    Probus, 1989, ISBN: 1557381003

Refereed Journals

  • “Stock Market Prediction Using Evolutionary Support Vector Machines: An Application to the ASE20 Index”, European Journal of Finance, 2015, DOI: 10.1080/1351847X.2015.1040167, 1-21;
  • “Intelligent Trading of Seasonal Effects: A Decision Support Algorithm Based on Reinforcement Learning”, Decision Support Systems, 2014, DOI:10.1016/j.dss.2014.04.011, No. 64, 100-108;
  • "Operational Risk: Emerging Markets, Sectors and Measurement", European Journal of Operational Research, 2014, DOI: 10.1016/j.ejor.2014.08.021, 1-11;
  • “Forecasting EUR-USD Implied Volatility: The Case of Intraday Data”, Journal of Banking & Finance, 2013, No. 37/12, DOI: 10.1016/j.jbankfin.2018.08.028, 4943-57;
  • "ETF Pair-Trading Strategies Using Autocorrelation-Based Mean Reversion", ETF Risk,2013, October, 36-41;
  • "Stock Market Linkages Among New EMU Members and the Euro Area: Implications for Financial Integration and Portfolio Diversification", Studies in Economics and Finance, 2013, No. 30/4, DOI 10.1108/SEF-04-2012-0048, 370-88;
  • “Trading and Hedging the Corn/Ethanol Crush Spread Using Time-Varying Leverage and Nonlinear Models”, European Journal of Finance, 2013, DOI: 10.1080/1351847X.2013.830140, 1-24;
  • “GP Algorithm Versus Hybrid and Mixed Neural Networks”, European Journal of Finance, 2013, No. 19/3, DOI: 10.1080/1351847X.2012.679740, 180-205;
  • "A Hybrid Genetic Algorithm-Support Vector Machine Approach in the Task of Forecasting and Trading”, Journal of Asset Management, 2013, DOI:10.1057/jam.2013.2, 1-20;
  • "Modelling Commodity Value at Risk with Psi Sigma Neural Networks Using Open-High-Low-Close Data", European Journal of Finance, 2013, DOI: 10.1080/1351847X.2012.744763, 1-21;
  • “Forecasting Foreign Exchange Rates With Adaptive Neural Networks Using Radial-Basis Functions and Particle Swarm Optimization", European Journal of Operational Research, 2013, No. 225/3, 528-540;
  • “Forecasting IBEX-35 Moves Using Support Vector Machines”, Neural Computing & Applications, 2012, Vol. 21, DOI: 10.1007/s00521-012-0821-9, 3-10;
  • "Forecasting and Trading the EUR/USD Exchange Rate with Stochastic Neural Network Combination and Time-Varying Leverage", Decision Support Systems, 2012, No. 54, 316-329;
  • “GP Algorithm versus Hybrid and Mixed Neural Networks”, European Journal of Finance, 2012, DOI: 10.1080/1351847X.2012.679740, 1-26;
  • “Forecasting and Trading the EUR/USD Exchange Rate with Gene Expression and Psi Sigma Neural Networks”, Expert Systems with Applications, 2012, No. 39/10, 8865-77;
  • “Currency Trading in Volatile Markets: Did Neural Networks Outperform for the EUR/USD during the Financial Crisis 2007-2009?”, Journal of Derivatives & Hedge Funds, 2012, No. 18/1, 2-41;
  • "Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices, Journal of Asset Management, 2011, No. 12/3, 185-202
  • “Modelling and Trading the Realised Volatility of the FTSE100 Futures with Higher Order Neural Networks”, European Journal of Finance, 2011, iFirst, 1-15, DOI:10.1080/1351847X.2011.606990;
  • "Cointegration-Based Optimisation of Currency Portfolios", Journal of Derivatives and Hedge Funds, 2011, No. 17, 86-114;
  • "Higher Order and Recurrent Neural Architectures for Trading the EUR/USD Exchange Rate", Quantitative Finance, 2011, No. 11/4, 615-629;
  • “Modelling and Trading the EUR/USD Exchange Rate at the ECB Fixing”, European Journal of Finance, 2010, No. 16/6, 541-560;
  • “Modelling Commodity Value at Risk with Higher Order Neural Networks”, Applied Financial Economics, 2010, No 20/7, 585-600;
  • “Foreign Exchange, Fractional Cointegration and the Implied-Realized Volatility Relation”, Journal of Banking and Finance, 2010, No. 34, 882-891;
  • "Trading and Filtering Futures Spread Portfolios: Further Applications of Threshold and Correlation Filters", Journal of Derivatives and Hedge Funds, 2010, No. 15, 274-287;
  • “The Robustness of Neural Networks for Modelling and Trading the EUR/USD Exchange Rate at the ECB Fixing”, Journal of Derivatives and Hedge Funds, 2009, No.15/3, 186-205;
  • “Trading Futures Spread Portfolios: Applications of Higher Order and Recurrent Networks”, European Journal of Finance, 2008, No. 14/5-6, 503-521;
  • “Quantitative Trading of Gold and Silver Using Nonlinear Models”, Neural Network World, 2007, No 16/2, 93-111;
  • “The Economic Value of Advanced Time Series Methods for Modelling and Trading 10-year Government Bonds", European Journal of Finance, 2007, No. 13/4, 333-352;
  • “Trading Foreign Exchange Portfolios with Volatility Filters: The Carry Model Revisited”, Applied Financial Economics, 2007, No. 17/3, 249-255;
  • “Volatility Filters for FX Portfolio Trading: The Impact of Alternative Volatility Models”, Applied Financial Economics Letters, 2006, No. 2/6, 389-394;
  • “Volatility Filters for Asset Management: An Application to Managed Futures”, Journal of Asset Management, 2006, No 7/3-4, 179-189;
  • “Modelling and Trading the Soybean-Oil Crush Spread with Recurrent and Higher Order Networks: A Comparative Analysis”, Neural Network World, 2006, No 13/3, 193-213;
  • “Advanced Frequency and Time Domain Filters for Currency Portfolio Management”, Journal of Asset Management, 2006, No 7/1, 22-30;
  • "Modelling and Trading the Gasoline Crack Spread: A Non-Linear Story", Derivatives Use, Trading & Regulation, 2006, No 12, 126-145;
  • “Trading Futures Spreads: An Application of Correlation and Threshold Filters”, Applied Financial Economics, 2006, No. 16, 1-12;
  • “Modelling with Recurrent and Higher Order Networks: A Comparative Analysis”, Neural Network World, 2005, No. 15/6, 509-523;
  • “Probability Distributions and Leveraged Trading Strategies: An Application of Gaussian Mixture Models to the Morgan Stanley Technology Index Tracking Fund”, Quantitative Finance, 2005, No. 5/5, 459-474;
  • “Probability Distribution Architectures for Trading Silver”, Neural Network World, 2005, No. 15/5, 437-470;
  • “Level Estimation, Classification and Probability Distribution Architectures for Trading the EUR/USD Exchange Rate”, Neural Computing & Applications, 2005, No 14/3, 256-271;
  • “Emerging Markets of South-East and Central Asia: Do they Still Offer a Diversification Benefit?”, Journal of Asset Management, 2005, No 6/3, 168-190;
  • “Analysing Mergers and Acquisitions in European Financial Services: An Application of Real Options”, European Journal of Finance, 2005, No 11/4, 339-355;
  • “Cointegration Portfolios of European Equities for Index Tracking and Market Neutral Strategies”, Journal of Asset Management, 2005, No 6/1, 33-52;
  • “Volatility Filters for Dynamic Portfolio Optimization”, Applied Financial Economic Letters, 2005, No. 1, 111-119;
  • “Extending the Variance Ratio Test to Visualise Structure in Data: An Application to the S&P100 Index”, Applied Financial Economic Letters, 2005, No. 1, 189-197;
  • "Alternative Volatility Models for Risk Management and Trading: An Application to the EUR/USD and USD/JPY Rates", Derivatives Use, Trading & Regulation, 2005, No 11/2, 126- 156;
  • "Optimal Trading Frequency for Active Asset Management: Evidence from Technical Trading Rules", Journal of Asset Management, 2005, No 5/5, 305-326;
  • “Alternative Valuation Techniques for Predicting UK Stock Returns", 2004, Journal of Asset Management, No 5/4, 230-250;
  • “Probability Distributions, Trading Strategies and Leverage: An Application of Gaussian Mixture Models”, Journal of Forecasting, 2004, No 23/8, 559-585; 2
  • “The Informational Content of Swaption Rates for USD and EUR Government Bonds Volatility Models”, Derivatives Use, Trading & Regulation, 2004, No 10/3, 197-228;
  • “Alternative Forecasting Techniques for Predicting Company Insolvencies: The UK Example (1980-2001)”, Neural Network World, 2003, No 13/4, 326-360;
  • “Weather Derivatives Pricing and Filling Analysis for Missing Temperature Data”, Derivatives Use, Trading & Regulation, 2003, No 9/1, 61-83;
  • “FX Volatility Forecasts and the Informational Content of Market Data for Volatility”, European Journal of Finance, 2003, No 9/3, 242-272;
  • “Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regressionand Model Combination”, Journal of Forecasting, 2002, No. 21, 317-354;
  • “Modelling and Trading the EUR/USD Exchange Rate: Do Neural Network Models Perform Better?”, Derivatives Use, Trading & Regulation, 2002, No 8/3, 211-239;
  • “Neural Network Regression and Alternative Forecasting Techniques for Predicting Financial Variables“, Neural Network World, 2002, No 12/2, 113-139;
  • “Do Exotic Currencies Improve the Risk-Adjusted Performance of Dynamic Currency Overlays ?“, Journal of Asset Management, 2002, No 4, 335-352;
  • "The Information Content of Risk Reversals”, Derivatives Use, Trading & Regulation, 2001, No 2, 98-117;
  • "Intraday Data and Hedging Efficiency in Interest Spread Trading”, European Journal of Finance, 2000, No 4, 332-352;
  • “FX Volatility Forecasts: A Fusion-Optimisation Approach”, Neural Network World, 2000, No 10/1-2, 187-202;
  • "Improving Hedge Ratio Efficiency with Intraday Data”, Derivatives Use, Trading & Regulation, No 3, 1999, 235-247;
  • “Optimising Intraday Trading Models with Genetic Algorithms”, Neural Network World, 1999, No 9/3, 193-223;
  • "Volatility Trading Models: An Application to Daily Exchange Rates”, Derivatives Use, Trading & Regulation, 1998, No 1, 9-16;
  • “The Economic Value of Neural Network Systems for Exchange Rate Forecasting”, Neural Network World, 1996, No 1/1, 43-55;
  • “Efficiency Tests with Overlapping Data: An Application to the Currency Options Market”, European Journal of Finance, 1995, No 4, 345-366;
  • "Leading Edge Forecasting Techniques for Exchange Rate Prediction", European Journal of Finance, 1995, No 1, 311-323.

Chapters in Books

  • “Modelling and Trading the Gasoline Crack Spread: A Non-Linear Story”, 140-160 in “Derivatives and Hedge Funds” by S. Satchell [ed.] (Palgrave Macmillan, Basingstoke, 2016, ISBN: 978-1-137-55416-1);
  • “Modelling and Trading the Greek Stock Market with Hybrid ARMA-Neural Network Models”, 99-121 in “Financial Decision Making Using Computational Intelligence” by M. Doumpos, C. Zopounidis and P. M. Pardalos [eds.] (Springer, New York, 2012, ISBN: 978-1-4614-3773-4);
  • “Modelling Benchmark Government Bonds Volatility: Do Swaption Rates Help?”,  343-374, in “Progress in Financial Markets Research” by C. Kyrtsou and C. Vorlow [eds.] (Nova Science Publishers,  Hauppauge, NY, 2012, ISBN: 978-1-61122-864-9);
  • “Higher-Order Neural Networks with Bayesian Confidence Measure for Prediction of EUR/USD Exchange Rate”, 48-59 in “Artificial Higher Order Neural Networks for Economics and Business” by M. Zhang (Information Science Reference, 2009, ISBN: 978-159904897-0).
  • “Modelling and Trading the Soybean-Oil Crush Spread with Recurrent and Higher Order Networks: A Comparative Analysis”, 348-366, in “Artificial Higher Order Neural Networks for Economics and Business” by M. Zhang (Information Science Reference, 2009, ISBN: 978-159904897-0).
  • “The Economic Value of Leading Edge Techniques for Exchange Rate Prediction”, 112-26 in “Advanced Trading Rules” by E. Acar and S. Satchell (Butterworth Heinemann, 1998, ISBN: 0750638176);
  • “A Fundamental Approach for Forecasting Interest Rates with an Application to the Deutsche Mark Yield Curve”, 59-76 in “Yield: Option Embedded Bonds, Term Structure Models and Credit Considerations” by I. Nelken et al. (Irwin Professional Publishing, 1997, ISBN: 0786308184).