19972019
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Research Output 1997 2019

2019

Revealing high-frequency trading provision of liquidity with visualization

Hirsch, M., Cook, D., Lajbcygier, P. & Hyndman, R., 2019, Proceedings of the 2nd International Conference on Software Engineering and Information Management (ICSIM 2019). Budiardjo, E. K. & Sbihi, M. (eds.). 1st ed. New York NY USA: Association for Computing Machinery (ACM), p. 157-165 9 p. (ACM International Conference Proceeding Series).

Research output: Chapter in Book/Report/Conference proceedingConference PaperOtherpeer-review

2018

Financial education via television comedy

Crawford, A., Lajbcygier, P. & Maitra, P., 28 Nov 2018, In : Applied Economics Letters. 25, 20, p. 1407-1410 4 p.

Research output: Contribution to journalArticleResearchpeer-review

The effect of anonymity on price efficiency: evidence from the removal of broker identities

Duong, H. N., Lajbcygier, P., Lu, J. S. & Vu, V. H., 1 Oct 2018, In : Pacific Basin Finance Journal. 51, p. 95-107 13 p.

Research output: Contribution to journalArticleResearchpeer-review

2017

A comparison of the forecasting ability of immediate price impact models

Pham, M. C., Duong, H. N. & Lajbcygier, P., Dec 2017, In : Journal of Forecasting. 36, 8, p. 898-918 21 p.

Research output: Contribution to journalArticleResearchpeer-review

Hedge fund replication

Tupitsyn, M. & Lajbcygier, P., 2017, Hedge Funds: Structure, Strategies, and Performance. Baker, H. K. & Filbeck, G. (eds.). 1st ed. Oxford UK: Oxford University Press, p. 460-490 31 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

The information content of special orders

Duong, H. N., Lajbcygier, P. & Vu, V. H., Oct 2017, In : Pacific Basin Finance Journal. 45, p. 68-81 14 p.

Research output: Contribution to journalArticleResearchpeer-review

2016

Factors affecting the birth and fund flows of CTAs

Do, V., Faff, R., Lajbcygier, P., Veeraraghavan, M. & Tupitsyn, M., May 2016, In : Australian Journal of Management. 41, 2, p. 324-352 29 p.

Research output: Contribution to journalArticleResearchpeer-review

2015

Is Fundamental Indexation able to time the market? Evidence from the Dow Jones Industrial Average and the Russell 1000

Chen, S. D., Dempsey, M. J. & Lajbcygier, P. R., 2015, In : Journal of International Financial Markets, Institutions and Money. 37, p. 162 - 177 16 p.

Research output: Contribution to journalArticleResearchpeer-review

The viability of alternative indexation when including all costs

Lajbcygier, P. R. & Sojka, J., 2015, In : International Review of Financial Analysis. 38, p. 109 - 141 33 p.

Research output: Contribution to journalArticleResearchpeer-review

2013

Hedge funds: Replication and nonlinearities

Tupitsyn, M. & Lajbcygier, P. R., 2013, Alternative Investments: Instruments, Performance, Benchmarks, and Strategies. Baker, H. K. & Filbeck, G. (eds.). Hoboken NJ USA: John Wiley & Sons, p. 541 - 566 26 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Virtue remains after removing sin: Finding skill amongst socially responsible investment managers

Ooi, E. M. & Lajbcygier, P. R., 2013, In : Journal of Business Ethics. 113, 2, p. 199 - 224 26 p.

Research output: Contribution to journalArticleResearchpeer-review

2012

Estimating the cost of capital with basis assets

Brown, S., Lajbcygier, P. R. & Wong, W. W., 2012, In : Journal of Banking and Finance. 36, 11, p. 3071 - 3079 9 p.

Research output: Contribution to journalArticleResearchpeer-review

Imputation credits and equity returns

Lajbcygier, P. R. & Wheatley, S., 2012, In : Economic Record. 88, 283, p. 476 - 494 19 p.

Research output: Contribution to journalArticleResearchpeer-review

2010

Modern Option Pricing: Improving Option Pricing with Modern Statistical Techniques

Lajbcygier, P., 2010, 1st ed. Saarbrucken Germany: Lambert Academic Publishing. 667 p.

Research output: Book/ReportBookOther

2009

E-Learning Technologies and Evidence-Based Assessment Approaches

Spratt, C. F. & Lajbcygier, P. R., 2009, Hershey New York USA: Information Science Reference. 313 p.

Research output: Book/ReportEdited BookOther

Examination items in financial mathematics: A Bayesian analysis of Differential Item Functioning (DIF) using Item-Response Theory (IRT)

Sanford, A. D. & Lajbcygier, P. R., 2009, In : Advances in Financial Education. 7, 1 & 2, p. 158 - 182 25 p.

Research output: Contribution to journalArticleResearchpeer-review

Identifying latent classes and differential item functioning in a cohort of e-learning students

Sanford, A. D., Lajbcygier, P. R. & Spratt, C. F., 2009, E-Learning Technologies and Evidence -Based Assessment Approaches. Spratt, C. & Lajbcygier, P. (eds.). Hershey PA USA: Information Science Publishing, p. 195 - 217 23 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

The validity of group marks as a proxy for individual learning in e-learning settings

Lajbcygier, P. R. & Spratt, C. F., 2009, E-Learning Technologies and Evidence -Based Assessment Approaches. Spratt, C. & Lajbcygier, P. (eds.). Hershey PA USA: Information Science Publishing, p. 136 - 150 15 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

2008

A model of fund growth for managed futures: Evidence of managerial skill

Lajbcygier, P. R., 2008, In : Journal of Investment Management. 6, 1, p. 55 - 67 13 p.

Research output: Contribution to journalArticleResearchpeer-review

Going negative: What to do with negative book equity stocks

Brown, S., Lajbcygier, P. R. & Li, B., 2008, In : Journal of Portfolio Management. 35, 1, p. 95 - 102 8 p.

Research output: Contribution to journalArticleResearchpeer-review

Incentives for asset growth: The different causes of monthly in-flows and out-flows of surviving managed futures funds

Lajbcygier, P. R. & Shen, Y., 2008, In : Journal of Derivatives & Hedge Funds. 13, 4, p. 287 - 303 17 p.

Research output: Contribution to journalArticleResearchpeer-review

Predicting exam failure in computational finance

Lajbcygier, P. R. & Sanford, A. D., 2008, In : Advances in Financial Education. 6, Winter, p. 59 - 78 20 p.

Research output: Contribution to journalArticleResearchpeer-review

2007

Effect of negative book equity on the Fama French HML

Li, B. & Lajbcygier, P. R., 2007, Advances in Business and Finance Studies 2006: Capital Markets. Narender, V. & Malhotra, D. K. (eds.). 1 ed. Hyderabad India: Icfai University Press, p. 213 - 226 14 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Predicting asymmetric monthly fund flows for hedge funds

Dunis, C. (ed.), Lajbcygier, P. R., Dempster, M. (ed.), Shen, Y., Girardin, E. (ed.) & Peguin-Feissolle, A. (ed.), 2007, p. 1 - 24. 24 p.

Research output: Contribution to conferenceOtherOther

Using "blended learning" to develop tertiary students' skills of critique

Lajbcygier, P. R. & Spratt, C. F., 2007, Integrating Information and Communications Technologies into the Classroom. Tomei, L. (ed.). Hershey PA USA: Information Science Publishing, p. 1 - 18 18 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Using the gap statistic to find the correct number of mutual fund styles

Lajbcygier, P. R., 2007, In : Economic & Financial Modelling. 14, 3, p. 103 - 137 35 p.

Research output: Contribution to journalArticleResearchpeer-review

2006

Effect of the inclusion of negative book equity stocks on value premium

Li, B., Lajbcygier, P. R. & Guo, S., 2006, Proceedings of the Third International Business Research Conference. Hoque, M. Z. (ed.). Berwick Vic Australia: World Business Institute, p. 1 - 12 12 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

2005

How valid are group marks as a proxy for the individual learning that comes from group assignment and project work?

Eley, M. G., Lajbcygier, P. R. & Spratt, C., 2005, Improving Student Learning: Diversity and Inclusivity. Rust, C. (ed.). 1 ed. UK: Oxford Centre for Staff & Learning Development, p. 137 - 148 12 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Other

Improving co-integration trading rule profitability with forecasts from an artificial neural network

Lajbcygier, P. R. & Lee, S., 2005, Enformatika. Ardil, C. (ed.). Taksim Turkey: International Enformatika Society, Vol. 7. p. 36 - 39 4 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

Novel Measures Of Style Drift For Mutual Funds Classified According To Fuzzy C-Means

Burns Jr, R. T. (ed.), Choo, T. J., Graham Jr, J. E. (ed.) & Lajbcygier, P. R., 2005, p. 73 - 80. 8 p.

Research output: Contribution to conferenceOtherOther

2004

A framework for modeling financial instruments using object-oriented technology

Lajbcygier, P. R. & Cong, K., 2004, Proceedings of the ISCA 13th International Conference on Intelligent and Adaptive Systems and Software Engineering. Dosch, W. & Debnath, N. (eds.). Cary USA: The International Society for Computers and their Applications, p. 302 - 305 4 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

E-Learning and Peer Assessment: How can Technology Aid in Critique?

Fenstrom, K. (ed.), Lajbcygier, P. R. & Spratt, C. F., 2004, p. 65 - 70. 6 p.

Research output: Contribution to conferenceOtherOther

Improving option pricing with the product constrained hybrid neural network

Lajbcygier, P. R., 2004, In : IEEE Transactions on Neural Networks. 15, 2, p. 465 - 476 12 p.

Research output: Contribution to journalArticleResearchpeer-review

Soft clustering for funds management style analysis: out-of-sample predictability

Lajbcygier, P. R. & Yahya, A., 2004, Proceedings International Conference on Fuzzy Sets and Soft Computing in Economics and Finance. Batyrshin, I., Kacprzyk, J. & Sheremetov, L. (eds.). Mexico: Instituto Mexicano del Petroleo, Vol. 1. p. 97 - 102 6 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

Using visual exploratory data analysis to find bias in option pricing models

Lajbcygier, P. R., 2004, Proceedings Eighth International Conference on Information Visualisation. Banissi, E., Borner, K., Chen, C., Dastbaz, M., Clapworthy, G., Faiola, A., Izquierdo, E., Maple, C., Roberts, J., Moore, C., Ursyn, A. & Zhang, J. J. (eds.). Los Alamitos USA: IEEE Computer Society, Vol. IV. p. 29 - 34 6 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

2003

A rationale for using soft clustering for funds management style analyses

Yahya, A. & Lajbcygier, P. R., 2003, Proceedings of the 10th International Fuzzy Systems Association World Congress. Kaynak, O. (ed.). Istanbul Turkey: IFSA, p. 412 - 416 5 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

Estimating the number of mutual fund styles using the generalized style classification approach and the GAP statistic

Lajbcygier, P. R. & Ong, M-Y., 2003, Proceedings of the 2003 IEEE International Conference on Computational Intelligence for Financial Engineering. King, I. (ed.). Hong Kong: IEEE, Institute of Electrical and Electronics Engineers, p. 279 - 284 6 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

Option pricing with the product constrained hybrid neural network

Lajbcygier, P. R., 2003, Proceedings of the Joint International Conference on Artificial Neural Networks and Neural Information Processing (ICANN/ICONIP 2003). Kaynak, O., Alpaydin, E., Oja, E. & Xu, L. (eds.). New York USA: Springer-Verlag London Ltd., Vol. 2714. p. 615 - 621 7 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

Trading futures with the largest equity drawdown method

Lajbcygier, P. R. & Lim, E., 2003, Proceedings of the 4th International Conference in Intelligent Data Engineering and Automated Learning (IDEAL 2003). Liu, J., Cheung, Y. & Yin, H. (eds.). New York USA: Springer-Verlag London Ltd., Vol. 2690. p. 929 - 933 5 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

2002

Comparing conventional and artificial neural network models for the pricing of options

Lajbcygier, P. R., 2002, Neural Networks in Business: Techniques and Applications. Smith, K. A. & Gupta, J. N. D. (eds.). 1 ed. Hershey USA: Idea Group Publishing, p. 220 - 235 16 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Optimizing Technical Trading Strategies with Split Search Genetic Algorithms

Tsang, R. & Lajbcygier, P. R., 2002, Studies in Fuzziness and Soft Computing. Chen, S. (ed.). Physica Verlag, p. -

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Other

2000

Hybrid Option Pricing with an Optimal Weighted Implied Standard Deviation

Lajbcygier, P. R., Flitman, A. M. & Palaniswami, M., 2000, Commerce Complexity and Evolution. New York NY USA: Cambridge University Press, p. 191 - 211 21 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Optimization of a Technical Trading Strategy using split search genetic algorithms

Tsang, R. & Lajbcygier, P. R., 2000, Computational Finance. Abu-Mostafa, Y., LeBaron, B. & Lo, A. (eds.). The MIT Press, p. 369 - 386 18 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Other

1999

Advancements in option pricing using computational intelligence - part 2

Lajbcygier, P. R. & Flitman, A. M., 1999, In : Journal of Computational Intelligence in Finance. 7, 6, p. 4 - 4 1 p.

Research output: Contribution to journalArticleOther

Advances in optional pricing using computational intelligence

Lajbcygier, P. R., 1999, In : Journal of Computational Intelligence in Finance. 7, 5, p. 4 - 5 2 p.

Research output: Contribution to journalArticleOther

Does statistics cramp your style: Which learning style learns re-sampling statistics most effectively?

Lajbcygier, P. R., 1999, p. 1 - 1. 1 p.

Research output: Contribution to conferenceOtherOther

The Non-Parametric Option Pricing Models

Lajbcygier, P. R., 1999, In : Journal of Computational Intelligence in Finance. p. 6 - 18 13 p.

Research output: Contribution to journalArticleOther

The Problem With Modern Parametric Option Pricing: A Literature Review

Lajbcygier, P. R., 1999, In : Journal of Computational Intelligence in Finance. p. 6 - 23 18 p.

Research output: Contribution to journalArticleOther