19972019
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Research Output 1997 2019

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Conference Paper
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

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

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

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

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

1997

Improved Option Pricing Using Bootstrap Methods

Lajbcygier, P. R. & Connor, J. T., 1997, Proceedings of the 1997 IEEE International Conference on Neural Networks. New Jersey USA: IEEE, Institute of Electrical and Electronics Engineers, p. 2193 - 2197 5 p.

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