Babak Mahdavi-Damghani

发表

Guidelines for Building a Realistic Algorithmic Trading Market Simulator for Backtesting while Incorporating Market Impact

Babak Mahdavi-Damghani, S. Roberts, 2019, SSRN Electronic Journal.

Addendum on How Many Times Cointelated Pairs Cross Paths

Babak Mahdavi-Damghani, S. Roberts, 2020 .

A Bottom-up Approach to the Financial Markets: Agent-Based Quantitative Algorithmic Strategies: Ecosystem, Dynamics & Detection

Babak Mahdavi-Damghani, S. Roberts, 2019, SSRN Electronic Journal.

Data-Driven Models & Mathematical Finance: Apposition or Opposition?

Babak Mahdavi-Damghani, 2019, SSRN Electronic Journal.

A Bottom-up Approach to the Financial Markets

Babak Mahdavi-Damghani, S. Roberts, 2019 .

Machine Learning Techniques for Deciphering Implied Volatility Surface Data in a Hostile Environment: Scenario Based Particle Filter, Risk Factor Decomposition & Arbitrage Constraint Sampling (working paper: version of January 24, 2019)

Babak Mahdavi-Damghani, S. Roberts, 2019 .

Machine Learning Techniques for Deciphering Implied Volatility Surface Data in a Hostile Environment: Scenario Based Particle Filter, Risk Factor Decomposition & Arbitrage Constraint Sampling

Babak Mahdavi-Damghani, S. Roberts, 2018 .

Agent-Based Quantitative Financial Strategies & Price Formation: Systems & Evolutionary Dynamics as Deciphering Keys of the High Frequency Trading Ecosystem

Stephen J. Roberts, Babak Mahdavi-Damghani, Babak Mahdavi-Damghani, 2017 .

Deciphering Price Formation in the High Frequency Domain: Systems & Evolutionary Dynamics as keys for construction of the High Frequency Trading Ecosystem. (working paper)

Babak Mahdavi-Damghani, S. Roberts, 2017 .

The Misleading Value of Measured Correlation

Stephen Knights, Babak Mahdavi-Damghani, Daniella Welch Welch, 2012 .

Portfolio Optimization for Cointelated Pairs: SDEs vs Machine Learning

Stephen Roberts, Babak Mahdavi-Damghani, Konul Mustafayeva, 2018, Algorithmic Finance.

De-Arbitraging with a Weak Smile: Application to Skew Risk

A. Kos, Babak Mahdavi-Damghani, 2013 .

Babak Mahdavi-Damghani, 2012 .

Introducing the HFTE Model: A Multi‐Species Predator‐Prey Ecosystem for High‐Frequency Quantitative Financial Strategies

Babak Mahdavi-Damghani, 2017 .

A Proposed Risk Modeling Shift from the Approach of Stochastic Differential Equation towards Machine Learning Clustering: Illustration with the Concepts of Anticipative & Responsible VaR

Stephen J. Roberts, Babak Mahdavi-Damghani, Babak Mahdavi-Damghani, 2017 .

Introducing the HFTE Model: A Multi-Species Predator Prey Ecosystem for High Frequency Quantitative Financial Strategies

Babak Mahdavi-Damghani, 2017 .

Convergence of Heston to SVI Proposed Extensions: Rational & Conjecture for the Convergence of Extended Heston to the Implied Volatility Surface Parametrization

Babak Mahdavi-Damghani, S. Roberts, Konul Mustafayeva, 2017 .