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Please note that this is not a complete list of this person’s publications. It includes only semantically relevant works. For a full list, please refer to Infoscience.
We design and deploy a trading strategy that mirrors the Exchange Traded Fund (ETF) arbitrage technique for sector trading. Artificial Neural Networks (ANNs) are used to capture pricing relationships within a sector using intra-day trade data. The fair pric ...
We consider unconstrained minimax problem where the objective function is the maximum of a finite number of smooth convex functions. We present an iterative method to compute the optimal solution for the unconstrained convex finite minimax problem. The alg ...