Babak Mahdavi-Damghani
Title
Cited by
Cited by
Year
The Non‐Misleading Value of Inferred Correlation: An Introduction to the Cointelation Model
B Mahdavi-Damghani
Wilmott 2013 (67), 50-61, 2013
412013
The Misleading Value of Measured Correlation
B Mahdavi-Damghani, D Welch, C O'Malley, S Knights
Wilmott 2012 (62), 64-73, 2012
412012
De‐arbitraging With a Weak Smile: Application to Skew Risk
B Mahdavi-Damghani, A Kos
Wilmott 2013 (64), 40-49, 2013
312013
Introducing the Implied Volatility Surface Parametrization (IVP): Application to the FX Market
B Mahdavi-Damghani
Wilmott 2015 (77), 68-81, 2015
122015
Introducing the HFTE Model: A Multi-Species Predator Prey Ecosystem for High Frequency Quantitative Financial Strategies
B Mahdavi-Damghani
Wilmott 2017 (89), 2017
112017
The Unfortunate cosT Of Pattern rEcognition (UTOPE-ia): the Genetic Disorder of the Financial Industry
B Mahdavi-Damghani
Wilmott 2012 (60), 28-37, 2012
8*2012
A proposed risk modeling shift from the approach of stochastic differential equation towards machine learning clustering: Illustration with the concepts of anticipative …
B Mahdavi-Damghani, S Roberts
Available at SSRN 3039179, 2017
72017
Data-Driven Models & Mathematical Finance: Apposition or Opposition?
B Mahdavi-Damghani
University of Oxford (Oxford-Man Institute of Quantitative Finance), 2020
6*2020
Deciphering price formation in the high frequency domain: Systems & evolutionary dynamics as keys for construction of the high frequency trading ecosystem
B Mahdavi-Damghani, S Roberts
University of Oxford (Oxford-Man Institute of Quantitative Finance), 2017
62017
Design of Agent---Injury Modeling
B Silverman, GK Bharathy, BM Damghani, E Kim, L Lambert
University of Pennsylvania, Philadelphia, PA, 19104-6315, 2003
52003
Oxbridge capital partners yearly review
B Mahdavi-Damghani
EQRC, 2018
42018
Data-driven models & mathematical finance: apposition or opposition?
B Mahdavi-Damghani
Available at SSRN 3521933, 2019
32019
Machine Learning Techniques for Deciphering Implied Volatility Surface Data in a Hostile Environment: Scenario Based Particle Filter, Risk Factor Decomposition & Arbitrage …
B Mahdavi-Damghani, S Roberts
University of Oxford (Oxford-Man Institute of Quantitative Finance), 2018
32018
Convergence of Heston to SVI Proposed Extensions: Rational & Conjecture for the Convergence of Extended Heston to the Implied Volatility Surface Parametrization
B Mahdavi-Damghani, K Mustafayeva, S Roberts
Available at SSRN 3039185, 2017
32017
Portfolio optimization in the context of cointelated pairs: Stochastic differential equation vs. machine learning approach
B Mahdavi-Damghani, K Mustafayeva, S Roberts, C Buescu
Social Science Electronic Publishing, 2017
32017
Introduction to the cointelation model and inferred correlation
B MAHDAVI-DAMGHANI
Wilmott Magazine 67, 0-61, 2013
32013
A Bottom-up Approach to the Financial Markets: Agent-Based Quantitative Algorithmic Strategies: Ecosystem, Dynamics & Detection
B Mahdavi-Damghani, S Roberts
Dynamics & Detection (February 9, 2019), 2019
22019
A Bottom-up Approach to the Financial Markets
B Mahdavi-Damghani, S Roberts
Available at SSRN 3331423, 2019
22019
The Misleading Value of Measured Correlation. Accepted for publication in Wilmott magazine
B Mahdavi Damghani, D Welch, C O’Malley, S Knights
Preprint available at: http://wilmott. com/pdfs/MVMC_CSL_05_2012. pdf, 2012
22012
Design of agent–injury modeling [Report]. University of Pennsylvania, Philadelphia, PA
B Silverman, GK Bharathy, BM Damghani
2
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