Simulator Models for the Limit Order Book Dynamics and their Applications
Applications of Supervised Learning Algorithms to Forecast Day-ahead Electricity Prices
On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory
Maximum likelihood estimation of the Markov-switching GARCH model based on a sequential recombinatio
Modeling and Simulation of High Frequency Features of Market Prices
On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk t
Multivariate Data-based Risk Measures
Trend Detection Using a Statistical Learning Algorithm: An Exercice in Algorithmic Trading
Identifying Structural Regime Changes with Self-Organizing Maps in Financial Markets
On the Price of Risk of the Underlying Markov Chain in a Regime-Switching Exponential Lévy Model
