Financial Systems Research
Published Research:
The Currency Markets Modeling Project was a large project at New Mexico Tech started in 2004. An inter-disciplinary team developed a three-phase model of the currency market price-formation process, which featured detailed modeling efforts for order flow, the simulated dealer market, and analysis of simulated price outputs. The published research below was a result of this project.
New Mexico Tech Currently Markets and Modeling Project, Workshop on Computational Intelligence in economics and finance, July, 2005
A Wholesale Power Trading Simulator with Learning Capabilities, IEEE Transactions on Power Systems, Vol. 20, NO. 3, August 2005
Heuristic Solutions to Technical Issues Associated with Clustered Volatility Prediction using Support Vector Machines, Conference on Neural Networks and Brain, Beijing, 15 October 2005
Cournot Model of FX Trading, Journal of International Financial Markets, 2005, pending publication
Detection and Prediction of Relative Clustered Volatility in Financial Markets, Proceedings of 4th Annual CIFER
Agent-Based Modeling and Simulation Research at New Mexico Institute of Mining and Technology, Chinese Academy of Science, Beijing, 16 October 2005
P. Anselmo
New Mexico Institute of Mining and Technology Currency Markets Modeling Project, Department of Mathematical Sciences, Tsinghua University, Beijing, 14 October 2005
P. Anselmo
“’Noise-trader’ risk and Bayesian market making in FX derivatives: rolling loaded dice?,” International Journal of Finance & Economics [Early View], John Wiley & Sons, July 2008.
C. Ulibarri, P. Anselmo, K. Hovsepian, J. Tolk, and I. Florescu,
“Automated Options Trading Using Machine Learning,” in The 7th International Conference on Computational Intelligence in Economics and Finance (CIEF 2008), Taoyuan, 2008. (PDF)
P. Anselmo, K. Hovsepian, C. Ulibarri, and M. Kozloski
“Community-based identification of banking networks,” in 2nd International Workshop on Network Science, IEEE, 2013.
M. Planck, P. Anselmo