← All authors Ionuţ Florescu Stevens Institute of Technology (from arXiv:1901.09145, 2019) · ORCID · OpenAlex
35 papers in scope · 35 published · 1 on the econ.EM arXiv · 412 citations · h-index 12 (over the papers listed here)
Papers (1 of 35)
Analysis of rare events using multidimensional liquidity measures
published 2024 · International Review of Financial Analysis
with Margarita Zaika, Dragoş Bozdog
Classification of Financial Events and Its Effects on Other Financial Data
published 2023 · Axioms · 2 citations
Insights on the Statistics and Market Behavior of Frequent Batch Auctions
published 2023 · Mathematics
with Thiago W. Alves, Dragoş Bozdog
A sparsity algorithm for finding optimal counterfactual explanations: Application to corporate credit rating
published 2023 · Research in International Business and Finance · 15 citations · first circulated 2021
with Dan Wang, Zhi Chen, Bingyang Wen
Is Image Encoding Beneficial for Deep Learning in Finance?
published 2020 · IEEE Internet of Things Journal · 17 citations
with Dan Wang, Tian-Rui Wang
A comparative study of forecasting corporate credit ratings using neural networks, support vector machines, and decision trees
published 2020 · The North American Journal of Economics and Finance · 12 citations
with Parisa Golbayani, Rupak Chatterjee
A comparison of pricing models for mineral rights: Copper mine in China
published 2019 · Resources Policy · 3 citations
with Chang Lai Xiao, Jinsheng Zhou
Stochastic Volatility Models
published 2019 · Quantitative Finance · 2 citations
Bibliography
published 2019 · Quantitative Finance
Index
published 2019 · Quantitative Finance
Analysis of stock market data by using Dynamic Fourier and Wavelets techniques
published 2019 · Physica A Statistical Mechanics and its Applications · 14 citations
Pricing Bermudan Variance Swaptions Using Multinomial Trees
published 2019 · The Journal of Derivatives · 1 citations · first circulated 2018
with Honglei Zhao, Rupak Chatterjee, Thomas Lonon
Extracting information from the limit order book: New measures to evaluate equity data flow
published 2019 · High Frequency · 5 citations
with Ziwen Ye
VIX derivatives valuation and estimation based on closed-form series expansions
published 2018 · International Journal of Financial Engineering · 3 citations · first circulated 2017
with Zhe Zhao, Zhenyu Cui
published 2018 · Physica A Statistical Mechanics and its Applications · 7 citations
Pricing Variance, Gamma, and Corridor Swaps Using Multinomial Trees
published 2017 · The Journal of Derivatives · 5 citations
with Honglei Zhao, Zhe Zhao, Rupak Chatterjee, Thomas Lonon
Analysis of the Lehman Brothers collapse and the Flash Crash event by applying wavelets methodologies
published 2017 · Physica A Statistical Mechanics and its Applications · 13 citations
Special Issue of Quantitative Finance on ‘High Frequency Data Modeling in Finance’
published 2015 · Quantitative Finance
Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data
published 2015 · Quantitative Finance · 3 citations
with M. P. Béccar Varela, Francis Biney
An Appraisal of the Classic Forest Succession Paradigm with the Shade Tolerance Index
published 2015 · PLoS ONE · 80 citations · first circulated 2014
with Jean Liénard, Nikolay Strigul
NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS
published 2013 · International Journal of Theoretical and Applied Finance · 22 citations
Lévy models and scale invariance properties applied to Geophysics
published 2012 · Physica A Statistical Mechanics and its Applications · 19 citations
Foreword
published 2012 · Quantitative Finance · 1 citations
Detecting market crashes by analysing long-memory effects using high-frequency data
published 2012 · Quantitative Finance · 22 citations
with E. Barany, M. P. Béccar Varela, Indranil SenGupta
Ising type models applied to Geophysics and high frequency market data
published 2011 · Physica A Statistical Mechanics and its Applications · 12 citations
Rare Events Analysis for High-Frequency Equity Data
published 2011 · Wilmott · 1 citations
with Dragoş Bozdog, Khaldoun Khashanah, Jim J. Wang
Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
published 2011 · Nonlinear Analysis Real World Applications · 19 citations · first circulated 2010
Estimation of the long memory parameter in stochastic volatility models by quadratic variations
published 2011 · Random Operators and Stochastic Equations
with Ciprian A. Tudor
Study of memory effects in international market indices
published 2009 · Physica A Statistical Mechanics and its Applications · 24 citations
Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data
published 2008 · Physica A Statistical Mechanics and its Applications · 7 citations
A study about the existence of the leverage effect in stochastic volatility models
published 2008 · Physica A Statistical Mechanics and its Applications · 2 citations
with Cristian Gabriel Pãsãricã
‘Noise‐trader risk’ and Bayesian market making in FX derivatives: rolling loaded dice?
published 2008 · International Journal of Finance & Economics · 1 citations
with Carlos A. Ulibarrí, Peter C. Anselmo, Karen Hovsepian, Jacob Tolk
Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
published 2008 · Applied Mathematical Finance · 63 citations · first circulated 2005
with Frédéri Viens
Sharp estimation of the almost-sure Lyapunov exponent for the Anderson model in continuous space
published 2005 · Probability Theory and Related Fields · 27 citations · first circulated 2004
with Frédéri Viens
A binomial tree approach to stochastic volatility driven model of the stock price
published 2005 · Annals of the University of Craiova Mathematics and Computer Science Series · 10 citations
with Frédéri Viens
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