[PDF][PDF] Optimal execution of portfolio transactions
R Almgren, N Chriss - Journal of Risk, 2001 - quantitativebrokers.com
… We divide T into N intervals of length = T=N, and define the discrete times tk = k , for k = 0;:::;…
+ ((n , n)= ), while in the second period it is + ((n + n)= ). We pay these costs on n , n and n + n …
+ ((n , n)= ), while in the second period it is + ((n + n)= ). We pay these costs on n , n and n + n …
[BOOK][B] Representation theory and complex geometry
N Chriss, V Ginzburg - 1997 - Springer
This classic monograph provides an overview of modern advances in representation theory
from a geometric standpoint. A geometrically-oriented treatment of the subject is very timely …
from a geometric standpoint. A geometrically-oriented treatment of the subject is very timely …
[PDF][PDF] Tumor stem cells derived from glioblastomas cultured in bFGF and EGF more closely mirror the phenotype and genotype of primary tumors than do serum …
…, NM Donin, S Pastorino, BW Purow, N Christopher… - Cancer cell, 2006 - cell.com
The concept of tumor stem cells (TSCs) provides a new paradigm for understanding tumor
biology, although it remains unclear whether TSCs will prove to be a more robust model than …
biology, although it remains unclear whether TSCs will prove to be a more robust model than …
Optimal portfolios from ordering information
R Almgren, N Chriss - Forecasting Expected Returns in the Financial …, 2007 - Elsevier
… We start with an investor who possesses a list of n stocks with expected return r = r1 rn and
covariance matrix V. We assume that the investor does not know r but has m distinct beliefs …
covariance matrix V. We assume that the investor does not know r but has m distinct beliefs …
Neural networks for triggering
…, M Campbell, F Bedeschi, N Chriss… - … on Nuclear Science, 1990 - ieeexplore.ieee.org
Two types of neural network beauty trigger architecture, based on identification of electrons
in jets and recognition of secondary vertices, have been simulated in the environment of the …
in jets and recognition of secondary vertices, have been simulated in the environment of the …
Optimal liquidation
R Almgren, NA Chriss - Available at SSRN 53501, 1997 - papers.ssrn.com
… We divide T into N intervals of length τ, and define the discrete times tk = kτ, for k = 0,… n
shares that we sell depresses the price per share by γn, regardless of the time we take to sell the n …
shares that we sell depresses the price per share by γn, regardless of the time we take to sell the n …
[PDF][PDF] Market risk for volatility and variance swaps
N Chriss, W Morokoff - Risk, 1999 - quantlabs.net
… where R is the realized volatility over the life of the swap and N is the swap notional. The
realized volatility is defined by the writer of the swap contract in agreement with the counterparty…
realized volatility is defined by the writer of the swap contract in agreement with the counterparty…
Development and Evaluation of High-Density SNP Arrays for the Eastern Oyster Crassostrea virginica
… To assess the efficacy of the pathogen probes, we analyzed two plates of samples (n = 192)
from the 566K array in which the positive pathogen controls were located. Probes for all 13 …
from the 566K array in which the positive pathogen controls were located. Probes for all 13 …
[PDF][PDF] On the Iwahori-Hecke algebra of a p-adic group
N Chriss, K Khuri-Makdisi - International Mathematics Research …, 1998 - sites.aub.edu.lb
… This is a triple (G, I,N) satisfying the following properties: (1) T0 = I ∩ N is a normal subgroup
of N. (2) There exists a Coxeter group W generated by a set of simple reflections S, a group …
of N. (2) There exists a Coxeter group W generated by a set of simple reflections S, a group …
[CITATION][C] Black-Scholes and beyond: option pricing models
N Chriss - (No Title), 1997 - cir.nii.ac.jp
… Chriss, Neil … Chriss …