This research addresses the use of Markov mixture of distributions models in the empirical
analysis of financial time series. Chapter 3 addresses the fundamental properties of Markov …

Optimal execution is a term that is widely used, and even though the concept is intuitively
clear, in practice it is not uniformly achieved. In fact, the gap between this intuition and the …

This article demonstrates that views about the commoditization of algorithms and the irrelevance
of market forecasts are incorrect. The role of forecasts within algorithms is examined, …

In this essay I wish, in a non-linear manner, to interrelate philosopher Charles S. Peirce's
categories of feeling, action and thought--Firstness, Secondness and Thirdness--with three …

For the highly traded S&P 500 exchange traded fund SPY, we find that, over time, transaction
size has been decreasing while the number of consecutive buy or sell transactions has …

Tools to improve decision making in an imperfect world This publication provides readers with
a thorough understanding of Bayesian analysis that is grounded in the theory of inference …

The topic of economic growth and convergence of countries has been an active topic in the
1990’s. This paper investigates the question of whether there is any empirical evidence that …

… formed with John Landon-Lane, Joann Bangs, John Winstandley, Claustre Bajona-Xandri,
Sue Allen, Merrell Hora, Carl Coscia, Ron Gecan, John Hatch and Peter Angelides. …

TIP60 is a lysine acetyltransferase and is known to be a haplo-insufficient tumor suppressor.
TIP60 downregulation is an early event in tumorigenesis which has been observed in …

… Jackie Shen is grateful to Merrell Hora for the initial introduction to the field of dynamic
algorithmic trading and for encouraging him to experiment with its multiple facets, while working …