Publications

Many CFRM students are actively engaged in academic research on problems in computational finance and risk management.
There is an ever-growing list of publications written by our current CFRM students and alumni.

CFRM AuthorsTitleLink
Acharya, Avinash
UW CFRM '17
Acharya, A. (2017). Development of fundamental factor model part of R package factorAnalytics

Martin, R. D., Acharya, A., and Yi, Lingjie (2017). “Fundamental Factor Model Vignette”
factorAnalytics

Vignette
Arora, Rohit
UW CFRM '16
Thesis: Variability in Modified Estimators of VaR and ES

Martin, R. D. and Arora, R. (2017). “Inefficiency of Modified VaR and Expected Shortfall”, Journal of Risk, 19(6), 59-84.

Arora, R. (2015). R package covmat.
Thesis

Covmat
Brownson, Gregory
Brownson, G. (2018). “Shiny User Interface (UI) to the RobStatTM R Package”, with VignetteRobStatTM-GUI
Chawla, Shaily
UW CFRM '17
Paper: Investigating the Price Dynamics between Europe ETFs: EZU vs FEZSSRN, 2016
Lin, Jimin
UW CFRM '18
Paper: The Quadrant Probabilities of Paired Financial Time SeriesSSRN, 2018
Nguyen, Hung
UW CFRM '19
Paper: Constructing Cointegrated Cryptocurrency Portfolios for Statistical ArbitrageSSRN, 2018
Simonson, Jack
UW CFRM '17
Paper: High-Frequency ETF Pairs Trading

Poster: Profitability of Intraday Pairs Trading
SSRN, 2017
Uthaisaad, Chindhanai
UW CFRM '18
Thesis: Skew-t Information Matrix: Evaluation and Use

Uthaisaad, C. (2018). the R package skewtInfo

Uthaisaad, C. and Martin, R. D. (2018). “The Azzalini Skew-t Information Matrix Evaluation
and Use for Standard Error Calculations”.
Thesis

skewtInfo

Yi, Lingjie
UW CFRM '16
Project: Tracking Errors of VIX ETPs

Martin, Acharya and Yi (2017). “Fundamental Factor Model Vignette”
Vignette

SSRN
Brownson, Gregory
Cao, Loc
Lewis, Tommy
Mauer, Dominic
Nguyen, Hung
Sneeringer, Jack
Paper: Research Challenge on the Relationship Between Momentum Trading and Options StrategiesPaper

Faculty advisors include Associate Professor Tim Leung, and Professor Emeritus Doug Martin.