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 Authors | Title | Link | Publication Year |
|---|---|---|---|
| Lin, Jimin UW CFRM '18 | Jimin Lin & Matthew Lorig (2019) On Carr and Lee’s Correlation Immunization Strategy, Applied Mathematical Finance, 26:2, 131-152, DOI: 10.1080/1350486X.2019.1598276 | Paper | 2019 |
| Nguyen, Hung UW CFRM '19 | Leung, T. and Nguyen, H. (2019), "Constructing cointegrated cryptocurrency portfolios for statistical arbitrage", Studies in Economics and Finance, Vol. 36 No. 3, pp. 581-599. | Paper | 2019 |
| Brownson, Gregory; Cao, Loc; Lewis, Tommy; Mauer, Dominic; Nguyen, Hung; Sneeringer, Jack | Paper: Research Challenge on the Relationship Between Momentum Trading and Options Strategies | Paper | 2018 |
| Lin, Jimin UW CFRM '18 | Paper: The Quadrant Probabilities of Paired Financial Time Series | SSRN | 2018 |
| Nguyen, Hung UW CFRM '19 | Paper: Constructing Cointegrated Cryptocurrency Portfolios for Statistical Arbitrage | SSRN | 2018 |
| Uthaisaad, Chindhanai UW CFRM '18 | Thesis: Skew-t Information Matrix: Evaluation and Use | Thesis | 2018 |
| Uthaisaad, Chindhanai UW CFRM '18 | Uthaisaad, C. (2018). the R package skewtInfo | skewtInfo | 2018 |
| Uthaisaad, Chindhanai UW CFRM '18 | Uthaisaad, C. and Martin, R. D. (2018). “The Azzalini Skew-t Information Matrix Evaluation and Use for Standard Error Calculations”. | SSRN | 2018 |
| Brownson, Gregory UW CFRM '19 | Brownson, G. (2018). “Shiny User Interface (UI) to the RobStatTM R Package”, with Vignette | RobStatTM-GUI | 2018 |
| Acharya, Avinash UW CFRM '17 | Acharya, A. (2017). Development of fundamental factor model part of R package factorAnalytics | factorAnalytics | 2017 |
| Acharya, Avinash UW CFRM '17 | Martin, R. D., Acharya, A., and Yi, Lingjie (2017). “Fundamental Factor Model Vignette” | Vignette | 2017 |
| Simonson, Jack UW CFRM '17 | Paper: High-Frequency ETF Pairs Trading | SSRN | 2017 |
| Arora, Rohit UW CFRM '16 | Martin, R. D. and Arora, R. (2017). “Inefficiency of Modified VaR and Expected Shortfall”, Journal of Risk, 19(6), 59-84. | Paper | 2017 |
| Arora, Rohit UW CFRM '16 | Thesis: Variability in Modified Estimators of VaR and ES | Thesis | 2016 |
| Chawla, Shaily UW CFRM '17 | Paper: Investigating the Price Dynamics between Europe ETFs: EZU vs FEZ | SSRN | 2016 |
| Arora, Rohit UW CFRM '16 | Arora, R. (2015). R package covmat. | Covmat | 2015 |
Faculty advisors include Associate Professor Tim Leung, Associate Professor Matthew Lorig, and Professor Emeritus Doug Martin.