Matt Davison

20 papers Journal 19Unranked 1
YearRankTypeTitle / Venue / Authors
2024 — conf
Functional Mixed-type Clustering of Investors' Daily Returns During a Market Shock Change-point and Recovery.
ICAIF
John R. J. Thompson, Matt Davison
2021 J jnl
An automated financial indices-processing scheme for classifying market liquidity regimes.
Int. J. Control
Xing Gu, Rogemar S. Mamon, Matt Davison, Hao Yu
2021 J jnl
Deterministic Asymmetric-cost Differential Games for Energy Production with Production Bounds.
Oper. Res. Forum
Junhe Chen, Matt Davison
2018 J jnl
Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds (Preliminary Draft).
CoRR
Greg Kirczenow, Ali Fathi, Matt Davison
2018 J jnl
Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds.
CoRR
Greg Kirczenow, Masoud Hashemi, Ali Fathi, Matt Davison
2016 J jnl
Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes.
IEEE J. Sel. Top. Signal Process.
Anton Tenyakov, Rogemar S. Mamon, Matt Davison
2016 J jnl
Modelling high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based approach.
Knowl. Based Syst.
Anton Tenyakov, Rogemar S. Mamon, Matt Davison
2015 J jnl
How much effort should be spent to detect fraudulent applications when engaged in classifier-based lending?
Intell. Data Anal.
Mimi Chong, Cristián Bravo, Matt Davison
2014 J jnl
A Higher-Order Hidden Markov Chain-Modulated Model for Asset Allocation.
J. Math. Model. Algorithms Oper. Res.
Xiaojing Xi, Rogemar S. Mamon, Matt Davison
2010 J jnl
An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model.
J. Appl. Math.
Alan Stanton Deakin, Matt Davison
2009 J jnl
The early exercise region for Bermudan options on two underlyings.
Math. Comput. Model.
Jeff Kay, Matt Davison, Henning Rasmussen
2006 J jnl
Competitive Modes and their Application.
Int. J. Bifurc. Chaos
Weiguang Yao, Pei Yu, Christopher Essex, Matt Davison
2005 J jnl
Extended Entropies and Disorder.
Adv. Complex Syst.
Matt Davison, J. S. Shiner
2004 J jnl
A Hyperbolic PDE with Parabolic Behavior.
SIAM Rev.
Matt Davison, Andrea Doeschl
2004 J jnl
Assessing cellular automata based models using partial differential equations.
Math. Comput. Model.
Andrea Doeschl, Matt Davison, Henning Rasmussen, Greg Reid
2004 J jnl
Valuation and Optimal Operation of Electric Power Plants in Competitive Markets.
Oper. Res.
Matt Thompson, Matt Davison, Henning Rasmussen
2003 J jnl
Global Predictability of Chaotic Epidemiological Dynamics in Coupled Populations.
Open Syst. Inf. Dyn.
Matt Davison, Christopher Essex, J. S. Shiner
2003 J jnl
Many Entropies, Many Disorders.
Open Syst. Inf. Dyn.
Matt Davison, J. S. Shiner
2003 J jnl
Review of risk management: value at risk and beyond, edited by M.A.H. Dempster. Cambridge University Press 2002.
SIGSAM Bull.
Matt Davison
2000 J jnl
Numerical monsters.
SIGSAM Bull.
Christopher Essex, Matt Davison, Christian Schulzky