L. Ingber

R.P. Mondescu

English

Research Papers in Economics

A neural network architecture for defect detection through magnetic inspection,” Report,

A simplex method for function minimization,”

A study on the performances of simplex methods for function minimization,”

Adaptive Simulated Annealing (ASA),” Tech. Report “Global optimization C-code,” Caltech Alumni Association,

Adaptive simulated annealing (ASA): lessons learned,”

An intertemporal capital asset pricing model,”

Application of statistical mechanics methodology to term-structure bond-pricing models,”

Black-Scholes equation from gauge theory of arbitrage,”

Canonical momenta indicators of ﬁnancial markets and neocortical EEG,”

Data API

Fast simulated annealing,”

Fractals and Scaling in Finance,

Functional Integration and Semiclassical Expansions,

Genetic algorithms and very fast simulated reannealing: a comparison,”

High breakdown point conditional dispersionestimationwith applicationto S&P 500 daily returns volatility,”

High-resolution path-integral development of ﬁ-nancialoptions,”PhysicaA,vol.283,no.3/4,pp.529-558,http: //www.ingber.com/markets00 highres.ps.gz .

Introduction to Mathematical Finance,

Martingales and arbitrage in multiperiod securities markets,”

Neural Network Time Series Forecasting of Financial Markets,

Neural Networks for FinancialForecasting,

Noise dressing of ﬁnancial correlation matrices,”

Optimization by simulated annealing,”

Optimization of trading physics models of markets,”

Organization (2000), http://www.ﬁxprotocol.org .352

Path-integral methods in nonequilibrium thermodynamicsandstatistics,”inGarrido,L.,

Predicting ﬁnancial crashes using discrete scale invariance,”

Quantization of a general dynamical system by Feynman’s path integration formulation,”

Short derivation of Feynman Lagrangian for general diffusion process,”

Simple technical trading rules and the stochastic properties of stock returns,”

Simulated annealing – a robust optimizationtechnique for ﬁtting nonlinear regression models,”

Simulated annealing: practice versus theory,”

Some anomalous evidence regarding market efﬁciency, an editorial introduction,”J.

Statistical mechanics of neocortical interactions: a scaling paradigm applied to electroencephalography,”

Statistical mechanics of neocortical interactions: stability and duration of the 7+-2 rule of short-termmemory capacity,”

Stochastic relaxation, Gibbs distribution and the Bayesian restoration in images,”

Technology: shortcut tests validity of complicated formulas,”

Tests of the random walk hypothesis against a price-trend hypothesis,”

The design of neural networks using a prior knowledge,

The valuation of options for alternative stochastic processes,”

themostprobabletransitionpath ofa general diffusion process,”

Trading Systems and Methods, 3rd ed.,

Training synaptic delays in a recurrent neural network,”

Very fast simulatedre-annealing,”

When can price be arbitraged efﬁciently? A limit to the validity of the random walk and martingale models,”

Automated internet trading based on optimized physics models of markets

http://www.ingber.com/markets03_automated.pdf

Automated internet trading based on optimized physics models of markets

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Research Papers in Economics