Agent Based Models, FX markets, Evolutionary computing, Non-equilibrium Economics

Chinthalapati, V L Raju (2014) Financial Time Series Forecasting using Agent Based Models in Equity and FX Markets. In: Proceedings of the 6th Computer Science and Electronic Engineering Conference (CEEC), 2014. IEEE Xplore. ISBN 978-­1-­4799-­6691-­2 (doi:10.1109/CEEC.2014.6958562)

Algorithmic trading; directional change; FX trading.

Bakhach, Amer M., Tsang, Edward P.K. and Chinthalapati, V. L. Raju (2018) TSFDC: A Trading strategy based on forecasting directional change. Intelligent Systems in Accounting, Finance and Management, 25 (3). pp. 105-123. ISSN 1055-615X (Print), 1099-1174 (Online) (doi:10.1002/isaf.1425)

Dynamic pricing; shopbots; pricebots; inventory-based models; data-driven models; reinforcement learning.

Narahari, Y., Raju, C. V. L., Ravikumar, K. and Shah, Sourabh (2005) Dynamic pricing models for electronic business. Sadhana - Academy Proceedings in Engineering Sciences, 30 (2 & 3). pp. 231-256. ISSN 0256-2499 (Print), 0973-7677 (Online)

Electronic retail market, Dynamic pricing,Customer segmentation, Captives, Shoppers, Volume discounts, Inventory replenishment, Markov decision process·Reinforcement learning·Q-learning

Raju, C. V. L., Yadati, N. and Ravikumar, K. (2006) Learning dynamic prices in electronic retail markets with customer segmentation. In: Annals of Operations Research: International Conference of OR for Development (ICORD 2002). Kluwer Academic Publishers, pp. 59-75. ISSN 0254-5330 (Print), 1572-9338 (Online) (doi:10.1007/s10479-006-7372-3)

FX markets, agent based models, artificial heterogeneous agents, equity prices, evolutionary computing techniques, exchange rates, financial markets, financial time series forecasting, foreign exchange, machine learning ABM techniques, machine learning agent based modelling, nonequilibrium economics, price dynamics

Ghosh, Pradeep and Chinthalapati, V L Raju (2014) Financial time series forecasting using agent based models in equity and FX markets. In: 2014 6th Computer Science and Electronic Engineering Conference (CEEC). IEEE, pp. 97-102. ISBN 978-­1-­4799-­6691-­2 (doi:10.1109/CEEC.2014.6958562)

FX trading; directional changes; sustainable trading strategies

Ye, Ailun, Chinthalapati, V. L. Raju, Serguieva, Antoaneta and Tsang, Edward (2018) Developing sustainable trading strategies using directional changes with high frequency data. In: 2017 IEEE International Conference on Big Data (Big Data). IEEE, pp. 4265-4271. ISBN 978-1538627167 (doi:10.1109/BigData.2017.8258453)

Financial Contagion, Consumer Confidence Index, European Stock markets, Spillover Effect,

Mateus, Cesario, Chinthalapati, V L Raju and Mateus, Irina B. (2014) Intraday industry-specific spillover effect in European equity markets. Social Science Research Network. (doi:10.2139/ssrn.2477360)

Financial contagion; Consumer confidence index; European stock markets; Spillover effect

Mateus, Cesario, Chinthalapati, Raju and Mateus, Irina B. (2016) Intraday industry-specific spillover effect in European equity markets. Quarterly Review of Economics and Finance, 63. pp. 278-298. ISSN 1062-9769 (doi:10.1016/j.qref.2016.04.011)

Genetic Programming, FX markets and Volatility forecast

Chinthalapati, V L Raju (2012) Volatility Forecast in FX Markets using Evolutionary Computing and Heuristic Techniques. In: Computational Intelligence for Financial Engineering & Economics (CIFEr), 2012 IEEE Conference. IEEE. ISBN 9781467318020 (doi:10.1109/CIFEr.2012.6327813)

Online retail markets, dynamic pricing, inventory replenishments, price sensitive customers, stochastic demands, multi-agent learning, reinforcement learning , Markovian game.

Chinthalapati, V.L.R., Yadati, N. and Karumanchi, R. (2006) Learning Dynamic Prices in Multi-Seller Electronic Retail Markets with Price Sensitive Customers, Stochastic Demands, and Inventory Replenishment. IEEE Transactions on Systems, Man, and Cybernetics, Part C: Applications and Reviews, 36 (1). pp. 92-106. ISSN 1094-6977 (doi:10.1109/TSMCC.2005.860578)

PAC Learning, Noisy Data, VC dimension, Classification Noise, Markovian Process, Real-valued and Boolean-valued Function Learning.

Chinthalapati, V L Raju (2012) Learning from noisy data and Markovian processes. Submitted. (Unpublished)

Performance evaluation, non-zero benchmark alphas, optimisation algorithm, Fama-French (Carhart) factor adjustment

Chinthalapati, Venkata, Mateus, Cesario and Todorovic, Natasa (2017) Alphas in disguise: A new approach to uncovering them. International Journal of Finance and Economics, 22 (3). pp. 234-243. ISSN 1076-9307 (Print), 1099-1158 (Online) (doi:10.1002/ijfe.1581)

Statistical Arbitrage, Time-series Classification, Optimal Thermal Causal Path.

Chinthalapati, V L Raju (2011) High frequency statistical arbitrage via the optimal thermal causal path. [Working Paper] (doi:10.2139/ssrn.2033172)

Stochastic Optimization, Perturbation, Mortgage Refinancing, Approximation Algorithms.

Chinthalapati, V. L. Raju and Bhatnagar, S. (2006) A Simultaneous Deterministic Perturbation Actor-Critic Algorithm with an Application to Optimal Mortgage Refinancing. In: Decision and Control, 2006 45th IEEE Conference. IEEE Xplore, San Diego, CA, pp. 4151-4156. ISBN 1-4244-0171-2 (doi:10.1109/CDC.2006.376769)

contrarian trading strategy; directional change; FX trading

Bakhach, Amer, Tsang, Edward, Ng, Wing Lon and Chinthalapati, V L Raju (2017) Backlash algorithm: A trading strategy based on directional change. In: 2016 IEEE Symposium Series on Computational Intelligence (SSCI). IEEE. ISBN 978-1-5090-4241-8 (doi:10.1109/SSCI.2016.7850004)

multichannel contagion mechanism, multiple-market stabilisation strategies, interconnected multiplex, systemic risk, systemic resilience

Sergueiva, Antoaneta, Chinthalapati, V. L. Raju, Verousis, Thanos and Chen, Louisa (2017) Multichannel contagion and systemic stabilisation strategies in interconnected financial markets. Quantitative Finance, 17 (12). pp. 1885-1904. ISSN 1469-7696 (Print), 1469-7688 (Online) (doi:10.1080/14697688.2017.1357973)