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Research Output

2020

Baseline win rates for neural-network based trading algorithms

Krause, A. & Fairbank, M., 19 Jul 2020.

Research output: Contribution to conferencePaper

File
29 Downloads (Pure)
2018
Open Access
File
91 Downloads (Pure)
2016

Equilibrium interbank lending networks

Xiao, D. & Krause, A., 2016, 2016 IEEE Congress on Evolutionary Computation (CEC). p. 4543-4550 8 p.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Open Access
File
115 Downloads (Pure)

The optimal timing of open market stock repurchases

Krause, A. & Hsu, C-C., 2016, In : Emerging Markets Finance and Trade. 52, 4, p. 776-785

Research output: Contribution to journalArticle

4 Citations (Scopus)
2015

Systemic Risk

Krause, A., 2015, Investment Risk Management. Baker, H. K. & Filbeck, G. (eds.). Oxford University Press, p. 179-196

Research output: Chapter in Book/Report/Conference proceedingChapter

2012
Open Access
File
71 Citations (Scopus)
281 Downloads (Pure)
2011

Competition is bad for consumers: Analysis of an artificial payment card market

Alexandrova-Kabadjova, B., Tsang, E. & Krause, A., Mar 2011, In : Journal of Advanced Computational Intelligence and Intelligent Informatics. 15, 2, p. 188-196 9 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)

Market structure and information in payment card markets

Alexandrova-Kabadjova, B., Tsang, E. & Krause, A., Aug 2011, In : International Journal of Automation and Computing. 8, 3, p. 364-370 7 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)

Performance of evolving trading strategies with different discount factors

Krause, A., Jun 2011, 2011 IEEE Congress of Evolutionary Computation, CEC 2011. Piscataway, NJ: IEEE, p. 186-191 6 p. 5949617. (2011 IEEE Congress of Evolutionary Computation, CEC 2011).

Research output: Chapter in Book/Report/Conference proceedingChapter

2 Citations (Scopus)

Profit-maximizing strategies for an artificial payment card market: Is learning possible?

Alexandrova-Kabadjova, B., Tsang, E. & Krause, A., May 2011, In : Journal of Intelligent Learning Systems and Applications. 3, 2, p. 70-81

Research output: Contribution to journalArticle

2010

An evolutionary multi-objective optimization of market structures using PBIL

Li, X. & Krause, A., 2010, Intelligent Data Engineering and Automated Learning – IDEAL 2010 11th International Conference, Paisley, UK, September 1-3, 2010. Proceedings. Springer, p. 78-85 8 p. (Lecture Notes in Computer Science; vol. 6283).

Research output: Chapter in Book/Report/Conference proceedingChapter

1 Citation (Scopus)

Beyond VaR: Expected shortfall and other coherent risk measures

Krause, A., 2010, The Risk Modeling Evaluation Handbook. Gregoriou, G. N., Hoppe, C. & Wehn, C. S. (eds.). McGrawHill, p. 289-303 15 p.

Research output: Chapter in Book/Report/Conference proceedingChapter

Determinants of the method of payment in mergers and acquisitions

Ismail, A. & Krause, A., Nov 2010, In : The Quarterly Review of Economics and Finance. 50, 4, p. 471-484

Research output: Contribution to journalArticle

12 Citations (Scopus)

Determining the optimal market structure using near-zero intelligence traders

Li, X. & Krause, A., Dec 2010, In : Journal of Economic Interaction and Coordination. 5, 2, p. 155-167

Research output: Contribution to journalArticle

1 Citation (Scopus)
2009

A Comparison of Market Structures with Near-Zero-Intelligence Traders

Li, X. Y. & Krause, A., 2009, Intelligent Data Engineering and Automated Learning, Proceedings. Corchado, E. & Yin, H. (eds.). Springer, Vol. 5788. p. 703-710 8 p. (Lecture Notes in Computer Science).

Research output: Chapter in Book/Report/Conference proceedingChapter

2 Citations (Scopus)

Evaluating the performance of adapting trading strategies with different memory lengths

Krause, A., 2009, p. 711-718. 8 p.

Research output: Contribution to conferencePaper

4 Citations (Scopus)
File
11 Citations (Scopus)
138 Downloads (Pure)
2008

Evolutionary learning of the optimal pricing strategy in an artificial payment card market

Alexandrova-Kabadjova, B., Tsang, E. & Krause, A., 2008, Natural Computing in Computational Finance. Brabazon, A. & O'Neill, M. (eds.). Springer, p. 233-251 (Studies in Computational Intelligence; vol. 100, no. Part III).

Research output: Chapter in Book/Report/Conference proceedingChapter

7 Citations (Scopus)
2007

An agent-based model of interactions in the payment card market

Alexandrova-Kabadjova, B., Krause, A. & Tsang, E., 2007, Intelligent Data Engineering and Automated Learning - IDEAL 2007. Yin, H., Tino, P., Corchado, E., Byrne, W. & Yao, X. (eds.). Springer, Vol. 4881. p. 1063-1072 10 p. (Lecture Notes in Computer Science).

Research output: Chapter in Book/Report/Conference proceedingChapter

3 Citations (Scopus)
2006

Fat tails and multi-scaling in a simple model of limit order markets

Krause, A., Aug 2006, In : Physica A: Statistical Mechanics and its Applications. 368, 1, p. 183-190

Research output: Contribution to journalArticle

7 Citations (Scopus)

Generating networks with realistic properties: the topology of locally evolving random graphs

Krause, A., 2006, Adaptation in Artificial and Biological Systems. Bristol, U. K.: Society for the Study of Artificial Intelligence and the Simulation of Behaviour, Vol. 3. p. 145-149

Research output: Chapter in Book/Report/Conference proceedingChapter

Herding without following the herd: the dynamics of case-based decisions with local interactions

Krause, A., 2006, The Complex Networks of Economic Interactions: Essays in Agent-Based Economics and Econophysics. Namatame, A., Kaizouji, T. & Aruka, Y. (eds.). Springer, p. 179-191 (Lecture Notes in Economics and Mathematical Systems; vol. 567, no. Part IV).

Research output: Chapter in Book/Report/Conference proceedingChapter

1 Citation (Scopus)

Risk, capital requirements, and the asset structure of companies

Krause, A., 2006, In : Managerial Finance. 32, 9, p. 774-785

Research output: Contribution to journalArticle

4 Citations (Scopus)
2005

Optimal stock allocation in specialist markets

Krause, A., Mar 2005, In : Research in Economics. 59, 1, p. 23-39

Research output: Contribution to journalArticle

2004

Herding behavior of financial analysts: a model of self-organized criticality

Krause, A., 2004, The Complex Dynamics of Economic Interaction: Essays in Economics and Econophysics. Galegatti, M., Kirman, A. & Marsili, M. (eds.). London, U. K.: Springer, p. 257-267 (Lecture Notes in Economics and Mathematical Systems; vol. 531, no. Part IV).

Research output: Chapter in Book/Report/Conference proceedingChapter

Predicting crashes in a model of evolving networks

Krause, A., Mar 2004, In : Complexity. 9, 4, p. 24-30

Research output: Contribution to journalArticle

1 Citation (Scopus)
2003

Crashes in bond markets and the hedging mortgage-backed securities

Krause, A., 2003, In : Journal of Fixed Income. 13, 3, p. 19-32

Research output: Contribution to journalArticle

Exploring the limitations of value at risk: how good is it in practice?

Krause, A., 2003, In : Journal of Risk Finance. 4, 2, p. 19-28

Research output: Contribution to journalArticle

16 Citations (Scopus)

Inventory effects on daily returns in financial markets

Krause, A., 2003, In : International Journal of Theoretical and Applied Finance. 6, 7, p. 739-765

Research output: Contribution to journalArticle

The independence of financial analysts: evaluation of an alternative proposal

Krause, A., 2003, In : Journal of Investment Compliance. 4, 3, p. 52-57

Research output: Contribution to journalArticle

Coherent risk measurement: an introduction

Krause, A., 2002, In : Balance Sheet. 10, 4, p. 13-17

Research output: Contribution to journalArticle

Predicting crashes in a model of self-organized criticality

Krause, A., 2002, Complex Systems 2002: Complexity with Agent-Based Modeling. Namatame, A., Green, D., Aruka, Y. & Sato, H. (eds.). p. 278-283

Research output: Chapter in Book/Report/Conference proceedingChapter