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Hugh Christensen
Hugh Christensen
Cambridge University, and Principal Specialist, Amazon
Verified email at cam.ac.uk - Homepage
Title
Cited by
Cited by
Year
Forecasting high-frequency futures returns using online Langevin dynamics
HL Christensen, J Murphy, SJ Godsill
IEEE Journal of Selected Topics in Signal Processing 6 (4), 366-380, 2012
402012
Prediction of Hidden Liquidity in theLimit Order Book of GLOBEX Futures
HL Christensen, R Woodmansey
The Journal of Trading 8 (3), 68-95, 2013
112013
Rebuilding The Limit Order Book: Sequential Bayesian Inference on Hidden States
HL Christensen, RE Turner, SI Hill, SJ Godsill
Quantitative Finance 13 (11), 1779-1799, 2013
72013
Method for pricing data in a sharing economy
HL Christensen
US Patent App. 15/880,874, 2019
32019
Hidden Markov Models Applied To Intraday Momentum Trading With Side Information
H Christensen, R Turner, S Godsill
International Journal of Mathematical Modelling and Numerical Optimisation, 2015
2*2015
System and method for acting on potentially incomplete data
HL Christensen
US Patent App. 16/719,887, 2020
12020
A correction note for price dynamics in a Markovian limit order market
G Zhang, H Christensen, G Li, S Godsill
SIAM Journal on Financial Mathematics 7 (1), 152-158, 2016
12016
Prediction of cyclic and trend frequencies in time series using the Hilbert–Huang transform
HL Christensen, SJ Godsill
International Journal of Computational Economics and Econometrics 4 (3-4 …, 2014
12014
Data access and processing system
HL Christensen
US Patent 11,094,015, 2021
2021
Algorithmic Arbitrage of Open End Funds using Variational Bayes
H Christensen
Journal of Financial Engineering, 2015
2015
Some problems in algorithmic time series prediction
HL Christensen
University of Cambridge, 2013
2013
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Articles 1–11