User profiles for Anatoly B Schmidt

Anatoly Schmidt

Risk and Financial Engineering NYU Tandon School
Verified email at nyu.edu
Cited by 558

Optimal ESG portfolios: an example for the Dow Jones Index

AB Schmidt - Journal of Sustainable Finance & Investment, 2022 - Taylor & Francis
Mean variance portfolio theory is expanded to accommodate investors’ preferences for the
portfolio ESG value (PESGV). Namely, PESGV is added to the minimizing objective function …

[BOOK][B] Financial markets and trading: an introduction to market microstructure and trading strategies

AB Schmidt - 2011 - books.google.com
An informative guide to market microstructure and trading strategies Over the last decade,
the financial landscape has undergone a significant transformation, shaped by the forces of …

Managing portfolio diversity within the mean variance theory

AB Schmidt - Annals of Operations Research, 2019 - Springer
It is well documented that the classical mean variance theory (MVT) may yield portfolios (MVTP)
that are highly concentrated and/or are outperformed by equal weight portfolios (EWP). …

[BOOK][B] Quantitative finance for physicists: an introduction

AB Schmidt - 2010 - books.google.com
With more and more physicists and physics students exploring the possibility of utilizing their
advanced math skills for a career in the finance industry, this much-needed book quickly …

Comparing mean–variance portfolios and equal-weight portfolios for major US equity indexes

H Cai, AB Schmidt - Journal of Asset Management, 2020 - Springer
We compared performance of mean–variance portfolios (MVPs) based on Pearson’s
correlations (PeMVPs) and partial correlations (PaMVPs) with equal-weight portfolios (EWPs) for …

Why technical trading may be successful? A lesson from the agent-based modeling

AB Schmidt - Physica A: Statistical Mechanics and its Applications, 2002 - Elsevier
It is shown using a simple agent-based market dynamics model that if the technical traders
are able to affect the market liquidity, their concerted actions can move the market price in …

Modeling the birth of a liquid market

AB Schmidt - Physica A: statistical mechanics and its applications, 2000 - Elsevier
A continuum market dynamics model with a variable number of traders is proposed. It
includes an “impatience” factor that characterizes the frequency of leaving the market by those …

[BOOK][B] Modern Equity Investing Strategies

AB Schmidt - 2021 - books.google.com
This book will satisfy the demand among college majors in Finance and Financial Engineering,
and mathematically-versed practitioners for description of both the classical approaches …

Ecology of the modern institutional spot FX: The EBS market in 2011

AB Schmidt - Available at SSRN 1984070, 2012 - papers.ssrn.com
The EBS market has two access methods for its customers: GUI-based access for manual
traders (MT) and automated interface (AI). In this work we offer taxonomy of the AI customers in …

Impact of macroeconomic announcements on US equity prices: 2009–2013

D Nadler, AB Schmidt - Journal of Forecasting, 2016 - Wiley Online Library
Returns of several US equity exchange‐traded funds on the days of major macroeconomic
announcements are examined for the period of January 2009 to July 2013. The ARMA+…