Ahmet Sensoy

Publication Activity (10 Years)

Years Active: 2018-2024
Publications (10 Years): 12

Top Topics

Portfolio Optimization

Diffusion Models

Poisson Processes

Top Venues

Ann. Oper. Res.

Int. Trans. Oper. Res.

Publications

Ameet Kumar Banerjee, H. K. Pradhan, Ahmet Sensoy, Frank J. Fabozzi, Biplab Mahapatra
Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints. Ann. Oper. Res. 337 (1) (2024)
Shouyu Yao, Ahmet Sensoy, Duc Khuong Nguyen, Tong Li
Investor attention and cryptocurrency market liquidity: a double-edged sword. Ann. Oper. Res. 334 (1) (2024)
Erdinc Akyildirim, Ahmet Göncü, Alper A. Hekimoglu, Duc Khuong Nguyen, Ahmet Sensoy
Statistical arbitrage: factor investing approach. OR Spectr. 45 (4) (2023)
Erdinc Akyildirim, Alper A. Hekimoglu, Ahmet Sensoy, Frank J. Fabozzi
Extending the Merton model with applications to credit value adjustment. Ann. Oper. Res. 326 (1) (2023)
Hooi Hooi Lean, Duc Khuong Nguyen, Ahmet Sensoy, Gazi Salah Uddin
On the role of commodity futures in portfolio diversification. Int. Trans. Oper. Res. 30 (5) (2023)
Erdinc Akyildirim, Aurelio Fernández Bariviera, Duc Khuong Nguyen, Ahmet Sensoy
Forecasting high-frequency stock returns: a comparison of alternative methods. Ann. Oper. Res. 313 (2) (2022)
Erdinc Akyildirim, Frank J. Fabozzi, Ahmet Göncü, Ahmet Sensoy
Statistical arbitrage in jump-diffusion models with compound Poisson processes. Ann. Oper. Res. 313 (2) (2022)
Erdinc Akyildirim, Ahmet Göncü, Ahmet Sensoy
Prediction of cryptocurrency returns using machine learning. Ann. Oper. Res. 297 (1) (2021)
Benjamin Miranda Tabak, Thiago C. Silva, Liang Zhao, Ahmet Sensoy
Applications of Machine Learning Methods in Complex Economics and Financial Networks. Complex. 2020 (2020)
Benjamin Miranda Tabak, Thiago Christiano Silva, Ahmet Sensoy
Financial Networks 2019. Complex. 2019 (2019)
Ahmet Sensoy, Duc Khuong Nguyen, Ahmed Rostom, Erk Hacihasanoglu
Dynamic integration and network structure of the EMU sovereign bond markets. Ann. Oper. Res. 281 (1-2) (2019)
Benjamin Miranda Tabak, Thiago Christiano Silva, Ahmet Sensoy
Financial Networks. Complex. 2018 (2018)