publications and research output |
Pre-pubs,
submitted and working papers
[] D.
Wilcox and T. Gebbie, Factorising
equity returns in an emerging market through exogenous
shocks and capital flows, http://arxiv.org/abs/1306.5302;
http://dx.doi.org/10.2139/ssrn.2283486
[] D. Wilcox and T.
Gebbie, Hierarchical Causality
in Financial Economics,
http://arxiv.org/pdf/1408.5585.pdf
[] D. Wilcox, No such thing as a risk-neutral market, http://arxiv.org/abs/1602.08429 [q-fin GN]
[] D.
Wilcox, On growth cycles in a two-tier
economy,
working paper distrubuted in 2013, presented at QuERILAB
research seminar 24 July 2015, 5 pages
Peer-reviewed
publications
[17] M. Harvey, D. Hendricks, T.Gebbie and D. Wilcox, Deviations in expected price impact for small transaction volumes under fee restructuring, Physica A (2017)
[15] D.
Hendricks, D. Wilcox and T.Gebbie,
High-speed detection of emergent clustering via an
unsupervised parallel genetic algorithm, SA J. of Science,
Vol 112, Issue 1 /2; http://arxiv.org/pdf/1403.4099.pdf
[14] D. Wilcox and T. Gebbie, On
Pricing Kernels, Information and Risk, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2340465; Investment
Analysts Journal 44:1, 1-19
(2015), http://www.tandfonline.com/doi/pdf/10.1080/10293523.2014.994437
[13]
D. Hendricks and D. Wilcox, A
reinforcement learning extension to the Almgren-Chriss framework for optimal
trade execution, Computational Intelligence for Financial
Engineering & Economics (CIFEr), IEEE Conference, March
2014, 457-464, doi: 10.1109/CIFEr.2014.6924109, http://arxiv.org/pdf/1403.2229.pdf
[12]
D. Wilcox, A Personal Reflection on Advancing in South
African Academic Science, Chapter 3, Vignette 3.3 in
Advancing Women in Science, Edited by W.
Pearson, L. Frehill and C. McNeely,
Springer International, 2015,
http://www.springer.com/us/book/9783319086286
[8] D. Wilcox, T. Gebbie, Periodicity and scaling of eigenmodes in an emerging market, International Journal of Theoretical and Applied Finance, 11, 7, 739-760 (November 2008), http://arxiv.org/abs/cond-mat/0404416
[7] D. Wilcox, T. Gebbie, An analysis of cross correlations in South African market data, Physica A, Volume 375, Issues 2, Pages 584-598 (2007), http://arxiv.org/abs/cond-mat/0402389
[6] T. Álvarez and
D. Wilcox, Perturbation theory of multivalued Atkinson
operators in normed spaces, Bull.Austral.Math.Soc., Vol. 76
(2007), 195-204
[5] D. Wilcox, T. Gebbie, On the analysis of cross correlations in South African market data, Physica A, Volume 344, Issues 1-2, Pages 294-298 (2004)
[4] T. Álvarez , R.W. Cross, D. Wilcox, Adjoint Characterisations of Quasi-weakly Compact Linear Relations (with), J. Math. Anal. Appl., 277 (2002) 257-271
[3] R.W. Cross and D. Wilcox, Multivalued Linear Projections, Quaestiones Mathematicae, 25 (2002) 503-512
[2] T. Álvarez , R.W. Cross and D. Wilcox, Quantities related to upper and lower semi-Fredholm type linear relations, Bull. Austral. Math. Soc. Vol. 66 (2002), 275-289.
[1] T. Álvarez , R.W. Cross and D. Wilcox, Multivalued Fredholm type Operators with Abstract Generalised Inverses, J. Math. Anal. Appl. 261 (2001), 403-417.
Paper [1] was my first research manuscript output. It originally covered both the characterisation and perturbation of Atkinson relations, where the contents of paper [5] made up the second part of this focus. The results of this research were my original work and were central to my PhD thesis. I rewrote paper [1] substantially after an earlier draft was rejected without much comment from another journal. Paper [1], however, contained an error, which was corrected in my phd thesis (linked below). Clarification of my actual contributions to publications [1-5, 8] are given in the notes and remarks at the end of corresponding chapters in my thesis.
PhD (Dec 2002)
·
On
mathematics education in South Africa & the relevance
of popularising mathematics (1999, edited Aug 2003).This article arose as an exercise to clarify and summarise
my understanding of the forces which have shaped
mathematics education in
· Matrices for school learners / Mathematics for computer games (2004): This presentation introduces matrices to high-school level learners, with attention to some of the techniques used for computer gaming graphics. This talk was presented at a UCT Dept Mathematics & Applied Mathematics information programme for school learners (organised by Gilmour and Webb) and to a hall of Academy of Mathematics, Science and Technology high school learners who participated actively by providing answers to calculations on the slides, Tokai, Western Cape.
· Introduction to the Black-Scholes-Merton PDE (2005) - I prepared these lecture notes on the derivation and solution of the Black-Scholes-Merton (BSM) model to teach introductory-level pricing of derivative securities from the perspective of PDE methods (separation of variables, integral transform methods, pricing and model limitations). Since then, I have taught the martingale approach to obtaining the same result as well as more generally financial modeling considerations. From a research perspective, I commenced with investigating applications of random matrix theory to the estimation of cross-correlations.
·
On the Malliavin-Mancino-Fourier
Method for Estimation of Cross-Correlations (2005/2006), based on work with
MSc student, Chanel Malherbe and
·
SET
presentation to Grade 11 female school learners
(2006),
presented in hour
talk/info session with about 25 high school learners at an
Eskom Girl Learner Programme in Parrow,
· An interdisciplinary approach to quantitative finance (2004-2007)
· Evidence of characteristic cross-sectional pricing of stock returns in South Africa (2007/2008)
· Faking
value and Size (2008) (with
· A review of the global financial crisis (2009) - Research seminar presented to the AMF research group
· Clustering dynamics through an emerging market crash in the global crisis (2009), presented at the International Workshop on Coping with Crises in Complex Socio-Economic Systems, 2009
·
A review of the development of multivariate
equity models for derivative valuation, also presented to
the
· Spin, stochastic factor models and a GA (2010).
· WISEr for it (2011), Women in Science, Engineering and Technology
· High performance computing via GPU parallelisation (April, 2011), part of this talk was presented in an Optinum Seminar on the Matlab parallel and distributed toolboxes for high performance computing in finance.
· Autocorrelation and response in high frequency trades on the JSE and BM&FBOVESPA (2011)