Research
Empirical Finance
I am interested in observed outcomes in finance, especially those in equity and fixed-income markets. I have publications and ongoing research projects on topics such as algorithmic trading, high-frequency correlation, and spectral methods.
- Michael J. Bommarito II. Intraday Correlation Patterns between the S&P 500 and Sector Indices, 2010. Quantitative Financing, forthcoming, 2012. http://ssrn.com/abstract=1677915.
- Ahmet Duran, Michael J. Bommarito II. A Profitable Trading and Risk Management Strategy Despite Transaction Cost, 2009. Quantitative Finance. http://ssrn.com/abstract=1509811.
- Michael J. Bommarito II, Ahmet Duran. Spectral Analysis of Time-Dependent Market-Adjusted Return Correlation Matrix. http://ssrn.com/abstract=1672897.
Empirical Legal Studies
I am interested in both positive legal theory based on empirical data and algorithmic decision making as applied to law. I have publications and ongoing research projects on topics such as the structure of precedent in the Supreme Court and Court of Appeals and the strategic behavior of judicial actors.
- Michael J. Bommarito II, Daniel Martin Katz, Jillian Isaacs-See. An Empirical Study of the Population of U.S. Tax Court Written Decisions. Virginia Tax Review, Fall 2010. http://ssrn.com/abstract=1441007.
- Michael J. Bommarito II, Daniel Martin Katz. A Mathematical Approach to the Study of the United States Code, 2010. Physica A, Vol. 389. http://ssrn. com/abstract=1578094.
- Michael J. Bommarito II, Daniel Katz. Properties of the United States Code Citation Network. http://arxiv.org/abs/0911.1751.
- Daniel Katz, Joshua Gubler, Jon Zelner, Michael J. Bommarito II, Eric Provins, Eitan Ingall. Reproduction of Hierarchy? A Social Network Analysis of the American Law Professoriate, 2009. Forthcoming. http://ssrn.com/abstract=1352656.
Network Theory
I am interested in methods for visualizing networks and detecting community structure within them, especially with respect to large or time-dependent networks. I have publications and ongoing research on topics including community stability and fast dynamic clustering algorithms.
- Michael J. Bommarito II, Daniel Martin Katz, Jonathan Zelner, James H. Fowler. Distance Measures for Dynamic Citation Networks, 2010. Physica A, Vol. 390. http://ssrn.com/abstract=1472037.
- Michael J. Bommarito II, Daniel Katz, Jonathan Zelner. On the Stability of Community Detection Algorithms on Longitudinal Citation Data. http://arxiv.org/abs/0908.0449.
- Michael J. Bommarito II, Daniel Katz, Jonathan Zelner. Law as a Seamless Web? Comparing Various Network Representations of the United States Supreme Court Corpus (1791-2005). http://ssrn.com/abstract=1419525.