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Trading and Market Microstructure

Authors and titles for recent submissions

[ total of 6 entries: 1-6 ]
[ showing up to 25 entries per page: fewer | more ]

Thu, 16 Nov 2017

[1]  arXiv:1711.05681 (cross-list from q-fin.ST) [pdf, other]
Title: A simple model for forecasting conditional return distributions
Subjects: Statistical Finance (q-fin.ST); Trading and Market Microstructure (q-fin.TR)

Fri, 10 Nov 2017

[2]  arXiv:1711.03534 [pdf, other]
Title: Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis
Comments: Paper submitted for the IEEE SSCI 2017 conference. November 27 - December 1 2017, Honolulu, USA. This paper is protected by copyright agreement, however its pubblication on ArXiv is permitted based on IEEE policy
Subjects: Trading and Market Microstructure (q-fin.TR); Statistical Finance (q-fin.ST)
[3]  arXiv:1711.03291 (cross-list from q-fin.PM) [pdf, other]
Title: Portfolio Optimization and Model Predictive Control: A Kinetic Approach
Subjects: Portfolio Management (q-fin.PM); Analysis of PDEs (math.AP); Optimization and Control (math.OC); Trading and Market Microstructure (q-fin.TR)

Wed, 8 Nov 2017

[4]  arXiv:1711.02573 [pdf, other]
Title: Mean Field Limit of a Behavioral Financial Market Model
Subjects: Trading and Market Microstructure (q-fin.TR); Analysis of PDEs (math.AP)

Wed, 25 Oct 2017

[5]  arXiv:1710.08860 [pdf, other]
Title: A Topological Approach to Scaling in Financial Data
Comments: 13 pages
Subjects: Trading and Market Microstructure (q-fin.TR); Statistical Finance (q-fin.ST)

Tue, 24 Oct 2017

[6]  arXiv:1710.07959 [pdf, ps, other]
Title: Grasping asymmetric information in market impacts
Subjects: Trading and Market Microstructure (q-fin.TR); Statistical Finance (q-fin.ST)
[ total of 6 entries: 1-6 ]
[ showing up to 25 entries per page: fewer | more ]

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