[HTML][HTML] Nonlinear intraday trading invariance in the Russian stock market
T Teplova, S Gurov - Annals of Operations Research, 2022 - Springer
Using high-frequency transaction-level data for liquid Russian stocks, we empirically reveal
a joint nonlinear relationship between the average trade size, log-return variance per …
a joint nonlinear relationship between the average trade size, log-return variance per …
The market impact puzzle
AS Kyle, AA Obizhaeva - Anna A., The Market Impact Puzzle …, 2018 - papers.ssrn.com
Finding a universal market impact formula remains one of the most fascinating puzzles in
finance. This paper reviews two possible approaches for imposing restrictions on this …
finance. This paper reviews two possible approaches for imposing restrictions on this …
Stylized algorithmic trading: Satisfying the predictive near-term demand of liquidity
EW Sun, T Kruse, YT Chen - Annals of Operations Research, 2019 - Springer
Regulatory reform enacted (eg, the Dodd-Frank Act enforced in the US) requires the
financial service industry to consider the “reasonably expected near term demand”(ie …
financial service industry to consider the “reasonably expected near term demand”(ie …
Invariants and Homomorphisms Implicit in, and the Invalidity of the Mean-Variance Framework and Other Causality Approaches: Some Structural Effects
MIC Nwogugu, MIC Nwogugu - Indices, Index Funds And ETFs: Exploring …, 2018 - Springer
Many aspects of modern statistical analysis, Data Science and optimization are based
almost entirely on the Mean–Variance (MV) Framework and its elements—Variance …
almost entirely on the Mean–Variance (MV) Framework and its elements—Variance …