Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
331 S.W. Mudd Building
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Columbia University - Center for Financial Engineering
500 W. 120th St
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Kukanov, Arseniy's
Scholarly Papers
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Aggregate Statistics
Total 2,371
Total Citations 10
1.
Cont, Rama Imperial College London
Kukanov, Arseniy Columbia University - Center for Financial Engineering
Stoikov, Sasha Cornell Financial Engineering Manhattan
Posted:
28 Nov 10
Last Revised:
01 May 12
1,940(2,982)
10
limit order book, market microstructure, liquidity, price impact, trading volume, equity markets, eletronic markets, high frequency data
2.
Cont, Rama Imperial College London
Kukanov, Arseniy Columbia University - Center for Financial Engineering
Posted:
02 Oct 12
Last Revised:
03 May 13
431(31,072)
optimal order execution, market microstructure, optimal order placement, limit order market, order routing, fragmented market, stochastic approximation
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