Tommi A. Vuorenmaa

Rayleigh Research

Henry Fordin katu 5C

5th Floor

Helsinki, FI 00150

Finland

  • Rayleigh Research

    • Email
    • Tel: +358407757766
SCHOLARLY PAPERS

7

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4,100

SSRN CITATIONS

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CROSSREF CITATIONS

8

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“  Working on a trading algorithm development and simulation platform. Contact me for collaboration!  ”

  • Rayleigh Research

    • Email
    • Tel: +358407757766

Scholarly Papers (7)

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1.

An Agent-Based Model of the Flash Crash of May 6, 2010, with Policy Implications

Number of pages: 39 Posted: 07 Oct 2013 Last Revised: 27 Feb 2014
Tommi A. Vuorenmaa and Liang Wang
Rayleigh Research and University of Cambridge
Downloads 3,048 (4,323)
Citation 4

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agent-based model, feedback loop, flash crash, high-frequency trading, hot-potato effect, market regulations, tick size

2.

A Wavelet Analysis of Scaling Laws and Long-Memory in Stock Market Volatility

Bank of Finland Research Discussion Paper No. 27/2005
Number of pages: 44 Posted: 16 Oct 2007
Tommi A. Vuorenmaa
Rayleigh Research
Downloads 467 (70,481)
Citation 2

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long-memory, scaling, stock market, volatility, wavelets

3.

Predicting Intraday Price Distributions at High Frequencies

Number of pages: 50 Posted: 16 Jul 2013 Last Revised: 09 Aug 2013
Matti Antola and Tommi A. Vuorenmaa
Valo Research and Trading and Rayleigh Research
Downloads 267 (132,332)

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Continuous-time random walk, high-frequency data, intraday prediction, Value-at-Risk, Expected Shortfall

4.

Decimalization, Realized Volatility, and Market Microstructure Noise

Number of pages: 48 Posted: 09 May 2008 Last Revised: 01 Nov 2011
Tommi A. Vuorenmaa
Rayleigh Research
Downloads 176 (196,159)
Citation 6

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Decimalization, Market microstructure noise, Realized volatility, Realized variance, Tick size, Ultra-high-frequency data

5.

A q-Weibull Autoregressive Conditional Duration Model with an Application to NYSE and HSE Data

Number of pages: 41 Posted: 02 Nov 2011
Tommi A. Vuorenmaa
Rayleigh Research
Downloads 142 (234,655)
Citation 2

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ACD model, hazard function, q-Weibull distribution, transactions data

6.

The Good, the Bad, and the Ugly of Automated High-Frequency Trading

Journal of Trading, Winter 2013, Vol. 8, No. 1: pp. 58–74
Posted: 21 Jun 2012 Last Revised: 22 Dec 2012
Tommi A. Vuorenmaa
Rayleigh Research

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automated trading, algorithmic trading, high-frequency trading, review

7.

Liquidity, Activity, and Dependence on Interlinked Trading Venues

Lit and Dark Liquidity with Lost Time Data: Interlinked Trading Venues around the Global Financial Crisis (Palgrave Macmillan, 2014)
Posted: 02 Nov 2011 Last Revised: 29 Mar 2014
Tommi A. Vuorenmaa
Rayleigh Research

Abstract:

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ADF/TRF, dark pools, fragmentation, liquidity