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New York University (NYU) - Department of Finance
in Total Papers Downloads
in Total Papers Citations
low latency, high frequency trading, HFT, market quality, algorithmic trading, algorithms
Equity, index futures, exchange traded-funds, electronic markets, price discovery, price formation, SPDR
Trading cost, effective cost, price impact, asset pricing, MCMC, spread, expected returns, Gibbs sampler, MCMC
high frequency trading, high frequency quoting, quotes, volatility
Island ECN, electronic communications networks, alternative trading systems, limit order book, volatility, limit orders, market microstructure, hidden orders, fleeting orders
Quotes, foreign exchange, Gibbs sampler, Markov chain Monte Carlo, discreteness, clustering, security prices
fleeting orders, INET, limit orders, ECN, trading strategies, hidden liquidity, dark liquidity, supplying liquidity, demanding liquidity, technology, active trading, market fragmentation, duration analysis, survival analysis, limit order cancellation, proportional hazards model
BBO NBBO TAQ
Futures Markets, Liquidity, Gibbs Sampler, MCMC, Markov chain Monte Carlo, Foreign Exchange, Stock Index Futures
Foreign exchange, CLS Bank, market microstructure, liquidity
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