Konstantin Tyurin

ITG Inc., Financial Engineering

Assistant VP

44 Farnsworth Street

9th Floor

Boston, MA 02210

United States

SCHOLARLY PAPERS

2

DOWNLOADS

382

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

A Competing Risk Analysis of Executions and Cancellations in a Limit Order Market

CAEPR Working Paper No. 2006-015
Number of pages: 52 Posted: 04 Oct 2006
Saint Louis University - Richard A. Chaifetz School of Business, ITG Inc., Financial Engineering, Financial Engineering Group, ITG Inc. and North Carolina State University
Downloads 382 (98,368)
Citation 3

Abstract:

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Market microstructure, limit order, competing risks, hazard rate, frailty

2.

Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders

Posted: 25 Mar 2008
Konstantin Tyurin and Bidisha Chakrabarty
ITG Inc., Financial Engineering and Saint Louis University - Richard A. Chaifetz School of Business

Abstract:

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Fleeting Orders, Quote Aggressiveness, Competing Risks, Principal Components, Order cancellation