Gabriella Vaglica

University of Palermo

Viale delle Scienza

Palermo, 90128

Italy

SCHOLARLY PAPERS

3

DOWNLOADS

134

CITATIONS

3

Scholarly Papers (3)

1.

Trading Activity and Price Impact in Parallel Markets: SETS vs. Off-Book Market at the London Stock Exchange

Number of pages: 16 Posted: 26 Feb 2011 Last Revised: 11 Dec 2011
University of Palermo, University of Palermo, Università di Bologna and University of Palermo
Downloads 73 (317,896)
Citation 2

Abstract:

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Financial markets, market segments, high frequency trading, upstair market, price impact

2.

Statistical Identification with Hidden Markov Models of Large Order Splitting Strategies in an Equity Market

New Journal of Physics, Vol. 12, July 2010
Number of pages: 26 Posted: 03 Feb 2011
Gabriella Vaglica, Fabrizio Lillo and Rosario N. Mantegna
University of Palermo, Università di Bologna and University of Palermo
Downloads 61 (349,454)
Citation 1

Abstract:

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3.

Market Impact and Trading Profile of Large Trading Orders in Stock Markets

Posted: 03 Aug 2009
Universidad Carlos III de Madrid, Santa Fe Institute, Universidad Carlos III de Madrid, U.S. Securities and Exchange Commission, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Palermo, Università di Bologna and University of Palermo

Abstract:

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financial markets, market impact, large trading orders