55 Broad street (3rd floor)
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Cornell Financial Engineering Manhattan
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High frequency data, limit order book, financial engineering, Laplace transform
limit order book, market microstructure, liquidity, price impact, trading volume, equity markets, eletronic markets, high frequency data
High frequency data, order book modeling, financial engineering, diffusion limit, hidden liquidity, market microstructure
Optimal liquidation, algorithmic trading, transaction costs, market microstructure, high-frequency trading, optimal stopping, trade execution latency, cost of latency
Delta, European options, Gamma, Inventory management, Liquidity, Market microstructure, Vega
Optimal asset liquidation, algorithmic trading, transaction costs, market microstructure, high-frequency trading, optimal stopping, trade execution, latency, cost of latency, dynamic programming.
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