New York, NY
Columbia Business School - Decision Risk and Operations
in Total Papers Downloads
in Total Papers Citations
High-Frequency Trading, Latency
Portfolio Choice, Transaction Costs, Return Predictability, Portfolio Execution
dark pools, welfare, adverse selection, competitive markets
information aggregation, smooth markets, cost functions
Central clearing, swaps, systemic risk
Dynamic Asset Allocation, Return Predictability, Transaction Costs
Short-term Return Predictability, Institutional Trading, Execution Quality, Algorithmic Trading
market impact, electronic limit order book, applied stochastic models, market microstructure
demand censoring, inventory management, dynamic learning, newsvendor, Bayesian analysis
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