Irene Aldridge

AbleMarkets.com

Managing Director

New York, NY 10128

United States

http://www.AbleMarkets.com

Cornell University

Visiting Professor

Ithaca, NY 14853

United States

BigDataFinance.org

Board Director

United States

ABLE Alpha Trading, LTD

Managing Partner

New York, NY 10004

United States

http://www.ablealpha.com

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 18,342

SSRN RANKINGS

Top 18,342

in Total Papers Downloads

2,293

CITATIONS

0

Ideas:
“  The 6th Annual Big Data Finance conference will take place on May 11, 2018, at Cornell Tech in NYC. Please check BigDataFinance.org for more details or email me at irene@ablemarkets.com  ”

Scholarly Papers (11)

1.

Market Microstructure and the Risks of High-Frequency Trading

Number of pages: 53 Posted: 18 Jul 2013 Last Revised: 20 Aug 2013
Irene Aldridge
AbleMarkets.com
Downloads 808 (15,893)

Abstract:

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high-frequency trading, market, microstructure, exchanges, matching, pro-rata, price-time priority, market manipulation

2.

Systematic Funds Outperform Discretionary Funds

Number of pages: 51 Posted: 02 Dec 2009
Irene Aldridge
AbleMarkets.com
Downloads 249 (82,068)

Abstract:

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3.

The Costs of Latency

Number of pages: 18 Posted: 22 Aug 2014
Irene Aldridge
AbleMarkets.com
Downloads 164 (134,065)

Abstract:

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high-frequency, trading, microstructure, networks, speed, low-latency

4.

Big Data in Portfolio Allocation

Number of pages: 28 Posted: 21 Mar 2018 Last Revised: 17 Apr 2018
Irene Aldridge
AbleMarkets.com
Downloads 0 (79,816)

Abstract:

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Portfolio optimization, big data, investment management, correlation

5.

Chapter 27: Can Humans Dance with Machines?

Financial Behavior: Players, Services, Products, and Markets. H. Kent Baker, Greg Filbeck, and Victor Ricciardi, editors, 499-519, New York, NY: Oxford University Press, 2017.
Posted: 14 Jun 2017
Irene Aldridge
AbleMarkets.com

Abstract:

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behavioral finance, behavioural finance, high-frequency trading, market data analysis, toxic orders, liquidity

6.

ETFs, High-Frequency Trading and Flash Crashes

Journal of Portfolio Management, Fall 2016, Vol. 43, No. 1: pp. 17-28
Posted: 21 Jul 2016 Last Revised: 14 Nov 2016
Irene Aldridge
AbleMarkets.com

Abstract:

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Portfolio Management, Volatility, Risk Management, Risk Measurement, ETFs, High-Frequency Trading, Flash Crashes, Mathematical Models

7.

Is Someone Front-Running You Around News Releases?

Number of pages: 28 Posted: 04 Feb 2016 Last Revised: 08 Feb 2016
Irene Aldridge
AbleMarkets.com
Downloads 0 (84,647)

Abstract:

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News events, front-running, news leakage, high-frequency trading, institutional investors

8.

High-Frequency Runs and Flash Crash Predictability

Journal of Portfolio Management, Vol. 40, No. 3, 2014
Posted: 07 Jan 2014 Last Revised: 02 May 2014
Irene Aldridge
AbleMarkets.com

Abstract:

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high-frequency trading, market microstructure, flash crash, market crash

9.

Optimal Order Size in Pro-Rata Markets

The Journal of Trading Spring 2014, Vol. 9, No. 2: pp. 43-50 DOI: 10.3905/jot.2014.9.2.043
Posted: 07 Jan 2014 Last Revised: 12 Apr 2014
Irene Aldridge
AbleMarkets.com

Abstract:

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market microstructure, pro-rata, futures, options, optimal execution

10.

The Consequences of Transaction Taxes: An Empirical Analysis

Posted: 22 Mar 2012 Last Revised: 16 Sep 2012
Irene Aldridge
AbleMarkets.com

Abstract:

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transaction tax, securities, economic growth

11.

Can High-Frequency Traders Game Futures?

Journal of Trading, Forthcoming
Posted: 05 Feb 2012 Last Revised: 08 Mar 2012
Irene Aldridge
AbleMarkets.com

Abstract:

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high-frequency trading, futures, arbitrage, Eurobund, HFT, large orders, market impact