Ruihong Huang

Humboldt University of Berlin

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

SCHOLARLY PAPERS

5

DOWNLOADS
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Top 18,462

in Total Papers Downloads

2,563

CITATIONS
Rank 19,568

SSRN RANKINGS

Top 19,568

in Total Papers Citations

36

Scholarly Papers (5)

1.

On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements

Number of pages: 43 Posted: 13 Feb 2012
Nikolaus Hautsch and Ruihong Huang
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 944 (23,339)
Citation 11

Abstract:

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limit order market, hidden liquidity, high-frequency trading, non-display order, iceberg orders

2.

The Market Impact of a Limit Order

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 45 Posted: 16 Sep 2010 Last Revised: 10 Oct 2011
Nikolaus Hautsch and Ruihong Huang
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 514 (53,096)
Citation 11

Abstract:

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price impact, limit order, impulse response function, high-frequency cointegration

3.

Risk-Averse Reinforcement Learning for Algorithmic Trading

Number of pages: 8 Posted: 02 Dec 2013 Last Revised: 25 Feb 2014
Yun Shen, Ruihong Huang, Chang Yan and Klaus Obermayer
Technische Universit├Ąt Berlin (TU Berlin), Humboldt University of Berlin, Humboldt University of Berlin and Technische Universit├Ąt Berlin (TU Berlin)
Downloads 472 (59,154)

Abstract:

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High-Frequency Trading, Limit Order Book, Optimal Execution, Machine Learning

4.

LOBSTER: Limit Order Book Reconstruction System

Number of pages: 22 Posted: 27 Dec 2011
Ruihong Huang and Tomas Polak
Humboldt University of Berlin and affiliation not provided to SSRN
Downloads 338 (87,782)
Citation 15

Abstract:

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limit order market, message data, high-frequency data

5.

Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data

Number of pages: 29 Posted: 22 Aug 2011
Nikolaus Hautsch and Ruihong Huang
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 295 (101,944)
Citation 7

Abstract:

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price impact, limit order, impulse response function, cointegration, optimal order size