Ruihong Huang

Humboldt University of Berlin

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 19,400

SSRN RANKINGS

Top 19,400

in Total Papers Downloads

3,633

SSRN CITATIONS
Rank 20,247

SSRN RANKINGS

Top 20,247

in Total Papers Citations

17

CROSSREF CITATIONS

33

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 1,240 (22,913)
Citation 13

Abstract:

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

2.

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 707 (50,365)

Abstract:

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

3.

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 680 (53,007)
Citation 19

Abstract:

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limit order market, message data, high-frequency data

4.

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 636 (57,788)
Citation 22

Abstract:

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

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 370 (111,014)
Citation 10

Abstract:

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