Ruihong Huang

Humboldt University of Berlin

Unter den Linden 6

Berlin, Berlin 10099

Germany

SCHOLARLY PAPERS

5

DOWNLOADS
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SSRN RANKINGS

Top 18,906

in Total Papers Downloads

1,931

CITATIONS
Rank 18,040

SSRN RANKINGS

Top 18,040

in Total Papers Citations

18

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 587 (26,295)
Citation 1

Abstract:

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 351 (58,347)
Citation 14

Abstract:

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 219 (71,567)

Abstract:

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

4.

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 214 (96,927)
Citation 1

Abstract:

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

5.

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 193 (97,351)
Citation 2

Abstract:

limit order market, message data, high-frequency data