Jack Sarkissian

Algostox Trading

New York, NY

United States

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 29,113

SSRN RANKINGS

Top 29,113

in Total Papers Downloads

2,205

SSRN CITATIONS

4

CROSSREF CITATIONS

3

Ideas:
“  I am working on developing Physical Theory of Financial Markets to establish it as a valid subject of finance and physics. As market practitioners we at Algostox are concerned with objective and interpretable information about financial markets, instead of intuitive guesses and speculation. Approaching the markets as physicists we are able to extract that information.  ”

Scholarly Papers (11)

1.

Express Measurement of Market Volatility Using Ergodicity Concept

Number of pages: 14 Posted: 21 Jul 2016 Last Revised: 10 Jun 2018
Jack Sarkissian
Algostox Trading
Downloads 688 (48,600)
Citation 1

Abstract:

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volatility, quantitative finance, asset management, risk management, ergodicity, analytics, portfolio management

2.

Spread, Volatility, and Volume Relationship in Financial Markets and Market Maker's Profit Optimization

Number of pages: 31 Posted: 26 Jun 2016 Last Revised: 18 Jul 2016
Jack Sarkissian
Algostox Trading
Downloads 654 (51,861)
Citation 3

Abstract:

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Market making, market microstructure, price measurement, quantitative trading, volatility, spread, finance, physics of financial markets

3.

Quantum Theory of Securities Price Formation in Financial Markets

Number of pages: 38 Posted: 17 Apr 2016 Last Revised: 18 May 2016
Jack Sarkissian
Algostox Trading
Downloads 253 (155,285)
Citation 3

Abstract:

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Market making, quantitative trading, finance, physics of financial markets, market microstructure, price measurement

4.

Option Pricing Under Quantum Theory of Securities Price Formation

Number of pages: 9 Posted: 10 Oct 2016
Jack Sarkissian
Algostox Trading
Downloads 182 (211,180)

Abstract:

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Options, volatility, volatility smile, derivatived, quantitative finance, quantum theory, risk management

5.

Risk Valuation for Securities with Limited Liquidity

Number of pages: 15 Posted: 30 Dec 2016
Jack Sarkissian
Algostox Trading
Downloads 117 (300,384)

Abstract:

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Market making, price measurement, quantitative trading, volatility, bid-ask spread, finance, physics of financial markets, risk management

6.

Dynamic Coupling in Order Book: Quantum Framework

Number of pages: 10 Posted: 05 Jan 2018
Jack Sarkissian
Algostox Trading
Downloads 114 (306,003)
Citation 1

Abstract:

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7.

Measurement of Current Market Correlations Based on Ensemble Statistics

Number of pages: 17 Posted: 18 Jan 2019
Jack Sarkissian and Joel Sebold
Algostox Trading and Refinitiv (formerly Thomson Reuters )
Downloads 75 (398,414)
Citation 1

Abstract:

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correlation, volatility, ergodicity

8.

Self-Controlled Phase Transitions During Market Crashes and Price Corrections

Number of pages: 14 Posted: 17 Jan 2020
Jack Sarkissian
Algostox Trading
Downloads 62 (440,708)

Abstract:

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Market crash, volatility, drawdown, phase transitions

9.

Statistical Mechanics of Price Stabilization and Destabilization in Financial Markets

Number of pages: 17 Posted: 27 Jan 2020
Jack Sarkissian
Algostox Trading
Downloads 60 (447,796)

Abstract:

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Market equilibrium, bid-ask spread, market crashes, correlation, imbalance, volatility

10.

Self-action in financial markets and its effect on price formation

Posted: 30 Nov 2021
Jack Sarkissian, Joel Sebold and Vadim Nastasiuk
Algostox Trading, Refinitiv (formerly Thomson Reuters ) and Odessa State Environmental University

Abstract:

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Market microstructure, price formation, quantum pricing theory, field theory

11.

Quantum Coupled-Wave Theory of Price Formation in Financial Markets: Price Measurement, Dynamics and Ergodicity

Posted: 21 Nov 2019 Last Revised: 28 Sep 2020
Jack Sarkissian
Algostox Trading

Abstract:

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HFT, spread volatility, execution, market making