Arseniy Kukanov

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

2

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CITATIONS
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37

Scholarly Papers (2)

1.

The Price Impact of Order Book Events

JOURNAL OF FINANCIAL ECONOMETRICS (Winter 2014) 12 (1): 47-88.
Number of pages: 32 Posted: 28 Nov 2010 Last Revised: 17 Sep 2015
Rama Cont, Arseniy Kukanov and Sasha Stoikov
University of Oxford, AQR Capital Management, LLC and Cornell Financial Engineering Manhattan
Downloads 4,826 (1,573)
Citation 24

Abstract:

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limit order book, market microstructure, liquidity, price impact, trading volume, equity markets, eletronic markets, high frequency data

2.

Optimal Order Placement in Limit Order Markets

Number of pages: 39 Posted: 02 Oct 2012 Last Revised: 23 Nov 2014
Rama Cont and Arseniy Kukanov
University of Oxford and AQR Capital Management, LLC
Downloads 1,680 (9,566)
Citation 7

Abstract:

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optimal order execution, market microstructure, optimal order placement, limit order market, order routing, fragmented market, stochastic approximation