1 Cyclotron Road
Berkeley, CA 94720
Lawrence Berkeley National Laboratory
in Total Papers Downloads
in Total Papers Citations
Hedging portfolios, robustness, portfolio theory, stationarity, subset corrrelations, Maeloc spread, ECM, ADF, KPSS, PCA, BTCD, MMSC
VPIN, flash crash, liquidity, flow toxicity, market microstructure, probability of informed trading, circuit breakers, market fragmentation
high-performance computing, market microstructure, probability of informed trading, VPIN, liquidity, flow toxicity, volume imbalance, flash crash
false positive rate, probability of informed trading, VPIN
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.235 seconds
We'd like to ask you to provide feedback on your experience with SSRN today. Your feedback will be used to enhance the site in the future.
Would you be willing to answer a few questions when you leave our site?
Yes, I'm willing to take part in a survey
No, thank you