Jason Ricci

University of Toronto, Department of Statistics

Toronto, Ontario M5S 3G8

Canada

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 5,928

SSRN RANKINGS

Top 5,928

in Total Papers Downloads

8,065

SSRN CITATIONS
Rank 31,549

SSRN RANKINGS

Top 31,549

in Total Papers Citations

16

CROSSREF CITATIONS

9

Scholarly Papers (4)

1.

Buy Low Sell High: A High Frequency Trading Perspective

Cartea, Álvaro, Sebastian Jaimungal, and Jason Ricci. "Buy low, sell high: A high frequency trading perspective." SIAM Journal on Financial Mathematics 5.1 (2014): 415-444.
Number of pages: 37 Posted: 26 Nov 2011 Last Revised: 27 Apr 2015
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 5,922 (1,339)
Citation 21

Abstract:

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Algorithmic Trading, High Frequency Trading, Short Term Alpha, Adverse Selection, Self-Exciting Processes, Hawkes Processes

2.

Applied Stochastic Control in High Frequency and Algorithmic Trading

Number of pages: 210 Posted: 03 Oct 2014
Jason Ricci
University of Toronto, Department of Statistics
Downloads 1,356 (15,806)

Abstract:

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Algorithmic Trading, Hawkes Process, High Frequency Trading, Market Making, Stochastic Control

3.

Trading Strategies within the Edges of No-Arbitrage

Number of pages: 37 Posted: 25 Sep 2015
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 596 (50,806)
Citation 2

Abstract:

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Optimal Trading, high-frequency Trading, Algorithmic Trading, Limit Orders, Market Orders, Stochastic Control, Impulse Control, No-arbitrage bounds

4.

Algorithmic Trading, Stochastic Control, and Mutually-Exciting Processes

SIAM Review, Forthcoming
Number of pages: 36 Posted: 08 Jan 2019
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 191 (178,974)
Citation 4

Abstract:

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Algorithmic Trading, High Frequency Trading, Short Term Alpha, Adverse Selection, Self-Exciting Processes, Hawkes processes