Jason Ricci

University of Toronto, Department of Statistics

Toronto, Ontario M5S 3G8

Canada

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 5,924

SSRN RANKINGS

Top 5,924

in Total Papers Downloads

7,205

CITATIONS
Rank 33,337

SSRN RANKINGS

Top 33,337

in Total Papers Citations

16

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 5,307 (1,335)
Citation 11

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 1,280 (14,759)

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 531 (51,130)
Citation 1

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 87 (290,448)
Citation 1

Abstract:

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