Ryan Francis Donnelly

University of Washington - Department of Applied Mathematics

Box 352420

Seattle, WA 98195-2420

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 7,342

SSRN RANKINGS

Top 7,342

in Total Papers Downloads

5,940

CITATIONS

2

Scholarly Papers (8)

1.

Enhancing Trading Strategies with Order Book Signals

Number of pages: 38 Posted: 03 Oct 2015 Last Revised: 14 Oct 2015
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, University of Washington - Department of Applied Mathematics and University of Toronto - Department of Statistics
Downloads 2,971 (3,570)

Abstract:

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order imbalance, algorithmic trading, high-frequency trading, order flow, market making, adverse selection

2.

Algorithmic Trading with Model Uncertainty

Forthcoming: SIAM Journal on Financial Mathematics
Number of pages: 47 Posted: 15 Aug 2013 Last Revised: 05 Apr 2017
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, University of Washington - Department of Applied Mathematics and University of Toronto - Department of Statistics
Downloads 1,735 (8,882)
Citation 1

Abstract:

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market making, algorithmic trading, high frequency trading, robust optimization, ambiguity aversion, Knightian uncertainty, Poisson random measures, short term alpha, adverse selection

3.

Valuing GWBs with Stochastic Interest Rates and Volatility

Donnelly, Ryan Francis, Sebastian Jaimungal, and Dmitri Rubisov. "Valuing GWBs with stochastic interest rates and volatility." Quantitative Finance (2012).
Number of pages: 26 Posted: 14 Jan 2012 Last Revised: 27 Apr 2015
Ryan Francis Donnelly, Sebastian Jaimungal and Dmitri Rubisov
University of Washington - Department of Applied Mathematics, University of Toronto - Department of Statistics and BMO Capital Markets
Downloads 414 (68,089)
Citation 1

Abstract:

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Insurance Guarantees, Withdrawal Benefits, Stochastic Volatility, Stochastic Interest Rates, ADI methods, Asian Options, Mixed Fund

4.

Ambiguity Aversion in Algorithmic and High Frequency Trading

Number of pages: 174 Posted: 21 Nov 2014
Ryan Francis Donnelly
University of Washington - Department of Applied Mathematics
Downloads 268 (111,098)

Abstract:

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algorithmic trading, ambiguity aversion, stochastic control

5.

Optimal Decisions in a Time Priority Queue

Number of pages: 42 Posted: 06 Feb 2017
Ryan Francis Donnelly and Luhui Gan
University of Washington - Department of Applied Mathematics and University of Toronto
Downloads 231 (129,286)

Abstract:

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algorithmic trading, high frequency trading, limit order book, queuing model, order flow, impulse control, adverse selection

6.

Portfolio Liquidation and Ambiguity Aversion

Number of pages: 40 Posted: 04 Apr 2017
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, University of Washington - Department of Applied Mathematics and University of Toronto - Department of Statistics
Downloads 206 (144,289)

Abstract:

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Optimal Execution, Ambiguity Aversion, Model Uncertainty, Algorithmic Trading, High Frequency Trading, Short Term Alpha, Adverse Selection, Robust Optimization

7.

Hedging Non-Tradable Risks with Transaction Costs and Price Impact

Number of pages: 27 Posted: 27 Apr 2018 Last Revised: 16 Jun 2018
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, University of Washington - Department of Applied Mathematics and University of Toronto - Department of Statistics
Downloads 84 (289,766)

Abstract:

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algorithmic trading, hedging, price impact

8.

Effort Expenditure for Cash Flow in a Mean-Field Equilibrium

International Journal of Theoretical & Applied Finance, 2019
Number of pages: 22 Posted: 29 Aug 2018 Last Revised: 23 Feb 2019
Ryan Francis Donnelly and Tim Leung
University of Washington - Department of Applied Mathematics and University of Washington - Department of Applied Math
Downloads 31 (451,974)

Abstract:

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real options, mean field games, equilibrium, optimal control