Ricky Cooper

Illinois Institute of Technology - Stuart School of Business, IIT

10 West 35th Street, 18th Floor

Chicago, IL 60616

United States

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 15,323

in Total Papers Downloads

2,932

CITATIONS

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Scholarly Papers (12)

1.

Benchmarking Commodity Investments

Journal of Futures Markets, Forthcoming
Number of pages: 44 Posted: 09 Mar 2016 Last Revised: 11 Sep 2017
Jesse Blocher, Ricky Cooper and Marat Molyboga
Vanderbilt University - Finance, Illinois Institute of Technology - Stuart School of Business, IIT and Efficient Capital Management, LLC
Downloads 821 (26,894)

Abstract:

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commodity investments, risk premia, smart beta, exchange traded funds

2.

Phantom Liquidity and High Frequency Quoting

Journal of Trading, Vol. 11, No. 3, 6-15, 2016.
Number of pages: 20 Posted: 09 May 2016 Last Revised: 07 Jul 2016
Vanderbilt University - Finance, Illinois Institute of Technology - Stuart School of Business, IIT, Audencia Nantes School of Management and Illinois Institute of Technology - Stuart School of Business
Downloads 546 (46,543)

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high frequency trading, phantom liquidity, limit order markets

3.

Expected Return in High Frequency Trading

Journal of Trading, Vol. 10, No. 2, pp. 34-40
Number of pages: 15 Posted: 23 Jan 2015 Last Revised: 28 May 2015
Ricky Cooper and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT and Illinois Institute of Technology - Stuart School of Business
Downloads 530 (48,322)

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High frequency trading, expected return, alpha

4.

Multi-Scale Capability: A Better Approach to Performance Measurement for Algorithmic Trading

Algorithmic Finance (2015), 4:1-2, 53-68
Number of pages: 17 Posted: 30 Aug 2014 Last Revised: 28 Jul 2015
Ricky Cooper, Michael Ong and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT, Michael K. Ong Risk Advisory and Illinois Institute of Technology - Stuart School of Business
Downloads 347 (80,530)

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risk-adjusted performance measure, term structure of capability, algorithmic trading, prudence

5.

How Does High Frequency Trading Affect Low Frequency Trading?

Journal of Behavioral Finance, Forthcoming
Number of pages: 43 Posted: 19 Dec 2016
Ricky Cooper, Kun Li and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT, Beijing Normal University (BNU) - Business School and Illinois Institute of Technology - Stuart School of Business
Downloads 198 (144,448)

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high frequency trading, limit order book, liquidity, order execution quality

6.

Whole Distribution Statistical Process Control in High Frequency Trading

Journal of Trading. Vol. 7, No. 2. 2012.
Number of pages: 23 Posted: 18 Sep 2013 Last Revised: 14 May 2014
Ricky Cooper and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT and Illinois Institute of Technology - Stuart School of Business
Downloads 174 (162,469)

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high frequency trading, statistical process control, generalized lambda distribution

7.

The Rationale for AT 9000: An ISO 9000-Style Quality Management System Standard for Automated and Algorithmic Trading

Journal of Trading. Vol. 8, No. 3. 2013.
Number of pages: 12 Posted: 18 Sep 2013 Last Revised: 14 May 2014
Illinois Institute of Technology - Stuart School of Business, Illinois Institute of Technology - Stuart School of Business, IIT, Illinois Institute of Technology - Stuart School of Business and FIX Protocol, Ltd.
Downloads 97 (255,702)

Abstract:

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quality management system standard, automated trading

8.

High Frequency Equity Performance Attribution

Journal of Performance Measurement, Vol 16 No 3, 2012
Number of pages: 27 Posted: 30 Jan 2015
Ricky Cooper and Tingting Li
Illinois Institute of Technology - Stuart School of Business, IIT and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads 83 (281,996)

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performance measurement, absolute return, high frequency trading

9.

Absolute Return Equity Risk Attribution and Forecasting

Journal of Performance Measurement, Vol 17, No 2, Winter 2013
Number of pages: 28 Posted: 30 Jan 2015
Ricky Cooper and Tingting Li
Illinois Institute of Technology - Stuart School of Business, IIT and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads 82 (284,086)

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Absolute return, Risk Attribution, High Frequency Trading

10.

Adding Derivatives to Absolute Return Attribution

Journal of Performance Measurement, Vol 17 No 3, Spring 2013
Number of pages: 17 Posted: 30 Jan 2015
Ricky Cooper and Tingting Li
Illinois Institute of Technology - Stuart School of Business, IIT and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads 52 (360,858)

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Derviatives, Attribution, Absolute return, High Frequency Trading

11.

High-Frequency Trading and Conflict in the Financial Markets

Journal of Information Technology, Vol. 32, Issue 3, 2017
Number of pages: 13 Posted: 02 Jun 2018
Ricky Cooper, Jonathan Seddon and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT, Audencia Nantes School of Management and Illinois Institute of Technology - Stuart School of Business
Downloads 2 (597,308)
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high-frequency trading, liquidity, regulation, market maker

12.

Black-Litterman, Exotic Beta, and Varying Efficient Portfolios: An Integrated Approach

Journal of Investment Strategies (2017), 6(3), pp. 13-30.
Posted: 20 Jan 2017 Last Revised: 28 Jun 2017
Ricky Cooper and Marat Molyboga
Illinois Institute of Technology - Stuart School of Business, IIT and Efficient Capital Management, LLC

Abstract:

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Black-Litterman, exotic betas, risk parity