Aleksey Kolokolov

University of Manchester - Manchester Business School

Booth Street West

Manchester, M15 6PB

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 45,523

SSRN RANKINGS

Top 45,523

in Total Papers Downloads

1,181

SSRN CITATIONS

4

CROSSREF CITATIONS

6

Scholarly Papers (7)

1.

High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?

SAFE Working Paper No. 270
Number of pages: 68 Posted: 24 Mar 2020 Last Revised: 08 Sep 2020
European Union - JRC-Ispra, European Commision, Aarhus University - CREATES, University of Manchester - Manchester Business School, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Verona - Department of Economics
Downloads 445 (78,229)
Citation 5

Abstract:

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flash crashes; high-frequency traders (HFTs); liquidity provision; market making

2.

Systemic Co-Jumps

SAFE Working Paper No. 149
Number of pages: 49 Posted: 15 Oct 2016
Massimiliano Caporin, Aleksey Kolokolov and Roberto Renò
University of Padua - Department of Statistical Sciences, University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 335 (108,503)
Citation 3

Abstract:

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Jumps, Return predictability, Systemic events, Variance Risk Premium

3.

Multi-Jumps

Number of pages: 63 Posted: 30 Aug 2014
Massimiliano Caporin, Aleksey Kolokolov and Roberto Renò
University of Padua - Department of Statistical Sciences, University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 123 (273,000)
Citation 1

Abstract:

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multi-jumps, co-jumps, price jumps, multivariate jumps, jumps testing

4.

Zeros

Number of pages: 22 Posted: 02 Jan 2020
Johns Hopkins University - Carey Business School, University of Manchester - Manchester Business School, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads 102 (311,301)
Citation 2

Abstract:

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Volume, Liquidity, Short-Term Options

5.

Efficient Multipowers

Number of pages: 43 Posted: 08 Feb 2016
Aleksey Kolokolov and Roberto Renò
University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 69 (393,515)
Citation 2

Abstract:

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Efficiency, Volatility, Jumps, Quarticity, Multipower, Threshold

6.

Statistical Inferences for Price Staleness

Number of pages: 71 Posted: 13 Nov 2018 Last Revised: 21 Jan 2020
Aleksey Kolokolov, Giulia Livieri and Davide Pirino
University of Manchester - Manchester Business School, Scuola Normale Superiore and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 65 (405,983)
Citation 1

Abstract:

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staleness, idle time, liquidity, zero returns, stable convergence

7.

Estimating Jump Activity Using Multipower Variation

Number of pages: 69 Posted: 12 Jul 2018 Last Revised: 15 Dec 2020
Aleksey Kolokolov
University of Manchester - Manchester Business School
Downloads 42 (492,904)

Abstract:

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Jump Activity, Bitcoin, Jumps, Multipower Variation, High-Frequency Data