Marko Weber

National University of Singapore (NUS) - Department of Mathematics

Department of Mathematics

Singapore, 117543

Singapore

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 35,843

SSRN RANKINGS

Top 35,843

in Total Papers Downloads

1,639

SSRN CITATIONS
Rank 38,509

SSRN RANKINGS

Top 38,509

in Total Papers Citations

9

CROSSREF CITATIONS

11

Scholarly Papers (6)

1.
Downloads 530 ( 64,594)
Citation 6

Dynamic Trading Volume

Boston U. School of Management Research Paper No. 2012-28
Number of pages: 36 Posted: 03 Oct 2012 Last Revised: 13 Dec 2014
Paolo Guasoni and Marko Weber
Dublin City University - School of Mathematical Sciences and National University of Singapore (NUS) - Department of Mathematics
Downloads 530 (64,069)
Citation 4

Abstract:

Loading...

trading volume, long-run, portfolio choice, liquidity

2.

Nonlinear Price Impact and Portfolio Choice

Number of pages: 31 Posted: 02 Jun 2015 Last Revised: 16 May 2018
Paolo Guasoni and Marko Weber
Dublin City University - School of Mathematical Sciences and National University of Singapore (NUS) - Department of Mathematics
Downloads 380 (96,469)
Citation 9

Abstract:

Loading...

price-impact, square-root law, trading volume

3.

Rebalancing Multiple Assets with Mutual Price Impact

Number of pages: 24 Posted: 15 Feb 2015 Last Revised: 22 Dec 2016
Paolo Guasoni and Marko Weber
Dublin City University - School of Mathematical Sciences and National University of Singapore (NUS) - Department of Mathematics
Downloads 219 (171,403)
Citation 6

Abstract:

Loading...

price impact, long-run, portfolio choice, liquidity

4.

Systemic Portfolio Diversification

Number of pages: 44 Posted: 23 Mar 2019 Last Revised: 08 Mar 2021
Agostino Capponi and Marko Weber
Columbia University and National University of Singapore (NUS) - Department of Mathematics
Downloads 215 (174,464)

Abstract:

Loading...

systemic diversification, leverage, fire-sale externalities, aggregate vulnerability

5.

Swing Pricing for Mutual Funds: Breaking the Feedback Loop between Fire Sales and Fund Redemptions

Office of Financial Research Research Paper No. 18-04, Columbia Business School Research Paper No. 18-72, Management Science, Forthcoming
Number of pages: 47 Posted: 10 Sep 2018 Last Revised: 20 Nov 2019
Columbia University, Columbia Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 157 (230,337)
Citation 4

Abstract:

Loading...

mutual funds, first-mover advantage, swing price, fire sales, financial stability

6.

Rebalancing with Linear and Quadratic Costs

Swiss Finance Institute Research Paper No. 14-16
Number of pages: 30 Posted: 28 Feb 2014 Last Revised: 04 Sep 2017
Ren Liu, Johannes Muhle-Karbe and Marko Weber
ETH Z├╝rich, Imperial College London - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 138 (255,829)

Abstract:

Loading...

price impact, transaction costs, portfolio choice, long-run