Marko Weber

National University of Singapore (NUS) - Department of Mathematics

Department of Mathematics

Singapore, 117543

Singapore

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 33,781

SSRN RANKINGS

Top 33,781

in Total Papers Downloads

1,483

SSRN CITATIONS
Rank 37,585

SSRN RANKINGS

Top 37,585

in Total Papers Citations

6

CROSSREF CITATIONS

12

Scholarly Papers (6)

1.
Downloads 513 ( 59,239)
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
Boston University - Department of Mathematics and Statistics and National University of Singapore (NUS) - Department of Mathematics
Downloads 513 (58,583)
Citation 5

Abstract:

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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
Boston University - Department of Mathematics and Statistics and National University of Singapore (NUS) - Department of Mathematics
Downloads 350 (93,470)
Citation 6

Abstract:

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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
Boston University - Department of Mathematics and Statistics and National University of Singapore (NUS) - Department of Mathematics
Downloads 207 (160,881)
Citation 5

Abstract:

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price impact, long-run, portfolio choice, liquidity

4.

Systemic Portfolio Diversification

Number of pages: 37 Posted: 23 Mar 2019 Last Revised: 25 Jun 2020
Agostino Capponi and Marko Weber
Columbia University and National University of Singapore (NUS) - Department of Mathematics
Downloads 156 (206,608)

Abstract:

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

5.

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 134 (233,813)

Abstract:

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

6.

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 123 (249,536)
Citation 3

Abstract:

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