Anton Golub

Flov technologies

Gotthardstrasse 26

Zug, Zug 6300

Switzerland

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 4,347

SSRN RANKINGS

Top 4,347

in Total Papers Downloads

10,016

SSRN CITATIONS
Rank 26,995

SSRN RANKINGS

Top 26,995

in Total Papers Citations

6

CROSSREF CITATIONS

24

Scholarly Papers (8)

1.

The Alpha Engine: Designing an Automated Trading Algorithm

High Performance Computing in Finance, Chapman & Hall/CRC Series in Mathematical Finance, 2017
Number of pages: 29 Posted: 12 Apr 2017 Last Revised: 03 May 2017
Flov technologies, Department of Banking and Finance, UZH and Lykke Corp
Downloads 8,157 (727)
Citation 6

Abstract:

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asset management, trading, algorithm

2.

High Frequency Trading and Mini Flash Crashes

Number of pages: 22 Posted: 10 Jan 2013 Last Revised: 20 May 2017
Anton Golub, John Keane and Ser-Huang Poon
Flov technologies, University of Manchester - School of Computer Science and University of Manchester - Manchester Business School
Downloads 752 (35,885)
Citation 30

Abstract:

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Mini Flash Crash, Flash Crash, Liquidity, High Frequency Trading, Intermarket Sweep Order, ISO, Top of the Book Protection, Regulation National Market System

3.

Agent-Based Model in Directional-Change Intrinsic Time

Number of pages: 30 Posted: 10 Sep 2018 Last Revised: 15 May 2020
University of Zurich, Flov technologies and Lykke Corp
Downloads 273 (122,347)
Citation 1

Abstract:

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Agent-Based Model, Stylized Facts, Forex, Directional-Change, Intrinsic Time, Scaling Laws

4.

Multi-Scale Representation of High Frequency Market Liquidity

Number of pages: 26 Posted: 12 Feb 2014
Flov technologies, University of Geneva, Olsen Ltd. and University of Geneva
Downloads 260 (128,890)
Citation 7

Abstract:

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Liquidity, Information Theory, Multi-Scale, Foreign Exchange, High Frequency Trading

5.

Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time

Number of pages: 32 Posted: 23 Sep 2018 Last Revised: 20 Mar 2019
University of Zurich, Flov technologies and Lykke Corp
Downloads 238 (140,763)
Citation 2

Abstract:

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instantaneous volatility; market microstructure; seasonality; high frequency markets; risk management; computational finance

6.

Safeguard Mechanisms to Insure Orderly Trading in Events of Extraordinary Volatility

Number of pages: 35 Posted: 13 Dec 2017 Last Revised: 08 Jan 2018
Ferdinand Haug and Anton Golub
Lykke Corp and Flov technologies
Downloads 142 (223,058)

Abstract:

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safeguard mechanisms, circuit breakers, trading halts, invalid trades

7.

Ultra Short Tenor Yield Curves for High-Frequency Trading and Blockchain Settlement

Number of pages: 43 Posted: 04 Mar 2018
Anton Golub, Lidan Grossmass and Ser-Huang Poon
Flov technologies, Heinrich Heine University Dusseldorf and University of Manchester - Manchester Business School
Downloads 128 (242,097)
Citation 1

Abstract:

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Blockchain, Intraday Yield Curve, Flash Crash, Duration, Time Deformation

8.

Intrinsic Time Directional-Change Methodology in Higher Dimensions

Number of pages: 39 Posted: 23 Aug 2019
University of Zurich, Flov technologies and Lykke Corp
Downloads 66 (369,493)

Abstract:

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high frequency markets, multidimensional, intrinsic time, scaling laws, risk management, directional-change