Laura Leal

Princeton University

PhD Student

United States

SCHOLARLY PAPERS

2

DOWNLOADS

524

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (2)

Repricing Avalanches in the Billion-Prices Data

Number of pages: 15 Posted: 20 Aug 2021 Last Revised: 02 Sep 2021
Princeton University, C. T. Bauer College of Business, University of Houston, University of Tokyo and Columbia University
Downloads 309 (191,760)

Abstract:

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Repricing Avalanches in the Billion-Prices Data

NBER Working Paper No. w29236
Number of pages: 16 Posted: 13 Sep 2021 Last Revised: 21 May 2023
Princeton University, C. T. Bauer College of Business, University of Houston, University of Tokyo and Columbia University
Downloads 13 (1,115,251)

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2.

Optimal Execution with Quadratic Variation Inventories

Number of pages: 26 Posted: 04 May 2021
Rene Carmona and Laura Leal
Princeton University - Bendheim Center for Finance and Princeton University
Downloads 202 (293,769)
Citation 4

Abstract:

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Quantitative Finance, High-Frequency Econometrics, Quadratic Variation, Brownian Motion