Erik Vogt

Citadel LLC

131 S Dearborn Street

Chicago, IL 60603

United States

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 33,349

SSRN RANKINGS

Top 33,349

in Total Papers Downloads

1,553

SSRN CITATIONS
Rank 12,326

SSRN RANKINGS

Top 12,326

in Total Papers Citations

48

CROSSREF CITATIONS

42

Scholarly Papers (9)

Intraday Market Making with Overnight Inventory Costs

Journal of Financial Markets, Forthcoming
Number of pages: 65 Posted: 29 Sep 2016 Last Revised: 13 Apr 2020
International Monetary Fund, Columbia University, Federal Reserve Bank of New York, Citadel LLC and Columbia University
Downloads 412 (78,632)
Citation 3

Abstract:

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inventory control, jump-driven stochastic control, market microstructure theory, market making

Intraday Market Making with Overnight Inventory Costs

FRB of NY Staff Report No. 799
Number of pages: 57 Posted: 25 Oct 2016
International Monetary Fund, Columbia University, Federal Reserve Bank of New York, Citadel LLC and Columbia University
Downloads 116 (269,070)

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market microstructure theory, market liquidity, market making, financial intermediation

Intraday Market Making with Overnight Inventory Costs

CEPR Discussion Paper No. DP12245
Number of pages: 56 Posted: 29 Aug 2017
International Monetary Fund, Columbia University, Citadel LLC and Columbia University
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Financial Intermediation, market liquidity, market making, Market microstructure theory

2.
Downloads 320 (106,186)
Citation 28

Market Liquidity after the Financial Crisis

FRB of NY Staff Report No. 796
Number of pages: 47 Posted: 20 Oct 2016 Last Revised: 21 Sep 2017
International Monetary Fund, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Citadel LLC
Downloads 320 (105,561)

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liquidity, market making, Treasury market, corporate bonds, regulation

Market Liquidity after the Financial Crisis

CEPR Discussion Paper No. DP12248
Number of pages: 49 Posted: 29 Aug 2017
International Monetary Fund, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Citadel LLC
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Citation 16
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corporate bonds, liquidity, market making, regulation, Treasury securities

Market Liquidity after the Financial Crisis

Annual Review of Financial Economics, Vol. 9, pp. 43-83, 2017
Posted: 03 Jan 2018
International Monetary Fund, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Citadel LLC

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3.

Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds

FRB of NY Staff Report No. 723
Number of pages: 116 Posted: 18 Aug 2015 Last Revised: 05 Dec 2017
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Citadel LLC
Downloads 317 (106,922)
Citation 6

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flight to safety, risk-return trade-off, dynamic asset pricing, volatility, nonparametric estimation and inference, intermediary asset pricing, asset management

4.

Global Variance Term Premia and Intermediary Risk Appetite

FRB of NY Staff Report No. 789
Number of pages: 70 Posted: 15 Aug 2016 Last Revised: 11 Nov 2017
Peter Van Tassel and Erik Vogt
Federal Reserve Banks - Federal Reserve Bank of New York and Citadel LLC
Downloads 112 (272,894)

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variance swap, variance risk premium, term structure, empirical asset pricing, volatility, financial intermediaries

5.

An Index of Treasury Market Liquidity: 1991-2017

FRB of NY Staff Report No. 827
Number of pages: 39 Posted: 17 Nov 2017
International Monetary Fund, Federal Reserve Bank of New York and Citadel LLC
Downloads 107 (283,541)
Citation 2

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Treasury securities, market liquidity, funding liquidity, volatility, index

6.

Option-Implied Term Structures

FRB of New York Staff Report No. 706
Number of pages: 61 Posted: 31 Dec 2014
Erik Vogt
Citadel LLC
Downloads 94 (307,034)
Citation 1

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equity risk premium, finance, options, predictability, sieve M estimation, state-price density, term structures, variance risk premium, VIX

7.

Global Price of Risk and Stabilization Policies

FRB of NY Staff Report No. 786
Number of pages: 65 Posted: 12 Aug 2016 Last Revised: 31 Aug 2017
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Citadel LLC
Downloads 75 (352,032)

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financial stability, monetary policy, fiscal policy, regulatory policy

8.

Global Price of Risk and Stabilization Policies

CEPR Discussion Paper No. DP13435
Number of pages: 64 Posted: 15 Jan 2019
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Citadel LLC
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Citation 4
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Financial Stability, Fiscal policy, monetary policy, regulatory policy

9.

Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds

CEPR Discussion Paper No. DP11401
Number of pages: 81 Posted: 25 Jul 2016
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Citadel LLC
Downloads 0 (739,831)
Citation 2
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asset management, dynamic asset pricing, flight-to-safety, intermediary asset pricing, nonparametric estimation and inference, risk-return tradeoff, volatility