Kevin Webster

Columbia University

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 10,112

SSRN RANKINGS

Top 10,112

in Total Papers Downloads

8,766

SSRN CITATIONS

5

CROSSREF CITATIONS

3

Scholarly Papers (9)

1.

The Cost of Misspecifying Price Impact

Number of pages: 14 Posted: 02 Jun 2023
École Polytechnique - Chair of Econophysics and Complex System, Capital Fund Management, Capital Fund Management, Imperial College London - Department of Mathematics and Columbia University
Downloads 1,573 (22,224)

Abstract:

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Nonlinear price impact, model misspecification, optimal trading

2.

Do You Really Know Your P&L? The Importance of Impact-Adjusting the P&L

Number of pages: 24 Posted: 23 Jan 2023
Petter N. Kolm and Kevin Webster
New York University (NYU) - Courant Institute of Mathematical Sciences and Columbia University
Downloads 1,552 (22,740)

Abstract:

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Algorithmic trading, Best execution, Liquidity risk, Optimal execution, Portfolio management, Price impact, Scenario analysis, Trading, Trading footprint

3.

Trading with Concave Price Impact and Impact Decay - Theory and Evidence

Number of pages: 30 Posted: 29 Nov 2023
École Polytechnique - Chair of Econophysics and Complex System, Capital Fund Management, Imperial College London - Department of Mathematics and Columbia University
Downloads 1,381 (27,022)

Abstract:

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Nonlinear price impact, optimal trading,

4.

Stochastic Liquidity as a Proxy for Nonlinear Price Impact

Number of pages: 33 Posted: 11 Dec 2022 Last Revised: 13 Nov 2023
Johannes Muhle-Karbe, Zexin Wang and Kevin Webster
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Columbia University
Downloads 1,140 (35,749)

Abstract:

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nonlinear price impact; propagator model; scaling limit; optimal trading

5.

Getting More for Less - Better A/B Testing via Causal Regularization

Number of pages: 17 Posted: 18 Jul 2022
Kevin Webster and Nicholas Westray
Columbia University and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 1,065 (39,381)
Citation 1

Abstract:

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Algorithmic Trading, A/B Testing, Best Execution, Optimal Execution, Trading, Transaction Cost Analysis

6.

Information and Inventories in High-Frequency Trading

Swiss Finance Institute Research Paper No. 15-35
Number of pages: 15 Posted: 02 Sep 2015 Last Revised: 04 Sep 2017
Johannes Muhle-Karbe and Kevin Webster
Imperial College London - Department of Mathematics and Columbia University
Downloads 681 (72,327)
Citation 1

Abstract:

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high frequency trading, information asymmetry, inventory management

7.

Unwinding Stochastic Order Flow: When to Warehouse Trades

Number of pages: 48 Posted: 02 Nov 2023
Marcel Nutz, Kevin Webster and Long Zhao
Columbia University, Columbia University and Columbia University - Departments of Statistics and Mathematics
Downloads 517 (102,171)

Abstract:

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Internalization, Optimal Execution, Price Impact, Central Risk Book, Market Making

8.

A Leland Model for Delta Hedging in Central Risk Books

Number of pages: 34 Posted: 28 Mar 2022
Johannes Muhle-Karbe, Zexin Wang and Kevin Webster
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Columbia University
Downloads 480 (112,024)

Abstract:

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Market microstructure, market making, central risk book, limit orders, adverse selection

9.

The Self-Financing Equation in High Frequency Markets

Number of pages: 39 Posted: 10 Dec 2013
Rene Carmona and Kevin Webster
Princeton University - Bendheim Center for Finance and Columbia University
Downloads 377 (147,747)
Citation 3

Abstract:

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High Frequency Trading, Self-Financing Condition, Limit Order Book