Sergei Maslov

Brookhaven National Laboratory - Department of Physics

Upton , NY 11973-5000

United States

SCHOLARLY PAPERS

5

DOWNLOADS
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CITATIONS
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in Total Papers Citations

22

Scholarly Papers (5)

1.
Downloads 375 ( 61,000)
Citation 13

Simple Model of a Limit Order-Driven Market

Number of pages: 7 Posted: 29 Mar 2000
Sergei Maslov
Brookhaven National Laboratory - Department of Physics
Downloads 375 (60,438)
Citation 13

Abstract:

Simple Model of a Limit Order-Driven Market

Physica A, Vol. 278, pp. 571-578, 2000
Posted: 08 Jan 2001
Sergei Maslov
Brookhaven National Laboratory - Department of Physics

Abstract:

2.

Price Fluctuations from the Order Book Perspective - Empirical Facts and a Simple Model

Number of pages: 15 Posted: 12 Apr 2001
Sergei Maslov and Mark Mills
Brookhaven National Laboratory - Department of Physics and Independent Affiliation
Downloads 368 (61,383)
Citation 9

Abstract:

Limit orders, order book, price fluctuations, high-frequency data

3.

Measures of Globalization Based on Cross-Correlations of World Financial Indices

Number of pages: 10 Posted: 27 Jul 2001
Sergei Maslov
Brookhaven National Laboratory - Department of Physics
Downloads 233 (102,511)

Abstract:

Globalization, correlations, international

4.

Dynamical Optimization Theory of a Diversified Portfolio

Physica A, Vol. 253, pp. 403-418, 1998
Posted: 08 Jan 2001
Sergei Maslov, Yi-Cheng Zhang and Matteo Marsili
Brookhaven National Laboratory - Department of Physics, Universite de Fribourg and Abdus Salam International Centre Theoretical Physics (ICTP)

Abstract:

Probability Distribution of Drawdowns in Risky Investments

Physica A, Vol. 262, pp. 232-241, 1999
Posted: 08 Jan 2001
Sergei Maslov and Yi-Cheng Zhang
Brookhaven National Laboratory - Department of Physics and Universite de Fribourg

Abstract:

Probability Distribution of Drawdowns in Risky Investments

Posted: 31 Jul 2000
Sergei Maslov and Yi-Cheng Zhang
Brookhaven National Laboratory - Department of Physics and Universite de Fribourg

Abstract: