Oleh Danyliv

Fidessa Group plc

Algorithmic Developer

One Old Jewry

London, EC2R 8DN

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

186

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Convenient Liquidity Measure for Financial Markets

Number of pages: 14 Posted: 29 Jan 2014 Last Revised: 14 Aug 2014
Oleh Danyliv, Bruce Bland and Daniel Nicholass
Fidessa Group plc, Fidessa Group, London and Fidessa Group, London
Downloads 116 (241,113)

Abstract:

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measuring liquidity, portfolio liquidity

2.

An Instantaneous Market Volatility Estimation

Number of pages: 16 Posted: 12 Aug 2019 Last Revised: 14 Aug 2019
Oleh Danyliv and Bruce Bland
Fidessa Group plc and Fidessa Group, London
Downloads 42 (420,418)

Abstract:

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volatility, order book, realised volatility, market invariant

3.

Random Walk Model From the Point of View of Algorithmic Trading

Number of pages: 12 Posted: 13 Aug 2019
Oleh Danyliv, Bruce Bland and Alexandre Argenson
Fidessa Group plc, Fidessa Group, London and Fidessa Group, London
Downloads 28 (481,531)

Abstract:

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random walk, order book, best execution, limit order, execution cost