Gregory Sipress

TraderEx LLC

New York, NY

United States

SCHOLARLY PAPERS

2

DOWNLOADS

262

TOTAL CITATIONS

0

Scholarly Papers (2)

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1.

Order Integration and the Dynamic Behavior of Security Prices

Number of pages: 47 Posted: 12 Mar 2014 Last Revised: 18 Mar 2016
Turan G. Bali, Jian Hua, Robert A. Schwartz and Gregory Sipress
Georgetown University - McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Baruch College - CUNY and TraderEx LLC
Downloads 165 (384,611)

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stock return distribution, tail thickness, excess kurtosis, mixture of distributions, time-varying volatility

2.

From Theory to Application: Using Simulation to Better Understand Price Determination in a Non-Frictionless Equity Market

Number of pages: 35 Posted: 14 Nov 2016
Jian Hua, Robert A. Schwartz and Gregory Sipress
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Baruch College - CUNY and TraderEx LLC
Downloads 97 (581,426)

Abstract:

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simulation analysis, stock return distribution, tail thickness, excess kurtosis, mixture of distributions, market structure, call auctions, continuous trading