Xavier Brokmann

Qube Research & Technologies

  • Qube Research & Technologies

SCHOLARLY PAPERS

4

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Top 35,562

in Total Papers Downloads

3,092

TOTAL CITATIONS

15

Scholarly Papers (4)

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1.

Tackling Nonlinear Price Impact with Linear Strategies

Number of pages: 15 Posted: 25 Oct 2023
Xavier Brokmann, David Itkin, Johannes Muhle-Karbe and Peter Schmidt
Qube Research & Technologies, London School of Economics & Political Science (LSE) - Department of Statistics, Imperial College London - Department of Mathematics and Qube Research & Technologies
Downloads 1,483 (28,100)
Citation 1

Abstract:

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Nonlinear price impact, portfolio choice

2.

Efficient Trading with Price Impact

Number of pages: 27 Posted: 19 Nov 2024
Xavier Brokmann, Lukas Gonon, Guangyi He, David Itkin and Johannes Muhle-Karbe
Qube Research & Technologies, University of St. Gallen (HSG), Imperial College London - Department of Mathematics, London School of Economics & Political Science (LSE) - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 1,017 (48,719)
Citation 2

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nonlinear price impact, impact decay, optimal trading, efficient computation

3.

LQG for Portfolio Optimization

Number of pages: 24 Posted: 05 Nov 2016
Marc Abeille, Emmanuel Sérié, Alessandro Lazaric and Xavier Brokmann
Institut National de Recherche en Informatique et Automatique (INRIA), Capital Fund Management, Institut National de Recherche en Informatique et Automatique (INRIA) and Qube Research & Technologies
Downloads 356 (182,891)
Citation 2

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Portfolio optimization, Impact, Return predictability, LQR, LQG, Riccati, State-space

4.

Slow Decay of Impact in Equity Markets

Number of pages: 6 Posted: 27 Jul 2014
Xavier Brokmann, Emmanuel Sérié, Julien Kockelkoren and Jean-Philippe Bouchaud
Qube Research & Technologies, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 236 (282,384)
Citation 10

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price impact, market microstructure