Richard Philip

University of Sydney Business School

Cnr. of Codrington and Rose Streets

Sydney, NSW 2006

Australia

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 23,367

SSRN RANKINGS

Top 23,367

in Total Papers Downloads

2,225

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

High-Frequency Trading Strategies

Number of pages: 74 Posted: 25 May 2017 Last Revised: 20 Feb 2019
Michael A. Goldstein, Amy Kwan and Richard Philip
Babson College - Finance Division, University of Sydney Business School and University of Sydney Business School
Downloads 2,162 (7,052)
Citation 4

Abstract:

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High-frequency trading, institutional traders, retail traders, limit order book

2.

Estimating Permanent Price Impact via Machine Learning

Journal of Econometrics, Forthcoming
Number of pages: 93 Posted: 03 Dec 2019
Richard Philip
University of Sydney Business School
Downloads 53 (407,842)

Abstract:

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Price impact; Information content of a trade; Machine learning; Reinforcement learning

3.

Estimation with Errors in Variables via the Characteristic Function

Number of pages: 55 Posted: 11 Jun 2020
Hamish Malloch, Richard Philip and Stephen E. Satchell
The University of Sydney, University of Sydney Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 8 (642,193)

Abstract:

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Error in Variables, Characteristic Function, CAPM, Beta

4.

Machine learning in a dynamic limit order market

Number of pages: 57
Richard Philip
University of Sydney Business School
Downloads 2

Abstract:

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Limit order markets, machine learning, queue size, optimal limit order