Richard Philip

University of Sydney Business School

Cnr. of Codrington and Rose Streets

Sydney, NSW 2006

Australia

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 19,457

SSRN RANKINGS

Top 19,457

in Total Papers Downloads

3,166

SSRN CITATIONS

4

CROSSREF CITATIONS

4

Scholarly Papers (6)

1.

High-Frequency Trading Strategies

Number of pages: 45 Posted: 25 May 2017 Last Revised: 23 Jul 2020
Michael A. Goldstein, Amy Kwan and Richard Philip
Babson College - Finance Division, University of Sydney Business School and University of Sydney Business School
Downloads 2,526 (6,532)
Citation 6

Abstract:

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High-frequency trading, institutional investors, retail investors

2.

Contagious Margin Calls: How COVID-19 Threatened Global Stock Market Liquidity

Number of pages: 34 Posted: 09 Jul 2020 Last Revised: 12 Feb 2021
Macquarie University, University of Sydney Business School, University of Sydney Business School and University of Stavanger
Downloads 289 (130,037)

Abstract:

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COVID-19; Margin requirements; Stock market liquidity; Liquidity spiral

3.

The Conduits of Price Discovery: A Machine Learning Approach

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 48 Posted: 14 Oct 2020 Last Revised: 04 Mar 2021
Amy Kwan, Richard Philip and Andriy Shkilko
University of Sydney Business School, University of Sydney Business School and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 122 (280,506)

Abstract:

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price discovery, order submission strategies, machine learning

4.

Machine Learning in a Dynamic Limit Order Market

Number of pages: 60 Posted: 10 Jul 2020 Last Revised: 27 Jul 2020
Richard Philip
University of Sydney Business School
Downloads 111 (299,808)

Abstract:

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

5.

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 86 (353,883)
Citation 3

Abstract:

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

6.

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 32 (552,150)

Abstract:

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Error in Variables, Characteristic Function, CAPM, Beta