Julius Bonart

Imperial College London, CFM-Imperial Institute of Quantitative Finance

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

University College London - Financial Computing and Analytics Group, Department of Computer Science

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

5

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826

CITATIONS
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in Total Papers Citations

9

Scholarly Papers (5)

1.

Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book

Number of pages: 30 Posted: 12 Dec 2015
Martin Gould and Julius Bonart
Imperial College London - Department of Mathematics and Imperial College London, CFM-Imperial Institute of Quantitative Finance
Downloads 339 (87,551)
Citation 7

Abstract:

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Price prediction, queue imbalance, high-frequency trading, limit order books, market microstructure

2.

What is the Optimal Tick Size? A Cross-Sectional Analysis of Execution Costs on NASDAQ

Number of pages: 36 Posted: 16 Nov 2016 Last Revised: 13 Apr 2017
Julius Bonart
Imperial College London, CFM-Imperial Institute of Quantitative Finance
Downloads 215 (142,225)

Abstract:

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tick size, liquidity, market design, market microstructure

3.

Latency and Liquidity Provision in a Limit Order Book

Number of pages: 23 Posted: 14 Nov 2015 Last Revised: 25 Jun 2016
Julius Bonart and Martin Gould
Imperial College London, CFM-Imperial Institute of Quantitative Finance and Imperial College London - Department of Mathematics
Downloads 121 (230,257)
Citation 1

Abstract:

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liquidity, limit order books, high-frequency, flash crash, price impact, data

4.

A Continuous and Efficient Fundamental Price on the Discrete Order Book Grid

Number of pages: 24 Posted: 16 Nov 2016
Julius Bonart and Fabrizio Lillo
Imperial College London, CFM-Imperial Institute of Quantitative Finance and Università di Bologna
Downloads 95 (274,390)

Abstract:

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price formation, liquidity provision, tick size, market microstructure

5.

Mathematical Aspects of Delayed Market Clearing in Order Driven Markets and its Applications to Non-Markovian Price Impact and Optimal Execution

Number of pages: 18 Posted: 13 Sep 2015
Julius Bonart
Imperial College London, CFM-Imperial Institute of Quantitative Finance
Downloads 56 (366,744)

Abstract:

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