Andrew Wiles Building
Radcliffe Observatory Quarter (550)
Oxford, OX2 6GG
United Kingdom
University of Oxford - Mathematical Institute
SSRN RANKINGS
in Total Papers Citations
Price prediction, queue imbalance, high-frequency trading, limit order books, market microstructure
multi-level order-flow imbalance, limit order book, price formation, market microstructure
liquidity, limit order books, high-frequency, flash crash, price impact, data
Counterparty Credit Limits; Counterparty Credit Risk; Price Formation; Market Design; Foreign Exchange
Limit order books, quasi-centralized liquidity, market microstructure, foreign exchange, curve collapse
Long memory, autocorrelation, foreign exchange market, order flow, market microstructure