Martin Gould

Imperial College London - Department of Mathematics

James S. McDonnell Foundation Postdoctoral Fellow

South Kensington Campus

Imperial College

London, SW7 2AZ

United Kingdom

http://www.imperial.ac.uk/people/m.gould

University of Oxford - Mathematical Institute

Andrew Wiles Building

Radcliffe Observatory Quarter (550)

Oxford, OX2 6GG

United Kingdom

  • Imperial College London - Department of Mathematics

  • University of Oxford - Mathematical Institute

SCHOLARLY PAPERS

6

DOWNLOADS

689

SSRN CITATIONS
Rank 38,107

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Top 38,107

in Total Papers Citations

4

CROSSREF CITATIONS

11

Scholarly Papers (6)

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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 349 (87,248)
Citation 10

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

2.

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 123 (233,889)
Citation 1

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

3.

Quasi-Centralized Limit Order Books

Number of pages: 43 Posted: 02 Feb 2015 Last Revised: 10 Oct 2016
Martin Gould, Mason Alexander Porter and Sam Howison
Imperial College London - Department of Mathematics, University of Oxford and University of Oxford - Nomura Centre for Quantitative Finance, OCIAM
Downloads 70 (336,545)
Citation 2

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Limit order books, quasi-centralized liquidity, market microstructure, foreign exchange, curve collapse

4.

The Long Memory of Order Flow in the Foreign Exchange Spot Market

Number of pages: 38 Posted: 18 Apr 2015 Last Revised: 23 Oct 2015
Martin Gould, Mason Alexander Porter and Sam Howison
Imperial College London - Department of Mathematics, University of Oxford and University of Oxford - Nomura Centre for Quantitative Finance, OCIAM
Downloads 62 (358,671)
Citation 5

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Long memory, autocorrelation, foreign exchange market, order flow, market microstructure

5.

Counterparty Credit Limits: An Effective Tool for Mitigating Counterparty Risk?

CFS Working Paper, WP No. 581
Number of pages: 39 Posted: 27 Sep 2017
Martin Gould, Nikolaus Hautsch, Sam Howison and Mason A. Porter
Imperial College London - Department of Mathematics, University of Vienna - Department of Statistics and Operations Research, University of Oxford - Nomura Centre for Quantitative Finance, OCIAM and California Institute of Technology
Downloads 55 (380,291)
Citation 1

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Counterparty Credit Limits; Counterparty Risk; Price Formation; Market Design; Systemic Risk

6.

Multi-Level Order-Flow Imbalance in a Limit Order Book

Number of pages: 32 Posted: 12 Nov 2019
Ke Xu, Martin Gould and Sam Howison
BNP Paribas, London, Imperial College London - Department of Mathematics and University of Oxford - Nomura Centre for Quantitative Finance, OCIAM
Downloads 30 (477,748)

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multi-level order-flow imbalance, limit order book, price formation, market microstructure