Nicholas Westray

Courant Institute of Mathematical Sciences

Visiting Researcher - Financial Machine Learning

251 Mercer Street

New York, NY - 10012

United States

  • Courant Institute of Mathematical Sciences

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

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1.

Deep Order Flow Imbalance: Extracting Alpha at Multiple Horizons from the Limit Order Book

Number of pages: 43 Posted: 09 Aug 2021
Petter N. Kolm, Jeremy Turiel and Nicholas Westray
New York University (NYU) - Courant Institute of Mathematical Sciences, University College London and Courant Institute of Mathematical Sciences
Downloads 3,847 (3,817)

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Artificial neural networks, Deep learning, Financial machine learning, High-frequency trading, Limit order books, Market microstructure, Multiple horizons, Order flow, Return predictability

2.

What Happened to the Rest? A Principled Approach to Clean-Up Costs in Algorithmic Trading

Number of pages: 19 Posted: 04 Mar 2021
Petter N. Kolm and Nicholas Westray
New York University (NYU) - Courant Institute of Mathematical Sciences and Courant Institute of Mathematical Sciences
Downloads 401 (102,634)
Citation 1

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Algorithmic trading, Backtesting, Best execution, Clean-up cost, Optimal execution, Trading, Transaction cost analysis

3.

Optimal Execution in Hong Kong Given a Market-on-Close Benchmark

Quantitative Finance 18 (2018), 655-671
Number of pages: 29 Posted: 12 Jun 2015 Last Revised: 12 Mar 2018
Christoph Frei and Nicholas Westray
University of Alberta - Department of Mathematical and Statistical Sciences and Courant Institute of Mathematical Sciences
Downloads 156 (258,953)

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Optimal trade execution, Hong Kong Exchange, median benchmark, algorithmic trading

4.

Mean-Variance Optimization for Simulation of Order Flow

Kolm, Petter N. and Westray, Nicholas, Mean-Variance Optimization for Simulation of Order Flow (May, 2022). The Journal of Portfolio Management, to Appear, 2022
Posted: 08 Jun 2022
Petter N. Kolm and Nicholas Westray
New York University (NYU) - Courant Institute of Mathematical Sciences and Courant Institute of Mathematical Sciences

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Algorithmic Trading, Market Microstructure, Order Flow, Portfolio Optimization, Simulation, Systematic Trading