Pamela Saliba

Autorité des Marchés Financiers

France

Ecole Polytechnique, Paris - Centre De Mathématiques Appliquées (CMAP)

France

SCHOLARLY PAPERS

3

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590

CITATIONS
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in Total Papers Citations

6

Scholarly Papers (3)

1.

The Behaviour of High-Frequency Traders Under Different Market Stress Scenarios

Number of pages: 58 Posted: 22 Aug 2017
Autorité des Marchés Financiers, Autorité des Marchés Financiers, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 456 (61,292)
Citation 6

Abstract:

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High frequency trading, volatility, microstructure, regulation

2.

From Glosten-Milgrom to the Whole Limit Order Book and Applications to Financial Regulation

Number of pages: 26 Posted: 21 Mar 2019
Weibing Huang, Mathieu Rosenbaum and Pamela Saliba
Université Paris VI Pierre et Marie Curie - Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Ecole Polytechnique, Palaiseau and Autorité des Marchés Financiers
Downloads 82 (296,752)

Abstract:

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market microstructure, limit order book, bid-ask spread, adverse selection, financial regulation, tick size, queue position valuation

3.

The Information Content of High Frequency Traders Aggressive Orders: Recent Evidences

Number of pages: 25 Posted: 02 May 2019
Pamela Saliba
Autorité des Marchés Financiers
Downloads 52 (376,614)

Abstract:

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high frequency trading, aggressive orders, price impact, price formation, asymmetric information, price profile, mean reversion, trend following, market microstructure