Peter Decrem

Citibank, N.A. - Citi Fixed Income Currency & Commodities

390 Greenwich Street

4th Floor

New York, NY 1001

United States

SCHOLARLY PAPERS

2

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Top 40,045

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Scholarly Papers (2)

1.

The Microstructure of Cointegrated Assets

Number of pages: 17 Posted: 12 Apr 2021
Sasha Stoikov, Peter Decrem, Yikai Hua and Anne Shen
Cornell Financial Engineering Manhattan, Citibank, N.A. - Citi Fixed Income Currency & Commodities, Cornell Financial Engineering Manhattan and Cornell Financial Engineering Manhattan
Downloads 1,130 (27,497)

Abstract:

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microprice, cointegration, microstructure, order books, high frequency trading, algorithmic trading

2.

High Frequency Trading Strategy for the 30 Year Treasury Bond

Number of pages: 30 Posted: 13 Mar 2020
Citibank, N.A. - Citi Fixed Income Currency & Commodities, Cornell Financial Engineering Manhattan, Cornell University, Cornell University, Cornell University, Cornell University, Cornell University, Cornell University and Cornell University
Downloads 612 (63,385)

Abstract:

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30 Year Treasury Bond, Online Regression, Cointegration, Kalman Filter