100A Novaya ul
Moscow, Skolkovo 143026
Russia
New Economic School (NES)
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price impact; limit order book; optimal execution
Market impact, trading strategy, optimal execution, limit order market, liquidity modeling
Finance, financial economics, financial markets, market microstructure, liquidity, invariance, market impact, transaction costs, market efficiency, efficient markets hypothesis
market microstructure, invariance, liquidity, bid-ask spread, market impact, transaction costs, market efficiency, efficient markets hypothesis, pricing accuracy, resiliency, order size
finance, market microstructure, invariance, crashes, liquidity, price impact, market depth, systemic risk
market microstructure, invariance, high-frequency trading, liquidity, volatility, volume, time series, intraday patterns
market microstructure, liquidity, bid-ask spread, market impact, transaction costs, order size, invariance, structural estimation
market microstructure, liquidity, bid-ask spread, trade size, market depth, dimensional analysis, econophysics
Market microstructure, invariance, transaction costs, bid-ask spread
Market microstructure, invariance, liquidity, square root model, market impact, transaction costs, dimensional analysis, leverage neutrality, volume, volatility
market impact, spread, trading costs, selection bias
market microstructure, price impact, liquidity, transaction costs, double auctions, information aggregation, rational expectations, agreement-to-disagree, imperfect competition, Keynesian beauty contest, overconfidence, strategic trading, dynamic trading, flash crash
asset pricing, predictability, market microstructure, market efficiency, momentum, mean-reversion, anomalies, agreement to disagree
trading activity, trade size, trade frequency
institutional trading, price impact, information content
market microstructure, invariance, liquidity, adverse selection, market impact, bid-ask spread, bet size, market efficiency, dimensional analysis, leverage neutrality
asset pricing, market microstructure, portfolio transitions, order size, market impact, bid-ask spread, asset management, invariance
Asset Pricing, Market Liquidity, Market Microstructure, Crowding, Price Impact, Strategic Trading, Transaction Costs
finance, market microstructure, invariance, trading volume, volatility, liquidity, price impact, market depth
Russian markets, currency, market crash
market microstructure, transactions data, market frictions, trade size, tick size, order shredding, clustering, Trades and Quotes (TAQ) data
Market microstructure, invariance, liquidity, bid-ask spread, market impact, transaction costs, market efficiency, efficient markets hypothesis, pricing accuracy, resiliency
institutional trading, price impact, trading costs.
trading, institutional investors, retail investors, asset pricing, volume.
