1 rue de la Liberation
Jouy-en-Josas Cedex, 78351
France
HEC Paris - Finance Department
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Liquidity, waiting costs, price impact, order driven market, price overshooting, fleeting orders
News, liquidity, volume, price discovery, high frequency trading
Trading volume, inventory, volatility, high frequency trading, price impact, mean reversion
Limit order book, volatility, trading volume, slippage, informed trading, stochastic game
option pricing, bond replication, self-financing strategy
Mergers and acquisitions, Black and Scholes formula, success probability, fallback price, Markov Chain Monte Carlo, implied volatility curve, volatility smile
Market microstructure, price impact, instrumental variables
Blockchain, cryptocurrency, asset allocation, martingale, Polya urn, Dirichlet distribution
Quote-to-trade ratio, market making, liquidity, price discovery, monitoring, information acquisition, neglected stocks, inventory, high frequency trading
Learning, adverse selection, dynamic model, stationary distribution