Sam Howison

University of Oxford

Dr.

Mathematical Institute

andrew Wiles Building, Woodstock Road

Oxford , OX2 6GG

United Kingdom

SCHOLARLY PAPERS

11

DOWNLOADS
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Top 24,189

in Total Papers Downloads

2,743

SSRN CITATIONS
Rank 17,699

SSRN RANKINGS

Top 17,699

in Total Papers Citations

36

CROSSREF CITATIONS

25

Scholarly Papers (11)

1.

Option Pricing with Levy-Stable Processes Generated by Levy-Stable Integrated Variance

Quantitative Finance Vol. 9, No. 4, June 2009, pp 397–409
Number of pages: 30 Posted: 02 Oct 2007 Last Revised: 11 Mar 2013
Álvaro Cartea and Sam Howison
University of Oxford and University of Oxford
Downloads 677 (50,457)

Abstract:

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stable processes, Lévy, jumps, implied volatility, jumps

2.

Limit Order Books

Number of pages: 42 Posted: 09 Dec 2011 Last Revised: 02 Apr 2013
University of Oxford - Mathematical Institute, University of Oxford, HSBC Bank - FX Research and Trading Group, HSBC Bank (London), HSBC (London) and University of Oxford
Downloads 514 (71,513)
Citation 27

Abstract:

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Limit Order Books, Survey, Models, Statistics, Markets

3.

A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation

Number of pages: 34 Posted: 02 Jan 2004
University of Warwick, University of Bath - School of Mathematical Sciences, University of Oxford and University of Oxford - Nomura Centre for Mathematical Finance
Downloads 464 (80,949)
Citation 8

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stochastic volatility, pricing measure, market price of volatility risk, Heston model

4.

Stochastic Behaviour of the Electricity Bid Stack: From Fundamental Drivers to Power Prices

The Journal of Energy Markets, 2, 29-69 (2009)
Number of pages: 27 Posted: 13 Jun 2009 Last Revised: 24 Sep 2015
Sam Howison and Michael Coulon
University of Oxford and University of Sussex
Downloads 402 (95,714)
Citation 1

Abstract:

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electricity, bid stack, fundamental, margin, demand, natural gas

5.

Multi-Level Order-Flow Imbalance in a Limit Order Book

Number of pages: 32 Posted: 12 Nov 2019
Ke Xu, Martin Gould and Sam Howison
BNP Paribas, London, University of Oxford - Mathematical Institute and University of Oxford
Downloads 223 (178,007)
Citation 3

Abstract:

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multi-level order-flow imbalance, limit order book, price formation, market microstructure

6.

Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading

CFS Working Paper, WP No. 581
Number of pages: 29 Posted: 27 Sep 2017 Last Revised: 23 Jan 2021
University of Oxford - Mathematical Institute, University of Vienna - Department of Statistics and Operations Research, University of Oxford and California Institute of Technology
Downloads 124 (292,287)
Citation 2

Abstract:

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Counterparty Credit Limits; Counterparty Credit Risk; Price Formation; Market Design; Foreign Exchange

7.

Games with Exhaustible Resources

SIAM J. Applied Mathematics 70(7), 2010, pages 2556-2581.
Number of pages: 39 Posted: 11 Mar 2010 Last Revised: 03 Jul 2015
University of Cambridge - Department of Applied Economics, University of Oxford and Princeton University - Department of Operations Research and Financial Engineering
Downloads 89 (365,242)
Citation 5

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game theory, differential games, exhaustible resources

8.

Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets

Number of pages: 59 Posted: 07 Sep 2021
University of Oxford - Department of Statistics, University of Oxford - Department of Statistics, University of Oxford and Queen Mary University of London
Downloads 84 (381,024)

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Limit order books, market microstructure, liquidity, market fragmentation, price impact, trading volume, high frequency data, Bitcoin futures, derivatives, cryptocurrency

9.

Quasi-Centralized Limit Order Books

Number of pages: 43 Posted: 02 Feb 2015 Last Revised: 10 Oct 2016
University of Oxford - Mathematical Institute, University of Oxford and University of Oxford
Downloads 75 (403,955)
Citation 2

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Limit order books, quasi-centralized liquidity, market microstructure, foreign exchange, curve collapse

10.

The Long Memory of Order Flow in the Foreign Exchange Spot Market

Number of pages: 38 Posted: 18 Apr 2015 Last Revised: 23 Oct 2015
University of Oxford - Mathematical Institute, University of Oxford and University of Oxford
Downloads 69 (422,746)
Citation 6

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Long memory, autocorrelation, foreign exchange market, order flow, market microstructure

11.

Minimizing Congestion in Single-Source, Single-Sink Queueing Networks

Number of pages: 43 Posted: 18 Nov 2021 Last Revised: 19 Nov 2021
University of Oxford - Mathematical Institute, Tesco PLC, University of California, Los Angeles (UCLA), University of Oxford and University of Oxford - Mathematical Institute
Downloads 22 (644,634)

Abstract:

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queueing networks, random walks, congestion, human mobility, complex systems