Sam Howison

University of Oxford

Dr.

Mathematical Institute

andrew Wiles Building, Woodstock Road

Oxford , OX2 6GG

United Kingdom

  • University of Oxford

SCHOLARLY PAPERS

17

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8,583

TOTAL CITATIONS
Rank 16,783

SSRN RANKINGS

Top 16,783

in Total Papers Citations

90

Scholarly Papers (17)

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1.

Option Volume Imbalance as a Predictor for Equity Returns

Number of pages: 43 Posted: 13 Apr 2022
Nikolas Michael, Mihai Cucuringu and Sam Howison
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics and University of Oxford
Downloads 1,353 (31,844)

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Options, Implied Volatility, Informational Role of Option Volume, Market Prediction, Market Microstructure, Signal Analysis, Quantitative Trading Strategies, Options Applications

2.

The Good, the Bad, and Latency: Exploratory Trading on Bybit and Binance

Number of pages: 54 Posted: 23 Jan 2024 Last Revised: 01 Dec 2024
Jakob Albers, Mihai Cucuringu, Sam Howison and Alexander Y. Shestopaloff
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Oxford and Queen Mary University of London
Downloads 1,192 (38,343)
Citation 1

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latency, limit order book, order failure, slippage, adverse selection, high-frequency trading, algorithmic trading

3.

Options-driven Volatility Forecasting

Number of pages: 29 Posted: 24 Apr 2024
Nikolas Michael, Mihai Cucuringu and Sam Howison
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics and University of Oxford
Downloads 1,101 (43,082)

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4.

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 890 (57,921)
Citation 11

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

5.

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 721 (76,781)

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stable processes, Lévy, jumps, implied volatility, jumps

6.

Limit Order Books

Number of pages: 42 Posted: 09 Dec 2011 Last Revised: 02 Apr 2013
Martin David Gould, Mason Alexander Porter, Stacy Williams, Mark McDonald, Daniel Fenn and Sam Howison
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 650 (87,831)
Citation 44

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Limit Order Books, Survey, Models, Statistics, Markets

7.

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 631 (91,064)
Citation 4

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

8.

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

Number of pages: 34 Posted: 02 Jan 2004
Vicky Henderson, David G. Hobson, Sam Howison and Tino Kluge
University of Warwick, University of Bath - School of Mathematical Sciences, University of Oxford and University of Oxford - Nomura Centre for Mathematical Finance
Downloads 492 (124,182)
Citation 8

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

9.

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

Number of pages: 59 Posted: 07 Sep 2021
Jakob Albers, Mihai Cucuringu, Sam Howison and Alexander Y. Shestopaloff
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Oxford and Queen Mary University of London
Downloads 312 (208,045)
Citation 3

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

10.

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
Martin Gould, Nikolaus Hautsch, Sam Howison and Mason A. Porter
University of Oxford - Mathematical Institute, University of Vienna - Department of Statistics and Operations Research, University of Oxford and California Institute of Technology (Caltech)
Downloads 230 (284,024)
Citation 2

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

11.

To Make, or to Take, That Is the Question: Impact of LOB Mechanics on Natural Trading Strategies

Number of pages: 32 Posted: 12 Feb 2025
Jakob Albers, Mihai Cucuringu, Sam Howison and Alexander Y. Shestopaloff
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Oxford and Queen Mary University of London
Downloads 226 (288,846)

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market making, limit order book, fill probability, optimal execution, adverse selection, high-frequency trading

12.

OFTER: An Online Pipeline for Time Series Forecasting

Number of pages: 26 Posted: 19 Apr 2023
Nikolas Michael, Mihai Cucuringu and Sam Howison
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics and University of Oxford
Downloads 187 (345,115)

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Multivariate time series forecasting, non-parametric regression, dimensionality reduction, maximal correlation, rank-one update, equity price and volume forecasting.

13.

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
Christopher Harris, Sam Howison and Ronnie Sircar
University of Cambridge - Department of Applied Economics, University of Oxford and Princeton University - Department of Operations Research and Financial Engineering
Downloads 183 (352,072)
Citation 5

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game theory, differential games, exhaustible resources

14.

Quasi-Centralized Limit Order Books

Number of pages: 43 Posted: 02 Feb 2015 Last Revised: 10 Oct 2016
Martin Gould, Mason Alexander Porter and Sam Howison
University of Oxford - Mathematical Institute, University of Oxford and University of Oxford
Downloads 118 (505,537)
Citation 3

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

15.

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
Martin Gould, Mason Alexander Porter and Sam Howison
University of Oxford - Mathematical Institute, University of Oxford and University of Oxford
Downloads 112 (525,945)
Citation 9

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

16.

A GCN-LSTM Approach For ES-Mini And VX Futures Forecasting 

Number of pages: 21 Posted: 18 Sep 2024
Nikolas Michael, Mihai Cucuringu and Sam Howison
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics and University of Oxford
Downloads 104 (555,630)

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Futures Market, Return Forecasting, Graph Neural Networks, Signal Propagation

17.

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

Number of pages: 43 Posted: 18 Nov 2021 Last Revised: 25 Aug 2022
Fabian Ying, Alisdair Wallis, Mason Porter, Sam Howison and Mariano Beguerisse-Diaz
University of Oxford - Mathematical Institute, Tesco PLC, University of California, Los Angeles (UCLA), University of Oxford and University of Oxford - Mathematical Institute
Downloads 81 (651,434)

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