Oliver Wuensche

UBS AG - Quantitative Risk Methodology

Associate Director

Pelikanstrasse 6/8

Zürich, 8001

Switzerland

University of Tuebingen

Wilhelmstr. 19

72074 Tuebingen, Baden Wuerttemberg 72074

Germany

SCHOLARLY PAPERS

2

DOWNLOADS

661

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Time and the Price Impact of a Trade: A Structural Approach

Working Paper University of Mannheim and University of Tübingen
Number of pages: 38 Posted: 05 Mar 2007 Last Revised: 21 Mar 2011
Oliver Wuensche, Erik Theissen and Joachim Grammig
UBS AG - Quantitative Risk Methodology, University of Mannheim - Finance Area and Eberhard Karls Universitaet Tübingen
Downloads 483 (59,339)
Citation 1

Abstract:

Loading...

Price impact, trading intensity, dynamic duration models, spread decomposition models, adverse selection risk

2.

Using Mixed Poisson Distributions in Sequential Trade Models

Number of pages: 30 Posted: 31 Aug 2007
Oliver Wuensche
UBS AG - Quantitative Risk Methodology
Downloads 178 (172,701)
Citation 1

Abstract:

Loading...

Market Microstructure, Mixed Poisson Distributions, Probability of Informed Trading