Julien Kockelkoren

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 39,095

SSRN RANKINGS

Top 39,095

in Total Papers Downloads

1,079

CITATIONS
Rank 6,984

SSRN RANKINGS

Top 6,984

in Total Papers Citations

80

Scholarly Papers (5)

1.

How Does the Market React to Your Order Flow?

Number of pages: 12 Posted: 06 Apr 2011
Santa Fe Institute, Capital Fund Management, Università di Bologna, Capital Fund Management, Capital Fund Management and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 291 (102,875)
Citation 9

Abstract:

Loading...

Financial markets, market microstructure, limit order book, order flow, behavioural economics

2.

Agnostic Risk Parity: Taming Known and Unknown-Unknowns

Number of pages: 12 Posted: 29 Oct 2016
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 284 (105,644)

Abstract:

Loading...

Quantitative Portfolio Management, Portfolio Construction, Asset Allocation, Risk Parity, Risk Budgeting, Diversification, Markowitz, Alternative Beta

3.

Models for the Impact of All Order Book Events

Number of pages: 12 Posted: 18 Jul 2011
Zoltan Eisler, Jean-Philippe Bouchaud and Julien Kockelkoren
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 231 (130,714)
Citation 8

Abstract:

Loading...

price impact, market orders, limit orders, cancellations, market microstructure, order flow

4.

Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets

Number of pages: 13 Posted: 11 May 2011
Santa Fe Institute, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 156 (186,834)
Citation 50

Abstract:

Loading...

5.

Slow Decay of Impact in Equity Markets

Number of pages: 6 Posted: 27 Jul 2014
Variance Capital LLP, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 117 (234,593)
Citation 13

Abstract:

Loading...

price impact, market microstructure