Julien Kockelkoren

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 46,794

SSRN RANKINGS

Top 46,794

in Total Papers Downloads

2,016

SSRN CITATIONS
Rank 22,054

SSRN RANKINGS

Top 22,054

in Total Papers Citations

45

CROSSREF CITATIONS

15

Scholarly Papers (5)

1.

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 ManagementCapital Fund Management
Downloads 793 (60,476)
Citation 2

Abstract:

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

2.

How Does the Market React to Your Order Flow?

Number of pages: 12 Posted: 06 Apr 2011
Capital Fund Management, Imperial College London - Department of Mathematics, Università di Bologna, Capital Fund Management, Capital Fund Management and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 372 (153,393)
Citation 8

Abstract:

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

3.

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

Number of pages: 13 Posted: 11 May 2011
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 335 (171,363)
Citation 40

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4.

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
Imperial College London - Department of Mathematics, Capital Fund Management and Capital Fund Management
Downloads 298 (194,068)
Citation 6

Abstract:

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

5.

Slow Decay of Impact in Equity Markets

Number of pages: 6 Posted: 27 Jul 2014
Qube Research & Technologies, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 218 (264,443)
Citation 10

Abstract:

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price impact, market microstructure