Jakub Rojcek

University of Zurich, Department of Banking and Finance

PhD Student

Schönberggasse 1

Zürich, 8001

Switzerland

Swiss Finance Institute

PhD Student

c/o University of Geneve

40, Bd du Pont-d'Arve

1211 Geneva, CH-6900

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

802

SSRN CITATIONS

0

CROSSREF CITATIONS

4

Scholarly Papers (3)

1.

High-Frequency Trading in Limit Order Markets: Equilibrium Impact and Regulation

Swiss Finance Institute Research Paper No. 15-23
Number of pages: 47 Posted: 01 Jul 2015 Last Revised: 11 Mar 2016
Jakub Rojcek and Alexandre Ziegler
University of Zurich, Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 378 (80,969)
Citation 3

Abstract:

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High-frequency trading, Regulation, Market quality

2.

Price Impact and Bursts In Liquidity Provision

Swiss Finance Institute Research Paper No. 16-21
Number of pages: 41 Posted: 11 Mar 2016 Last Revised: 15 Oct 2016
Simon Fraser University, University of Cambridge - Faculty of Economics, University of Zurich, Department of Banking and Finance and University of Central Florida
Downloads 269 (117,978)
Citation 2

Abstract:

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Price Impact, Burst, High-Frequency Trading, Market Quality, Adverse Selection

3.

A Model of Price Impact and Market Maker Latency

Swiss Finance Institute Research Paper No. 16-56
Number of pages: 40 Posted: 15 Sep 2016 Last Revised: 22 Sep 2016
Jakub Rojcek
University of Zurich, Department of Banking and Finance
Downloads 155 (197,807)

Abstract:

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Price Impact, High-Frequency Trading, Trade Size, Latency, Market Quality, Welfare