Serge Kassibrakis

Swissquote Bank

Ch. de la Crétaux 33

Gland, Vaud 1196

Switzerland

SCHOLARLY PAPERS

6

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483

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (6)

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1.

Managing Inventory with Proportional Transaction Costs

Swiss Finance Institute Research Paper No. 16-48
Number of pages: 39 Posted: 03 Jun 2016 Last Revised: 13 Apr 2018
Florent Gallien, Serge Kassibrakis and Semyon Malamud
Swissquote Bank, Swissquote Bank and Ecole Polytechnique Federale de Lausanne
Downloads 155 (192,065)
Citation 1

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Inventory Management, Market Making, Transaction Costs

2.

Trader Lead-Lag Networks and Order Flow Prediction

Number of pages: 21 Posted: 18 Sep 2016
Damien Challet, Rémy Chicheportiche, Mehdi Lallouache and Serge Kassibrakis
CentraleSupélec, Ecole Centrale Paris, Ecole Centrale Paris and Swissquote Bank
Downloads 109 (252,230)
Citation 3

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order flow, lead-lag, machine learning, prediction, networks

3.

Liquidity Provision in the Foreign Exchange Market

Swiss Finance Institute Research Paper No. 18-56
Number of pages: 83 Posted: 22 Aug 2018 Last Revised: 16 Jan 2019
Florent Gallien, Serge Kassibrakis, Nataliya Klimenko, Semyon Malamud and Alberto Teguia
Swissquote Bank, Swissquote Bank, University of Zurich, Ecole Polytechnique Federale de Lausanne and Rice University, Jesse H. Jones Graduate School of Business, Students
Downloads 102 (264,113)

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Liquidity, Foreign Exchange, OTC markets, Price Impact, Market Power

4.

Hedge or Rebalance: Optimal Risk Management with Transaction Costs

Swiss Finance Institute Research Paper No. 18-60
Number of pages: 21 Posted: 23 Aug 2018 Last Revised: 07 Sep 2018
Florent Gallien, Serge Kassibrakis and Semyon Malamud
Swissquote Bank, Swissquote Bank and Ecole Polytechnique Federale de Lausanne
Downloads 66 (343,008)

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Optimal Portfolio Choice, Transaction Costs, Hedging, Drawdown Constraints

5.

Pricing Tokens on Industrial Production

Number of pages: 10 Posted: 18 Apr 2019
Serge Kassibrakis and Semyon Malamud
Swissquote Bank and Ecole Polytechnique Federale de Lausanne
Downloads 38 (436,702)

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tokens, ICO, optimal execution

6.

The Market Nanostructure Origin of Asset Price Time Reversal Asymmetry

Number of pages: 19 Posted: 12 Jan 2019
Marcus Cordi, Damien Challet and Serge Kassibrakis
CentraleSupélec, CentraleSupélec and Swissquote Bank
Downloads 13 (568,877)

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Time Reversal Asymmetry, Statistically Validated Networks, Lead-Lag Networks