Serge Kassibrakis

Swissquote Bank

Ch. de la Crétaux 33

Gland, Vaud 1196

Switzerland

SCHOLARLY PAPERS

6

DOWNLOADS

483

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (6)

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

Abstract:

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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
CentraleSupélec, Ecole Centrale Paris, Ecole Centrale Paris and Swissquote Bank
Downloads 109 (252,230)
Citation 3

Abstract:

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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
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)

Abstract:

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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)

Abstract:

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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)

Abstract:

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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)

Abstract:

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