Serge Kassibrakis

Swissquote Bank

Ch. de la Crétaux 33

Gland, Vaud 1196

Switzerland

SCHOLARLY PAPERS

7

DOWNLOADS

925

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (7)

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1.

Learning (Not) to Trade: Lindy's Law in Retail Traders

Swiss Finance Institute Research Paper No. 20-100
Number of pages: 44 Posted: 04 Dec 2020 Last Revised: 07 Dec 2020
Teodor Godina, Serge Kassibrakis, Semyon Malamud, Alberto Teguia and Jiahua Xu
affiliation not provided to SSRN, Swissquote Bank, Ecole Polytechnique Federale de Lausanne, Rice University, Jesse H. Jones Graduate School of Business, Students and University College London - Department of Computer Science
Downloads 234 (178,868)

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Trading, Investor behavior, Learning, Rationality

2.

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 192 (214,858)
Citation 1

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Inventory Management, Market Making, Transaction Costs

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 166 (243,309)
Citation 1

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

4.

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 151 (263,232)

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

5.

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 86 (390,389)

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Optimal Portfolio Choice, Transaction Costs, Hedging, Drawdown Constraints

6.

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 81 (404,267)

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tokens, ICO, optimal execution

7.

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 15 (725,438)
Citation 1

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