Zobrazeno 1 - 10
of 22
pro vyhledávání: '"Austin Gerig"'
Publikováno v:
PLoS ONE, Vol 4, Iss 12, p e8243 (2009)
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using a large c
Externí odkaz:
https://doaj.org/article/55dc8a930c46423ebc9621fc761c9f58
Autor:
Daniel Fricke, Austin Gerig
Publikováno v:
Quantitative Finance. 18:519-532
Market quality is maximized at intermediate batch auction intervals of a few seconds when markets are neither too fast nor too slow and clearing price is near equilibrium
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d0887d250e8ab03c0e7b7fd50358fb54
https://doi.org/10.1080/14697688.2017.1391405
https://doi.org/10.1080/14697688.2017.1391405
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder siz
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d39fa92cfa7c182c7e269e065e71a464
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves with the i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2037502326d3fac88f409d317aeb4158
https://ora.ox.ac.uk/objects/uuid:22e07735-6fdc-4203-866d-347617ea107c
https://ora.ox.ac.uk/objects/uuid:22e07735-6fdc-4203-866d-347617ea107c
Autor:
Austin Gerig
This is a short commentary piece that discusses how the methods used in the natural sciences can apply to economics in general and financial markets specifically.
Comment: 3 pages, 1 figure
Comment: 3 pages, 1 figure
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d59fc9c52fc57e42d217ca6914ef7e03
https://ora.ox.ac.uk/objects/uuid:136534f6-1f8f-4213-82d2-30a84734ef87
https://ora.ox.ac.uk/objects/uuid:136534f6-1f8f-4213-82d2-30a84734ef87
Autor:
Austin Gerig, Benjamin Myers
Publikováno v:
Financial Econometrics and Empirical Market Microstructure ISBN: 9783319099453
Nearly one-half of all trades in financial markets are executed by high-speed autonomous computer programs—a type of trading often called high-frequency trading (HFT). Although evidence suggests that HFT increases the efficiency of markets, it is u
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::df2adf8f769a88750b05591ffe1b9509
https://doi.org/10.1007/978-3-319-09946-0_13
https://doi.org/10.1007/978-3-319-09946-0_13
Autor:
Austin Gerig, David Michayluk
Over the last decade, the task of liquidity provision in many markets has shifted from traditional market makers to autonomous, computerized trading systems. These automated systems collect, process, and react to market-wide information quicker and m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::65405e4065ef277338a8fd97f2001592
https://www.uts.edu.au/sites/default/files/rp345.pdf
https://www.uts.edu.au/sites/default/files/rp345.pdf