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pro vyhledávání: '"Zovko, Ilija I."'
Autor:
Zovko, Ilija I.
Publikováno v:
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Academisch proefschrift, Universiteit van Amsterdam, 2008.
Description based on print version record. Includes bibliographical references (p. 99-107).
Description based on print version record. Includes bibliographical references (p. 99-107).
Externí odkaz:
http://www.netlibrary.com/urlapi.asp?action=summary&v=1&bookid=297827
http://public.eblib.com/EBLPublic/PublicView.do?ptiID=474347
http://public.eblib.com/EBLPublic/PublicView.do?ptiID=474347
Autor:
Zovko, Ilija I.
We show that filling an order with a large number of distinct counterparts incurs additional market impact, as opposed to filling the order with a small number of counterparts. For best execution, therefore, it may be beneficial to opportunistically
Externí odkaz:
http://arxiv.org/abs/2012.10262
Autor:
Zovko, Ilija I.
In order to reduce signalling, traders may resort to limiting access to dark venues and imposing limits on minimum fill sizes they are willing to trade. However, doing this also restricts the liquidity available to the trader since an ever increasing
Externí odkaz:
http://arxiv.org/abs/1710.06350
In this paper we introduce a novel approach to risk estimation based on nonlinear factor models - the "StressVaR" (SVaR). Developed to evaluate the risk of hedge funds, the SVaR appears to be applicable to a wide range of investments. Its principle i
Externí odkaz:
http://arxiv.org/abs/0911.4030
Autor:
Zovko, Ilija I., Farmer, J. Doyne
This paper analyzes correlations in patterns of trading of different members of the London Stock Exchange. The collection of strategies associated with a member institution is defined by the sequence of signs of net volume traded by that institution
Externí odkaz:
http://arxiv.org/abs/0709.3261
Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where, for some purposes, constraints imposed by market institutions dominate intelligent agent behavior. We use data from the L
Externí odkaz:
http://arxiv.org/abs/cond-mat/0309233
Autor:
Zovko, Ilija I., Farmer, J. Doyne
In this paper we demonstrate a striking regularity in the way people place limit orders in financial markets, using a data set consisting of roughly seven million orders from the London Stock Exchange. We define the relative limit price as the differ
Externí odkaz:
http://arxiv.org/abs/cond-mat/0206280
Publikováno v:
Proceedings of the National Academy of Sciences of the United States of America, 2005 Feb 01. 102(6), 2254-2259.
Externí odkaz:
https://www.jstor.org/stable/3374595