Filtered Results: 8 found

Feb 2015
Too Fast or Too Slow? Determining the Optimal Speed of Financial Markets
Austin Gerig, Daniel Fricke
Nov 2013
Working Paper
Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets
Austin Gerig, Benjamin Myers
Nov 2013
Working Paper
A Stochastic Feedback Model for Volatility
Austin Gerig, Raoul Golan
Nov 2012
Working Paper
High-Frequency Trading Synchronizes Prices in Financial Markets
Austin Gerig
Jun 2012
Non-Gaussian Price Dynamics and Implications for Options Pricing.
Austin Gerig, Migual A. Fuentes, Javier Vicente
Feb 2011
How Efficiency Shapes Market Impact.
Austin Gerig, J. Doyne Farmer, Fabrizio Lillo, Henri Waelbroeck
Dec 2009
Market Impact and Trading Profile of Hidden Orders in Stock Markets
Austin Gerig, Javier Vicente, Esteban Moro, Luis G. Moyano, J. Doyne Farmer, Gabriella Vaglica, Fabrizio Lillo, Rosario N. Mantegna
Jan 2008
A theory of aggregate market impact
Austin Gerig, J. Doyne Farmer, Fabrizio Lillo