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College Park
College Park, MD 20742
United States
University of Maryland
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High-Frequency, High Frequency Trading, Algorithmic Trading, Flash Crash, Liquidity, Volatility, Price Impact, May 6, Intermediation, Market Making
Finance, financial economics, financial markets, market microstructure, liquidity, invariance, market impact, transaction costs, market efficiency, efficient markets hypothesis
market microstructure, invariance, liquidity, bid-ask spread, market impact, transaction costs, market efficiency, efficient markets hypothesis, pricing accuracy, resiliency, order size
finance, market microstructure, invariance, crashes, liquidity, price impact, market depth, systemic risk
Market microstructure, invariance, liquidity, square root model, market impact, transaction costs, dimensional analysis, leverage neutrality, volume, volatility
market microstructure, invariance, high-frequency trading, liquidity, volatility, volume, time series, intraday patterns
market microstructure, liquidity, bid-ask spread, market impact, transaction costs, order size, invariance, structural estimation
market microstructure, liquidity, bid-ask spread, trade size, market depth, dimensional analysis, econophysics
Market microstructure, invariance, transaction costs, bid-ask spread
Market Microstructure, Smooth Trading, Auction Design, Market Design
high-frequency trading, market making, order cancellation, bid-ask spread, winner's curse, informed trading
market design, financial exchanges, portfolios, computation
High-Frequency, Automation, Volatility, Flash Crash, Intermediation, Market Making
market microstructure, price impact, liquidity, transaction costs, double auctions, information aggregation, rational expectations, agreement-to-disagree, imperfect competition, Keynesian beauty contest, overconfidence, strategic trading, dynamic trading, flash crash
asset pricing, predictability, market microstructure, market efficiency, momentum, mean-reversion, anomalies, agreement to disagree
market competitiveness, strategic trading, price-taking, rational expectations equilibrium, private information, liquidity, market design.
trading activity, trade size, trade frequency
Cumulants, leverage, ETF, CAPM, factor models, VIX
market microstructure, invariance, liquidity, adverse selection, market impact, bid-ask spread, bet size, market efficiency, dimensional analysis, leverage neutrality
competition, informational efficiency, strategic trading, private information, vanishing noise equilibrium, rational expectations equilibrium
Asset Pricing, Market Liquidity, Market Microstructure, Crowding, Price Impact, Strategic Trading, Transaction Costs
Loss aversion, disposition effect; break-even effect
higher-order beliefs,common knowledge, speculation, bubbles, overconfidence, asymmetric information
Portfolio Delegation, Information Acquisition, Strategic Trading, Price Informativeness
asset pricing, market microstructure, portfolio transitions, order size, market impact, bid-ask spread, asset management, invariance
finance, market microstructure, invariance, trading volume, volatility, liquidity, price impact, market depth
Market microstructure, invariance, liquidity, bid-ask spread, market impact, transaction costs, market efficiency, efficient markets hypothesis, pricing accuracy, resiliency
risk management, ontologies, knowledge representation, formal logics, systemic risk, constraint languages, networks, simulation, data integrity, operational risk, data security
market microstructure, transactions data, market frictions, trade size, tick size, order shredding, clustering, Trades and Quotes (TAQ) data
trading, institutional investors, retail investors, asset pricing, volume.
