REVISION: Exponential Resilience and Decay of Market Impact
Assuming a particular price process, it was shown by Gatheral that a model that combines nonlinear price impact with exponential decay of market impact admits price manipulation, an undesirable feature...
View ArticleREVISION: Convergence of Heston to SVI
In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of the Heston implied...
View ArticleREVISION: Optimal Trade Execution under Geometric Brownian Motion in the...
With an alternative choice of risk criterion, we solve the HJB equation explicitly to ï¬nd a closed-form solution for the optimal trade execution strategy in the Almgren-Chriss framework assuming the...
View ArticleREVISION: Transient Linear Price Impact and Fredholm Integral Equations
We consider the linear-impact case in the continuous-time market impact model with transient price impact proposed by Gatheral (2008). In this model, the absence of price manipulation in the sense of...
View ArticleREVISION: Optimal Trade Execution under Geometric Brownian Motion in the...
With an alternative choice of risk criterion, we solve the HJB equation explicitly to ï¬nd a closed-form solution for the optimal trade execution strategy in the Almgren-Chriss framework assuming the...
View ArticleREVISION: Convergence of Heston to SVI
In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of the Heston implied...
View ArticleThe Dow Jones Credit Suisse Hedge Fund Index Down -1.36% in June - Hedge...
The Dow Jones Credit Suisse Hedge Fund Index Down -1.36% in June - Hedge Funds See Asset Inflows of $5.6 Billion fo http://p.ost.im/p/eeKqF2
View Article"Google does not have the best programmers; High Frequency Trading firms...
"Google does not have the best programmers; High Frequency Trading firms do" http://t.co/7ePUDgW
View ArticleRT @alanzeino: "Google does not have the best programmers; High...
RT @alanzeino: "Google does not have the best programmers; High Frequency Trading firms do" http://t.co/7ePUDgW
View ArticleThe Dow Jones Credit Suisse Hedge Fund Index Down -1.36% in June - Hedge...
The Dow Jones Credit Suisse Hedge Fund Index Down -1.36% in June - Hedge Funds See Asset Inflows of $5.6 Billion fo http://p.ost.im/p/edNYMq
View ArticleHedge fund cashes in $850M Goldman stake http://goo.gl/fb/YTboJ
Hedge fund cashes in $850M Goldman stake http://goo.gl/fb/YTboJ
View ArticleHedge fund spotlight: Event-driven, managed futures and credit...
Hedge fund spotlight: Event-driven, managed futures and credit http://p.ost.im/p/eew7hw
View ArticleInteresting to see a US hedge Fund taking a stake in PGC http://t.co/QYza06Z...
Interesting to see a US hedge Fund taking a stake in PGC http://t.co/QYza06Z wonder what they are up to? maybe some action about to happen
View ArticleApparently, Google does not have the best programmers, High Frequency Trading...
Apparently, Google does not have the best programmers, High Frequency Trading firms do : http://t.co/VnQEWXl
View ArticleSo I met a guy who makes Algorithmic Trading Programs for High Frequency...
So I met a guy who makes Algorithmic Trading Programs for High Frequency Trading: It was at a political meet up... http://dlvr.it/dLlPj f
View ArticleTetragon Financial Group Limited (TFG): Performance Report For Period Ended...
LONDON, August 1, 2011 /PRNewswire/ -- ? Tetragon Financial Group Limited (TFG) is a Guernsey closed-ended investment company traded on Euronext Amsterdam by NYSE Euronext under the ticker symbol...
View ArticleHigh Frequency Trading | 1% Daily Gain Stock Trading Strategy...
High Frequency Trading | 1% Daily Gain Stock Trading Strategy http://dlvr.it/dLvTz
View ArticleHigh Frequency Trading | 1% Daily Gain Stock Trading Strategy...
High Frequency Trading | 1% Daily Gain Stock Trading Strategy http://dlvr.it/dLvVB
View ArticleHigh Frequency Trading | 1% Daily Gain Stock Trading Strategy...
High Frequency Trading | 1% Daily Gain Stock Trading Strategy http://dlvr.it/dLvVD
View ArticleHigh Frequency Trading | 1% Daily Gain Stock Trading Strategy...
High Frequency Trading | 1% Daily Gain Stock Trading Strategy http://dlvr.it/dLvVF
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