Tagged: finance

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Agent-specific impact of single trades in financial markets

Alex Bladon, Esteban Moro y Tobias Galla Physical Review E 85, 036103 (2012)  [pdf | link] Abstract We present an analysis of the price impact associated with single trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the...

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Market impact and trading profile of large trading orders in stock markets

Esteban Moro, Javier Vicente, Luis G. Moyano, Austin Gerig, J. Doyne Farmer, Gabriella Vaglica, Fabrizio Lillo and Rosario N. Mantegna Phys. Rev. E 80, 066102 (2009) [link, pdf]

New section in the arXiv: Quantitative Finance 0

New section in the arXiv: Quantitative Finance

News from the arXiv: a new section has been created to host preprints about Quantitative Finance. The section (as stated in the press release) intends to fix a problem with existing pre-print repositories. One one hand, social sciences repositories like SSRN, RepEC/IDEAS and others are too academic for practitioners, while on the other hand sites like defaultrisk.com or wilmott.com have...

Boundary preserving semi-analytical numerical algorithms for stochastic differential equations 0

Boundary preserving semi-analytical numerical algorithms for stochastic differential equations

Esteban Moro and Henri Schurz SIAM Journal of Scientific Computation, Volume 29 Issue 4, Pages 1525-1549 (2007) [pdf]