The amazing power of dimensional analysis : quantifying market impact
Year of publication: |
2017
|
---|---|
Authors: | Pohl, Mathias ; Ristig, Alexander ; Schachermayer, Walter ; Tangpi, Ludovic |
Published in: |
Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 3.2017, 3/4, p. 1-21
|
Subject: | Dimensional analysis | market impact | leverage neutrality |
-
Adverse selection and liquidity: from theory to practice
Kyle, Albert S., (2020)
-
Dimensional analysis and logarithmic transformations in applied econometrics
Basu, Deepankar, (2022)
-
An assessment of operational loss data and its implications for risk capital modeling
Cohen, Ruben D., (2016)
- More ...
-
Robust risk aggregation with neural networks
Eckstein, Stephan, (2020)
-
Robust portfolio optimization and dimensional analysis in finance
Pohl, Mathias, (2018)
-
Computational aspects of robust optimized certainty equivalents and option pricing
Bartl, Daniel, (2019)
- More ...