Standard models in economics stress the role of intelligent agents who maximize utility.
However, there may be situations where constraints imposed by market institutions dominate …

Market microstructure is a study of the processes through which the investors predictions of
the future and their trading strategies determine market prices. Recent advances in market …

This paper analyzes correlations in patterns of trading of different members of the London
Stock Exchange. The collection of strategies associated with a member institution is defined by …

In this paper we introduce a novel approach to risk estimation based on nonlinear factor
models-the "StressVaR" (SVaR). Developed to evaluate the risk of hedge funds, the SVaR …

In this paper we introduce a novel approach to risk estimation based on nonlinear factor
models - the "StressVaR" (SVaR). Developed to evaluate the risk of hedge funds, the SVaR …

In this paper we demonstrate a striking regularity in the way people place limit orders in financial
markets, using a data set consisting of roughly two million orders from the London Stock …

We show that filling an order with a large number of distinct counterparts incurs additional
market impact, as opposed to filling the order with a small number of counterparts. For best …

This paper analyzes correlations in patterns of trading of different members ofthe London
Stock Exchange. The collection of strategies associated with a memberinstitution is defined by …

Ideas that networks may be used to describe interactions of economic agents are not new [5,
12] However, finance related empirical work has, to the authors knowledge, been limited to …

In order to reduce signalling, traders may resort to limiting access to dark venues and imposing
limits on minimum fill sizes they are willing to trade. However, doing this also restricts the …