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(University College Dublin. School of Business. Centre for Financial Markets, 2007-05-18)This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system based on completed ...
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(Elsevier, 2007-09)This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system based on completed ...
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(IEEE Press, 2010)Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument of interest. A practical problem in trade execution is how to trade a large order as efficiently as ...
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(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2007-05-18)This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic ...
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(Elsevier, 2010-04)This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer ...
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(Springer, 2011-08)This paper shows how an unwanted limit cycle can be exhibited by a second-order CMOS companding filter. The filter employs the quasi-quadratic law of the MOS transistor in strong inversion and saturation to achieve compression ...
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(IEEE Press, 2012-03-29)Price impact models are important for devising trade execution strategies. However, a proper characterization of price impacts is still lacking. This study models the price impact using an agent-based modeling approach. ...
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(Institute for the Study of Labor, 2004-08)Among the perceived inputs in the “production” of child quality is family size; there is an extensive theoretical literature that postulates a tradeoff between child quantity and quality within a family. However, there is ...
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(IEEE, 2010-09)Bang-bang phase-locked loops (BBPLLs) are inherently nonlinear due to the hard nonlinearity introduced by the binary phase detector (BPD). This paper provides an exact statistical analysis of the steady-state timing jitter ...
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(Wiley, 2008-07)Bridge Weigh-In-Motion systems measure bridge strain caused by the passing of a truck to estimate static axle weights. For this calculation, they commonly use a static algorithm that takes the bridge influence line as ...