186 citations
- Columbia UniversityUS2 papers
- Fermi National Accelerator LaboratoryUS2 papers
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- ARC Centre of Excellence for All-sky AstrophysicsAU1 paper
- Argonne National LaboratoryUS1 paper
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- Astronomical Observatory of CapodimonteIT1 paper
- Astronomical Observatory of RomeIT1 paper
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q-fin.TR2020★ 3 cited
Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning
Daniel Guterding
The VSTOXX index tracks the expected 30-day volatility of the EURO STOXX 50 equity index. Futures on the VSTOXX index can, therefore, be used to hedge against economic uncertainty.…
q-fin.TR2017★ 3 cited
Grasping asymmetric information in market impacts
Shanshan Wang, Sebastian Neusüß, Thomas Guhr
The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work o…