output
20072026
most citedMarket impact and trading profile of large trading orders in stock markets

228 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2010Show all

4 papers · 1 filter

math.ST2010★ 4 cited

Stochastic comparisons of stratified sampling techniques for some Monte Carlo estimators

Larry Goldstein, Yosef Rinott, Marco Scarsini

We compare estimators of the (essential) supremum and the integral of a function defined on a measurable space when may be observed at a sample of points in its domain, pos…

math.PR2010

Clark-Ocone type formula for non-semimartingales with finite quadratic variation

Cristina Di Girolami, Francesco Russo

We provide a suitable framework for the concept of finite quadratic variation for processes with values in a separable Banach space using the language of stochastic calculus vi…

physics.data-an2010★ 23 cited

Segmentation algorithm for non-stationary compound Poisson processes

Bence Toth, Fabrizio Lillo, J. Doyne Farmer

We introduce an algorithm for the segmentation of a class of regime switching processes. The segmentation algorithm is a non parametric statistical method able to identify the regi…

physics.soc-ph2010★ 121 cited

Historical Costs of Coal-Fired Electricity and Implications for the Future

James McNerney, J. Doyne Farmer, Jessika E. Trancik

We study the costs of coal-fired electricity in the United States between 1882 and 2006 by decomposing it in terms of the price of coal, transportation costs, energy density, therm…