47 citations · 56 across the 6 of their papers we have counts for
7 papers
Realtime price impact detection
Ilija I Zovko
An important question for an algo trader working an order is to understand if their actions are moving the market against them -- i.e., causing market impact. The conventional answ…
Matching in size: How market impact depends on the concentration of trading
Ilija I. Zovko
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…
Navigating dark liquidity (How Fisher catches Poisson in the Dark)
Ilija I. Zovko
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 re…
The StressVaR: A New Risk Concept for Superior Fund Allocation
Cyril Coste, Raphael Douady, Ilija I. Zovko
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 ap…
Correlations and clustering in the trading of members of the London Stock Exchange
Ilija I. Zovko, J. Doyne Farmer
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 defi…
The Predictive Power of Zero Intelligence in Financial Markets
J. Doyne Farmer, Paolo Patelli, Ilija I. Zovko
Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where, for some purposes, constraints imposed by market in…