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q-fin.TR2019
Latency and Liquidity Risk
Álvaro Cartea, Sebastian Jaimungal, Leandro Sánchez-Betancourt
Latency (i.e., time delay) in electronic markets affects the efficacy of liquidity taking strategies. During the time liquidity takers process information and send marketable limit…
q-fin.MF2019
Lévy-Ito Models in Finance
George Bouzianis, Lane P. Hughston, Sebastian Jaimungal +1
We present an overview of the broad class of financial models in which the prices of assets are Lévy-Ito processes driven by an -dimensional Brownian motion and an independent P…