42 citations · 108 across the 17 of their papers we have counts for
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q-fin.TR2020
On Detecting Spoofing Strategies in High Frequency Trading
Xuan Tao, Andrew Day, Lan Ling +1
Spoofing is an illegal act of artificially modifying the supply to drive temporarily prices in a given direction for profit. In practice, detection of such an act is challenging du…
math.OC2020★ 24 cited
Sensitivity analysis of Wasserstein distributionally robust optimization problems
Daniel Bartl, Samuel Drapeau, Jan Obloj +1
We consider sensitivity of a generic stochastic optimization problem to model uncertainty. We take a non-parametric approach and capture model uncertainty using Wasserstein balls a…