3 papers
q-fin.TR2019
An instantaneous market volatility estimation
Oleh Danyliv, Bruce Bland
Working on different aspects of algorithmic trading we empirically discovered a new market invariant. It links together the volatility of the instrument with its traded volume, the…
q-fin.TR2019
Random walk model from the point of view of algorithmic trading
Oleh Danyliv, Bruce Bland, Alexandre Argenson
Despite the fact that an intraday market price distribution is not normal, the random walk model of price behaviour is as important for the understanding of basic principles of the…
q-fin.TR2014
Convenient liquidity measure for Financial markets
Oleh Danyliv, Bruce Bland, Daniel Nicholass
A liquidity measure based on consideration and price range is proposed. Initially defined for daily data, Liquidity Index (LIX) can also be estimated via intraday data by using a t…