50 citations · 119 across the 12 of their papers we have counts for
4 papers · 1 filter
A Stochastic Feedback Model for Volatility
Raoul Golan, Austin Gerig
Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price f…
Universal Behavior of Extreme Price Movements in Stock Markets
Miguel A. Fuentes, Austin Gerig, Javier Vicente
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of…
Model for Non-Gaussian Intraday Stock Returns
Austin Gerig, Javier Vicente, Miguel A. Fuentes
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape a…
A Theory for Market Impact: How Order Flow Affects Stock Price
Austin Gerig
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests…