22 citations · 60 across the 23 of their papers we have counts for
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q-fin.TR2021
Self-exciting price impact via negative resilience in stochastic order books
Julia Ackermann, Thomas Kruse, Mikhail Urusov
Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is positive. But negative resilience also has a natural interpretation…
math.PR2021
A general Kolmogorov-Chentsov type theorem on general metric spaces with applications to limit theorems for Banach-valued processes
Volker Kratschmer, Mikhail Urusov
The paper deals with moduli of continuity for paths of random processes indexed by a general metric space with values in a general metric space . Adapting the mome…