26 citations · 26 across the 8 of their papers we have counts for
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q-fin.TR2026
When large trades are not (automatically) news: liquidity tail risk and price discovery
Umut Çetin, Mingwei Lin, Giulia Livieri
We examine how heavy-tailed liquidity demand changes price discovery in a sequential limit order book with asymmetric information. In our setting, liquidity suppliers observe aggre…
math.PR2026
Weak convergence rate for the Cox-Ingersoll-Ross process
Alexandros Pavlis, Umut Cetin
We study the weak convergence rate of a drift-implicit discretisation scheme for the Cox-Ingersoll-Ross (CIR) process in the regime where the process remains strictly positive. Spe…