14 citations · 27 across the 5 of their papers we have counts for
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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…