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q-fin.TR2022★ 1 cited
Fast and Slow Optimal Trading with Exogenous Information
Rama Cont, Alessandro Micheli, Eyal Neuman
We consider a stochastic game between a slow institutional investor and a high-frequency trader who are trading a risky asset and their aggregated order-flow impacts the asset pric…
q-fin.TR2020
Evidence of Crowding on Russell 3000 Reconstitution Events
Alessandro Micheli, Eyal Neuman
We develop a methodology which replicates in great accuracy the FTSE Russell indexes reconstitutions, including the quarterly rebalancings due to new initial public offerings (IPOs…