10 citations · 10 across the 1 of their papers we have counts for
3 papers
q-fin.TR2017
Mini-Flash Crashes, Model Risk, and Optimal Execution
Erhan Bayraktar, Alexander Munk
Oft-cited causes of mini-flash crashes include human errors, endogenous feedback loops, the nature of modern liquidity provision, fundamental value shocks, and market fragmentation…
math.OC2016
High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering
Erhan Bayraktar, Alexander Munk
How do large-scale participants in parimutuel wagering events affect the house and ordinary bettors? A standard narrative suggests that they may temporarily benefit the former at t…
math.PR2014★ 10 cited
An -stable limit theorem under sublinear expectation
Erhan Bayraktar, Alexander Munk
For , we present a generalized central limit theorem for -stable random variables under sublinear expectation. The foundation of our proof is an interior regularity…