29 citations · 77 across the 9 of their papers we have counts for
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q-fin.TR2015★ 2 cited
Volatility Harvesting: Extracting Return from Randomness
Jan Hendrik Witte
Studying Binomial and Gaussian return dynamics in discrete time, we show how excess volatility can be traded to create growth. We test our results on real world data to confirm the…
q-fin.TR2015
Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix
Patrick Steffen Michelberger, Jan Hendrik Witte
A market fix serves as a benchmark for foreign exchange (FX) execution, and is employed by many institutional investors to establish an exact reference at which execution takes pla…
q-fin.TR2014
A Bellman View of Jesse Livermore
Nick Polson, Jan Hendrik Witte
Richard Bellman's Principle of Optimality, formulated in 1957, is the heart of dynamic programming, the mathematical discipline which studies the optimal solution of multi-period d…