29 citations · 55 across the 21 of their papers we have counts for
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q-fin.TR2019
Predicting intraday jumps in stock prices using liquidity measures and technical indicators
Ao Kong, Hongliang Zhu, Robert Azencott
Predicting the intraday stock jumps is a significant but challenging problem in finance. Due to the instantaneity and imperceptibility characteristics of intraday stock jumps, rele…
q-fin.TR2013★ 1 cited
Realtime market microstructure analysis: online Transaction Cost Analysis
Robert Azencott, Arjun Beri, Yutheeka Gadhyan +3
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discov…