2 papers
cs.SD2019
Ensemble-based cover song detection
Marc Sarfati, Anthony Hu, Jonathan Donier
Audio-based cover song detection has received much attention in the MIR community in the recent years. To date, the most popular formulation of the problem has been to compare the…
q-fin.TR2012
Market Impact with Autocorrelated Order Flow under Perfect Competition
Jonathan Donier
Our goal in this paper is to study the market impact in a market in which the order flow is autocorrelated. We build a model which explains qualitatively and quantitatively the emp…