3 citations · 5 across the 7 of their papers we have counts for
8 papers
Fairness Is Not Enough: Auditing Competence and Intersectional Bias in AI-powered Resume Screening
Kevin T Webster
The use of publicly available generative AI systems for resume evaluation is often justified by the assumption that these tools reduce bias relative to human judgment. However, thi…
The Cost of Misspecifying Price Impact
Natascha Hey, Jean-Philippe Bouchaud, Iacopo Mastromatteo +2
Portfolio managers' orders trade off return and trading cost predictions. Return predictions rely on alpha models, whereas price impact models quantify trading costs. This paper st…
Optimal brokerage contracts in Almgren-Chriss model with multiple clients
Guillermo Alonso Alvarez, Sergey Nadtochiy, Kevin Webster
This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model. The distinctive features…
Applications of a New Self-Financing Equation
Rene Carmona, Kevin Webster
The goal of this note is to illustrate the impact of a self-financing condition recently introduced by the authors. We present the analyses of two specific applications usually con…
The microstructure of high frequency markets
Rene Carmona, Kevin Webster
We present a novel approach to describing the microstructure of high frequency trading using two key elements. First we introduce a new notion of informed trader which we starkly c…
Translation invariant mean field games with common noise
Daniel Lacker, Kevin Webster
This note highlights a special class of mean field games in which the coefficients satisfy a convolution-type structural condition. A mean field game of this type with common noise…
The Self-Financing Equation in High Frequency Markets
Rene Carmona, Kevin Webster
High Frequency Trading (HFT) represents an ever growing proportion of all financial transactions as most markets have now switched to electronic order book systems. The main goal o…
High Frequency Market Making
Rene Carmona, Kevin Webster
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equi…