1 citations · 1 across the 2 of their papers we have counts for
4 papers
A unified theory of order flow, market impact, and volatility
Johannes Muhle-Karbe, Youssef Ouazzani Chahdi, Mathieu Rosenbaum +1
We propose a microstructural model for the order flow in financial markets that distinguishes between {\it core orders} and {\it reaction flow}, both modeled as Hawkes processes. T…
In-Sample and Out-of-Sample Sharpe Ratios for Linear Predictive Models
Antoine Jacquier, Johannes Muhle-Karbe, Joseph Mulligan
We study how much the in-sample performance of trading strategies based on linear predictive models is reduced out-of-sample due to overfitting. More specifically, we compute the i…
Fluid-Limits of Fragmented Limit-Order Markets
Johannes Muhle-Karbe, Eyal Neuman, Yonatan Shadmi
Maglaras, Moallemi, and Zheng (2021) have introduced a flexible queueing model for fragmented limit-order markets, whose fluid limit remains remarkably tractable. In the present st…
Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost
Zoltan Eisler, Johannes Muhle-Karbe
Minimizing execution costs for large orders is a fundamental challenge in finance. Firms often depend on brokers to manage their trades due to limited internal resources for optimi…