142 citations · 230 across the 39 of their papers we have counts for
3 papers · 1 filter
Theoretical and empirical analysis of trading activity
Mathias Pohl, Alexander Ristig, Walter Schachermayer +1
Understanding the structure of financial markets deals with suitably determining the functional relation between financial variables. In this respect, important variables are the t…
The amazing power of dimensional analysis: Quantifying market impact
Mathias Pohl, Alexander Ristig, Walter Schachermayer +1
This note complements the inspiring work on dimensional analysis and market microstructure by Kyle and Obizhaeva [18]. Following closely these authors, our main result shows by a s…
In which Financial Markets do Mutual Fund Theorems hold true?
Walter Schachermayer, Mihai Sirbu, Erik Taflin
The Mutual Fund Theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth.…