12 citations · 18 across the 3 of their papers we have counts for
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q-fin.TR2016
Spread, volatility, and volume relationship in financial markets and market making profit optimization
Jack Sarkissian
We study the relationship between price spread, volatility and trading volume. We find that spread forms as a result of interplay between order liquidity and order impact. When tra…
q-fin.TR2016
Quantum theory of securities price formation in financial markets
Jack Sarkissian
We develop a theory of securities price formation and dynamics based on quantum approach and without presuming any similarities with quantum mechanics. Disorder introduced by tradi…