25 citations · 164 across the 28 of their papers we have counts for
5 papers · 1 filter
Microstructure under the Microscope: Tools to Survive and Thrive in The Age of (Too Much) Information
Ravi Kashyap
Market Microstructure is the investigation of the process and protocols that govern the exchange of assets with the objective of reducing frictions that can impede the transfer. In…
The Perfect Marriage and Much More: Combining Dimension Reduction, Distance Measures and Covariance
Ravi Kashyap
We develop a novel methodology based on the marriage between the Bhattacharyya distance, a measure of similarity across distributions of random variables, and the Johnson-Lindenstr…
Hong Kong -- Shanghai Connect / Hong Kong -- Beijing Disconnect (?): Scaling the Great Wall of Chinese Securities Trading Costs
Ravi Kashyap
We utilize a fundamentally different model of trading costs to look at the effect of the opening of the Hong Kong Shanghai Connect that links the stock exchanges in the two cities,…
David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs
Ravi Kashyap
We develop a fundamentally different stochastic dynamic programming model of trading costs. Built on a strong theoretical foundation, our model provides insights to market particip…
A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes
Ravi Kashyap
We look at the effect of the tick size changes on the TOPIX 100 index names made by the Tokyo Stock Exchange on Jan-14-2014 and Jul-22-2104. The intended consequence of the change…