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Encyclopedia of Quantitative Finance
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Encyclopedia of Quantitative Finance (2010)Encyclopedia of Quantitative FinanceOptions Trading Costs Are Lower than You Think (2020)Options Trading Costs Are Low…Inverted fee structures, tick size, and market quality (2019)Inverted fee structures, tick…Portfolio Management with Cryptocurrencies: The Role of Estimation Risk (2018)Portfolio Management with Cry…An Empirical Analysis of Market Segmentation on U.S. Equity Markets (2017)An Empirical Analysis of Mark…Market conditions, fragility, and the economics of market making (2016)Market conditions, fragility,…Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? 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  • 2017An Empirical Analysis of Market Segmentation on U.S. Equity Markets

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89 cited
  • 2015Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach80 cited
  • 2019Inverted fee structures, tick size, and market quality77 cited