Market making and mean reversion (2011)

by Tanmoy Chakraborty , Michael Kearns
Venue:In Proc. ACM Conf. on Elec. Commerce
Citations:4 - 2 self

Active Bibliography

1 Bargaining and Pricing in Networked Economic Systems – Tanmoy Chakraborty - 2011
Dynamic Spread Trading – Seung-jean Kim, James Primbs, Stephen Boyd - 2008
Mean Reversion versus Random Walk in Oil and Natural Gas Prices – Hélyette Geman
2 A Bayesian market maker – Aseem Brahma, Qualcomm Inc - 2012
4 Liquidity and Arbitrage in the Market for Credit Risk – Amrut Nashikkar, Marti G. Subrahmanyam, Sriketan Mahanti - 2009
PROFITABILITY OF PAIRS TRADING STRATEGY IN FINLAND – John Paul, Broussard Mika Vaihekoski - 2010
Research Statement – unknown authors
Rensselaer Polytechnic – Mithun Chakraborty, Sanmay Das, Allen Lavoie, Yonatan Naamad
5 Comparing Prediction Market Structures, With an Application to Market Making – Aseem Brahma, Sanmay Das, Malik Magdon-ismail - 1009
5 Instructor rating markets – Mithun Chakraborty, Sanmay Das, Allen Lavoie, Malik Magdon-ismail, Yonatan Naamad - 2011
16 Adapting to a Market Shock: Optimal Sequential Market-Making – Sanmay Das, Malik Magdon-ismail
heory The Impact of Backwardation on Hedgers’ Demand for Currency Futures Contracts: Theory versus Empirical Evidence ∗ – Andreas Röthig, Technische Universität Darmstadt, Andreas Röthig - 2008
1 The Choice of Stochastic Process in Real Option Valuation – Luiz De Magalhães Ozorio, Faculdade De Economia Ibmec, Carlos De Lamare Bastian-pinto, Luiz Eduardo, Teixeira Brandão
2 Integrating Spot and Futures Commodity Markets in the Optimal Procurement Policy of an Assemble-to-Order Manufacturer – Ankur Goel, Genaro J. Gutierrez - 2004
5 Intelligent Market-Making in Artificial Financial Markets – S. Das, Sanmay Das, Snmy Ds - 2003
5 Institutional Innovation and the Creation of Liquid Financial Markets: The case of Bankers’ Acceptances, 1914-1934”, The – J. Peter Ferderer - 1987
3 An agent-based model of dealership markets – Sanmay Das
17 A learning market-maker in the Glosten-Milgrom model – Sanmay Das - 2005
Understanding the Price Dynamics of Emission Permits: A Model for Multiple Trading Periods † – Ste En Hitzemann, Marliese Uhrig-homburg - 2011