Jeremy Houston Large : Citation Profile


Are you Jeremy Houston Large?

Oxford University (50% share)
Oxford University (50% share)

6

H index

4

i10 index

189

Citations

RESEARCH PRODUCTION:

4

Articles

7

Papers

RESEARCH ACTIVITY:

   7 years (2004 - 2011). See details.
   Cites by year: 27
   Journals where Jeremy Houston Large has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 5 (2.58 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla212
   Updated: 2020-10-17    RAS profile: 2014-01-05    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Jeremy Houston Large.

Is cited by:

Medeiros, Marcelo (16)

McAleer, Michael (14)

Shephard, Neil (11)

Asai, Manabu (10)

Hansen, Peter (10)

Hautsch, Nikolaus (7)

Podolskij, Mark (4)

Degryse, Hans (4)

Lunde, Asger (4)

Foucault, Thierry (4)

Kandel, Eugene (4)

Cites to:

Shephard, Neil (10)

Bollerslev, Tim (8)

Barndorff-Nielsen, Ole (8)

Andersen, Torben (8)

Lunde, Asger (7)

Engle, Robert (6)

Hansen, Peter (6)

Diebold, Francis (6)

Foucault, Thierry (6)

Ghysels, Eric (5)

Harvey, Andrew (4)

Main data


Where Jeremy Houston Large has published?


Working Papers Series with more than one paper published# docs
Economics Series Working Papers / University of Oxford, Department of Economics2
OFRC Working Papers Series / Oxford Financial Research Centre2

Recent works citing Jeremy Houston Large (2020 and 2019)


YearTitle of citing document
2020Market Making under a Weakly Consistent Limit Order Book Model. (2019). Viens, Frederi ; Law, Baron . In: Papers. RePEc:arx:papers:1903.07222.

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2019Marked Hawkes process modeling of price dynamics and volatility estimation. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1907.12025.

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2019Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05089.

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2020Marked point processes and intensity ratios for limit order book modeling. (2020). Yoshida, Nakahiro ; Toke, Ioane Muni. In: Papers. RePEc:arx:papers:2001.08442.

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2020The What, When and Where of Limit Order Books. (2020). Dimpfl, Thomas ; Bleher, Michael. In: Papers. RePEc:arx:papers:2004.11953.

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2019Optimal execution with regime-switching market resilience. (2019). Elliott, Robert J ; Zhu, Song-Ping ; Guo, Ivan ; Siu, Chi Chung. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:17-40.

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2020Dependent microstructure noise and integrated volatility estimation from high-frequency data. (2020). Laeven, Roger ; Vellekoop, Michel H ; Li, Merrick Z. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:536-558.

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2019Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity. (2019). Roseman, Brian S ; Griffith, Todd G. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:104-121.

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2020The life of U’s: Order revisions on NASDAQ. (2020). Nikolsko-Rzhevska, Olena ; Black, Jeffrey R ; Nikolsko-Rzhevskyy, Alex. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302973.

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2019Measuring stock market resiliency with Discrete Fourier Transform for high frequency data. (2019). Olbrys, Joanna ; Mursztyn, Michal. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:248-256.

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2019Estimation of intraday stock market resiliency: Short-Time Fourier Transform approach. (2019). Olbrys, Joanna ; Mursztyn, Michal. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313901.

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2020A two-phase dynamic contagion model for Covid-19. (2020). Zhao, Hongbiao ; Surya, Budhi ; Qu, Yan ; Lim, Jia Wei ; Kuan, Valerie ; Dassios, Angelos ; Chen, Zezhun. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:105064.

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2020General Compound Hawkes Processes in Limit Order Books. (2020). Huffman, Aiden ; Swishchuk, Anatoliy. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:28-:d:332592.

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2020Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities. (2020). Odening, Martin ; Filler, Gunther ; Volkenand, Steffen. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:75-:d:383140.

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2020Measuring liquidity in Indian stock market: A dimensional perspective. (2020). Reddy, Y V ; Poornima, B G ; Naik, Priyanka. In: PLOS ONE. RePEc:plo:pone00:0238718.

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2020Liquidity Risk and Funding Cost. (2019). Ranaldo, Angelo ; Bechtel, Alexander ; Wrampelmeyer, Jan. In: Working Papers on Finance. RePEc:usg:sfwpfi:2019:03.

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Works by Jeremy Houston Large:


YearTitleTypeCited
2011Estimating quadratic variation when quoted prices change by a constant increment In: Journal of Econometrics.
[Full Text][Citation analysis]
article10
2007Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment.(2007) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2007Measuring the resiliency of an electronic limit order book In: Journal of Financial Markets.
[Full Text][Citation analysis]
article101
2009A market-clearing role for inefficiency on a limit order book In: Journal of Financial Economics.
[Full Text][Citation analysis]
article7
2006A Market-Clearing Role for Inefficiency on a Limit Order Book.(2006) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2004Cancellation and Uncertainty Aversion on Limit Order Books In: Economics Papers.
[Full Text][Citation analysis]
paper6
2004Cancellation and uncertainty aversion on limit order books.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2005Estimating quadratic variation when quoted prices jump by a constant increment In: Economics Papers.
[Full Text][Citation analysis]
paper15
2005Estimating quadratic variation when quoted prices jump by a constant increment.(2005) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2008Ergodic Equilibria in Stochastic Sequential Games In: Economics Series Working Papers.
[Full Text][Citation analysis]
paper0
2008Moving Average-Based Estimators of Integrated Variance In: Econometric Reviews.
[Full Text][Citation analysis]
article50

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2020. Contact: CitEc Team