Anna Obizhaeva : Citation Profile

Are you Anna Obizhaeva?

New Economic School (NES)

5

H index

3

i10 index

292

Citations

RESEARCH PRODUCTION:

4

Articles

13

Papers

RESEARCH ACTIVITY:

   13 years (2005 - 2018). See details.
   Cites by year: 22
   Journals where Anna Obizhaeva has often published
   Relations with other researchers
   Recent citing documents: 67.    Total self citations: 2 (0.68 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pob57
   Updated: 2022-05-21    RAS profile: 2018-04-17    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Anna Obizhaeva.

Is cited by:

Schied, Alexander (6)

Horst, Ulrich (5)

Sun, Edward (5)

Schöneborn, Torsten (4)

Dumas, Bernard (4)

Pastor, Lubos (3)

Ito, Takatoshi (3)

LEHALLE, Charles-Albert (3)

Murgia, Maurizio (3)

Pinna, Andrea (3)

Stambaugh, Robert (3)

Cites to:

Madhavan, Ananth (10)

Keim, Donald (8)

Campbell, John (3)

Grossman, Sanford (3)

Lo, Andrew (3)

Foucault, Thierry (3)

Subrahmanyam, Avanidhar (3)

Clark, Peter (3)

Fama, Eugene (3)

Shleifer, Andrei (3)

Alexander, Gordon (3)

Main data

Where Anna Obizhaeva has published?

Working Papers Series with more than one paper published# docs
Working Papers / Center for Economic and Financial Research (CEFIR)11

Recent works citing Anna Obizhaeva (2021 and 2020)

YearTitle of citing document
2020Adverse Selection and Liquidity: From Theory to Practice. (2020). Kyle, Albert S ; Obizhaeva, Anna A. In: Working Papers. RePEc:abo:neswpt:w0268.

Full description at Econpapers || Download paper

2020Large Bets and Stock Market Crashes. (2020). Kyle, Albert S ; Obizhaeva, Anna A. In: Working Papers. RePEc:abo:neswpt:w0269.

Full description at Econpapers || Download paper

2020Trading in Crowded Markets. (2020). Gorban, Stepan ; Wang, Yajun ; Obizhaeva, Anna A. In: Working Papers. RePEc:abo:neswpt:w0275.

Full description at Econpapers || Download paper

2022Flow Trading. (2022). Cramton, Peter ; Malec, David ; Lee, Jeongmin ; Kyle, Albert S ; Budish, Eric. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:146.

Full description at Econpapers || Download paper

2021Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

Full description at Econpapers || Download paper

2020Portfolio Choice with Small Temporary and Transient Price Impact. (2019). Muhle-Karbe, Johannes ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1705.00672.

Full description at Econpapers || Download paper

2021Liquidity in Competitive Dealer Markets. (2018). Muhle-Karbe, Johannes ; Ekren, Ibrahim ; Bank, Peter. In: Papers. RePEc:arx:papers:1807.08278.

Full description at Econpapers || Download paper

2021High-dimensional statistical arbitrage with factor models and stochastic control. (2019). Guijarro-Ordonez, Jorge. In: Papers. RePEc:arx:papers:1901.09309.

Full description at Econpapers || Download paper

2020Conservation Laws in a Limit Order Book. (2019). Rosenzweig, Jan. In: Papers. RePEc:arx:papers:1910.09202.

Full description at Econpapers || Download paper

2020Optimal liquidation trajectories for the Almgren-Chriss model with Levy processes. (2020). Xu, Junwei ; Lokka, Arne. In: Papers. RePEc:arx:papers:2002.03376.

Full description at Econpapers || Download paper

2020Optimal liquidation for a risk averse investor in a one-sided limit order book driven by a Levy process. (2020). Xu, Junwei ; Lokka, Arne. In: Papers. RePEc:arx:papers:2002.03379.

Full description at Econpapers || Download paper

2020Equilibrium Model of Limit Order Books: A Mean-field Game View. (2020). Noh, Eunjung ; Ma, Jin. In: Papers. RePEc:arx:papers:2002.12857.

Full description at Econpapers || Download paper

2021Finite population games of optimal execution. (2020). Thamsten, Yuri ; Evangelista, David. In: Papers. RePEc:arx:papers:2004.00790.

Full description at Econpapers || Download paper

2021Instabilities in Multi-Asset and Multi-Agent Market Impact Games. (2020). Lillo, Fabrizio ; Cordoni, Francesco. In: Papers. RePEc:arx:papers:2004.03546.

Full description at Econpapers || Download paper

2021Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013.

Full description at Econpapers || Download paper

2020Optimal execution with liquidity risk in a diffusive order book market. (2020). Lee, Kiseop. In: Papers. RePEc:arx:papers:2004.10951.

Full description at Econpapers || Download paper

2020A Stochastic LQR Model for Child Order Placement in Algorithmic Trading. (2020). Shen, Jackie Jianhong . In: Papers. RePEc:arx:papers:2004.13797.

Full description at Econpapers || Download paper

2020A Theory of Auction as a Search in speculative markets. (2020). Pani, Sudhanshu. In: Papers. RePEc:arx:papers:2006.00775.

Full description at Econpapers || Download paper

2020An overall view of key problems in algorithmic trading and recent progress. (2020). Karpe, Michael. In: Papers. RePEc:arx:papers:2006.05515.

Full description at Econpapers || Download paper

2021Optimal trade execution in an order book model with stochastic liquidity parameters. (2020). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2006.05843.

Full description at Econpapers || Download paper

2021C\`adl\`ag semimartingale strategies for optimal trade execution in stochastic order book models. (2020). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2006.05863.

Full description at Econpapers || Download paper

2020Portfolio Liquidation Games with Self-Exciting Order Flow. (2020). Horst, Ulrich ; Fu, Guanxing ; Xia, Xiaonyu. In: Papers. RePEc:arx:papers:2011.05589.

Full description at Econpapers || Download paper

2021Price Impact on Term Structure. (2020). Neuman, Eyal ; Graceffa, Federico ; Brigo, Damiano. In: Papers. RePEc:arx:papers:2011.10113.

Full description at Econpapers || Download paper

2022Optimal Trading with Signals and Stochastic Price Impact. (2021). Saporito, Yuri F ; Fouque, Jean-Pierre ; Jaimungal, Sebastian. In: Papers. RePEc:arx:papers:2101.10053.

Full description at Econpapers || Download paper

2021Small impact analysis in stochastically illiquid markets. (2021). Kivman, Evgueni ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2103.05957.

Full description at Econpapers || Download paper

2022Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics. (2021). Gu, Olivier ; Drissi, Fayccal ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2103.13773.

Full description at Econpapers || Download paper

2021Research on Portfolio Liquidation Strategy under Discrete Times. (2021). Li, Handong ; Shi, YU ; Luo, Qixuan. In: Papers. RePEc:arx:papers:2103.15400.

Full description at Econpapers || Download paper

2022The Inelastic Market Hypothesis: A Microstructural Interpretation. (2021). Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:2108.00242.

Full description at Econpapers || Download paper

2021On effects of negative resilience on optimal trade execution in stochastic order books. (2021). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2112.03789.

Full description at Econpapers || Download paper

2021Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553.

Full description at Econpapers || Download paper

2022Rigorous multi-asset optimal execution with Bayesian learning of the drift. (2022). Drissi, Fayccal. In: Papers. RePEc:arx:papers:2202.07478.

Full description at Econpapers || Download paper

2022Price formation in financial markets: a game-theoretic perspective. (2022). Evangelista, David ; Thamsten, Yuri ; Saporito, Yuri. In: Papers. RePEc:arx:papers:2202.11416.

Full description at Econpapers || Download paper

2020Measuring price discovery between nearby and deferred contracts in storable and nonstorable commodity futures markets. (2020). Mallory, Mindy ; Hu, Zhepeng ; Garcia, Philip ; Serra, Teresa. In: Agricultural Economics. RePEc:bla:agecon:v:51:y:2020:i:6:p:825-840.

Full description at Econpapers || Download paper

2021Fire?Sale Spillovers and Systemic Risk. (2021). Eisenbach, Thomas ; Duarte, Fernando. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:3:p:1251-1294.

Full description at Econpapers || Download paper

2020DOES SPEED MATTER? THE ROLE OF HIGH?FREQUENCY TRADING FOR ORDER BOOK RESILIENCY. (2020). Zimmermann, Kai ; Haferkorn, Martin ; Clapham, Benjamin. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:4:p:933-964.

Full description at Econpapers || Download paper

2020Effective risk aversion in thin risk‐sharing markets. (2020). Anthropelos, Michail ; Vichos, Georgios ; Kardaras, Constantinos. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1565-1590.

Full description at Econpapers || Download paper

2021Optimal investment, derivative demand, and arbitrage under price impact. (2021). Spiliopoulos, Konstantinos ; Robertson, Scott ; Anthropelos, Michail. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:3-35.

Full description at Econpapers || Download paper

2021Liquidity in competitive dealer markets. (2021). Muhlekarbe, Johannes ; Ekren, Ibrahim ; Bank, Peter. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:827-856.

Full description at Econpapers || Download paper

2020The effects of trade size and market depth on immediate price impact in a limit order book market. (2020). Anderson, Heather ; Pham, Manh Cuong ; Lajbcygier, Paul ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301603.

Full description at Econpapers || Download paper

2021A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy. (2021). Malevergne, Yannick ; da Fonseca, Jose. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000725.

Full description at Econpapers || Download paper

2022Optimal liquidation problem in illiquid markets. (2022). Vecer, Jan ; Sadoghi, Amirhossein. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:3:p:1050-1066.

Full description at Econpapers || Download paper

2022Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. (2022). Schnaubelt, Matthias. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:3:p:993-1006.

Full description at Econpapers || Download paper

2021Is competition beneficial? The case of exchange traded funds. (2021). Eugster, Nicolas ; Kharma, Celine. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001241.

Full description at Econpapers || Download paper

2021What drives the liquidity of cryptocurrencies? A long-term analysis. (2021). Theissen, Erik ; Mestel, Roland ; Brauneis, Alexander. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s154461231931400x.

Full description at Econpapers || Download paper

2021Optimal closing benchmarks. (2021). Mitra, Joshua ; Frei, Christoph. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320301537.

Full description at Econpapers || Download paper

2020Microstructure invariance in U.S. stock market trades. (2020). Tuzun, Tugkan ; Obizhaeva, Anna A ; Kyle, Albert S. In: Journal of Financial Markets. RePEc:eee:finmar:v:49:y:2020:i:c:s1386418116303123.

Full description at Econpapers || Download paper

2021Deleveraging commonality. (2021). Zhu, Ning ; Liu, Yu-Jane. In: Journal of Financial Markets. RePEc:eee:finmar:v:53:y:2021:i:c:s1386418120300513.

Full description at Econpapers || Download paper

2021Does it pay to follow anomalies research? Machine learning approach with international evidence. (2021). Hronec, Martin ; Tobek, Ondrej. In: Journal of Financial Markets. RePEc:eee:finmar:v:56:y:2021:i:c:s1386418120300574.

Full description at Econpapers || Download paper

2021Information acquisition with heterogeneous valuations. (2021). Rahi, Rohit. In: Journal of Economic Theory. RePEc:eee:jetheo:v:191:y:2021:i:c:s0022053120301484.

Full description at Econpapers || Download paper

2020Pre-trade hedging: Evidence from the issuance of retail structured products. (2020). Pearson, Neil D ; Henderson, Brian J ; Wang, LI. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:1:p:108-128.

Full description at Econpapers || Download paper

2020Fund tradeoffs. (2020). Pastor, Lubos ; Taylor, Lucian A ; Stambaugh, Robert F. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:3:p:614-634.

Full description at Econpapers || Download paper

2020Estimation of level-I hidden liquidity using the dynamics of limit order-book. (2020). Sim, Min Kyu ; Deng, Shijie. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119315407.

Full description at Econpapers || Download paper

2020David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs. (2020). Kashyap, Ravi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119316206.

Full description at Econpapers || Download paper

2020Optimal liquidation trajectories for the Almgren-Chriss model. (2020). Lokka, A ; Xu, Junwei. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:106977.

Full description at Econpapers || Download paper

2020State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange. (2020). Stereczak, Szymon. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:1:p:13-:d:329185.

Full description at Econpapers || Download paper

2020Latent Segmentation of Stock Trading Strategies Using Multi-Modal Imitation Learning. (2020). Kitano, Michiharu ; Degraw, David ; Maeda, Iwao ; Kato, Atsuo ; Sakaji, Hiroki ; Izumi, Kiyoshi ; Matsushima, Hiroyasu. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:250-:d:433565.

Full description at Econpapers || Download paper

2020Are trading invariants really invariant? Trading costs matter. (2020). Lillo, Fabrizio ; Bucci, Frederic ; Benzaquen, Michael ; Bouchaud, Jean-Philippe. In: Post-Print. RePEc:hal:journl:hal-02323318.

Full description at Econpapers || Download paper

2021Two price economic equilibria and financial market bid/ask prices. (2021). Siu, Tak Kuen ; Madan, Dilip B ; Elliott, Robert J. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:1:d:10.1007_s10436-020-00377-x.

Full description at Econpapers || Download paper

2020When Overconfident Traders Meet Feedback Traders - Updated from 2016. (2020). Rousseau, Fabrice ; Germain, Laurent ; Boco, Herve . In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n270-16.pdf.

Full description at Econpapers || Download paper

2021Bank Solvency Stress Tests with Fire Sales. (2021). Uroevi, Branko ; Summer, Martin ; Breuer, Thomas. In: Working Papers. RePEc:onb:oenbwp:235.

Full description at Econpapers || Download paper

2020The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets. (2020). Takayasu, Misako ; Christensen, Kim ; Sueshige, Takumi ; Ciacci, Alberto. In: PLOS ONE. RePEc:plo:pone00:0234709.

Full description at Econpapers || Download paper

2022Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data. (2022). Jha, Sumit Kumar ; Bhattacharya, Sharad Nath. In: Australian Journal of Management. RePEc:sae:ausman:v:47:y:2022:i:2:p:251-272.

Full description at Econpapers || Download paper

2021Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models. (2021). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:4:d:10.1007_s00780-021-00464-5.

Full description at Econpapers || Download paper

2022Resiliency in the E?mini futures market. (2022). Onur, Esen ; Haynes, Richard. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:1:p:5-23.

Full description at Econpapers || Download paper

2021High-dimensional statistical learning techniques for time-varying limit order book networks. (2021). Schienle, Melanie ; Hardle, Wolfgang ; Chen, Shi. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2021015.

Full description at Econpapers || Download paper

2020Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. (2020). Schnaubelt, Matthias. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:052020.

Full description at Econpapers || Download paper

2021Stock price crashes: Role of slow-moving capital. (2018). Pelizzon, Loriana ; Jagannathan, Ravi ; Yuferova, Darya ; Schaumburg, Ernst ; Getmansky, Mila. In: SAFE Working Paper Series. RePEc:zbw:safewp:227.

Full description at Econpapers || Download paper

Works by Anna Obizhaeva:

YearTitleTypeCited
2009Portfolio Transitions and Stock Price Dynamics In: Working Papers.
[Full Text][Citation analysis]		paper1
2007Liquidity Estimates and Selection Bias In: Working Papers.
[Full Text][Citation analysis]		paper0
2016Smooth Trading with Overconfidence and Market Power In: Working Papers.
[Full Text][Citation analysis]		paper12
2018Smooth Trading with Overconfidence and Market Power.(2018) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		article
2016Large Bets and Stock Market Crashes In: Working Papers.
[Full Text][Citation analysis]		paper5
2016Market Microstructure Invariance: A Dynamic Equilibrium Model In: Working Papers.
[Full Text][Citation analysis]		paper0
2016Intraday Trading Invariance in the E-mini S&P 500 Futures Market In: Working Papers.
[Full Text][Citation analysis]		paper9
2016Microstructure Invariance in U.S. Stock Market Trades In: Working Papers.
[Full Text][Citation analysis]		paper0
2016Microstructure Invariance in U.S. Stock Market Trades.(2016) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2016Beliefs Aggregation and Return Predictability In: Working Papers.
[Full Text][Citation analysis]		paper0
2016Invariance of buy-sell switching points In: Working Papers.
[Full Text][Citation analysis]		paper0
2017News Articles and Equity Trading In: Working Papers.
[Full Text][Citation analysis]		paper0
2017Dimensional Analysis and Market Microstructure Invariance In: Working Papers.
[Full Text][Citation analysis]		paper1
2013Optimal trading strategy and supply/demand dynamics In: Journal of Financial Markets.
[Full Text][Citation analysis]		article229
2005Optimal Trading Strategy and Supply/Demand Dynamics.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 229		paper
2016The Russian ruble crisis of December 2014 In: VOPROSY ECONOMIKI.
[Citation analysis]		article2
2016Market Microstructure Invariance: Empirical Hypotheses In: Econometrica.
[Full Text][Citation analysis]		article33

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 30 2022. Contact: CitEc Team