Anna Obizhaeva : Citation Profile

New Economic School (NES)

6

H index

4

i10 index

443

Citations

RESEARCH PRODUCTION:

4

Articles

25

Papers

RESEARCH ACTIVITY:

   15 years (2005 - 2020). See details.
   Cites by year: 29
   Journals where Anna Obizhaeva has often published
   Relations with other researchers
   Recent citing documents: 78.    Total self citations: 4 (0.89 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pob57
   Updated: 2026-03-28    RAS profile: 2026-03-21    
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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 Anna Obizhaeva.

Is cited by:

Horst, Ulrich (7)

Schied, Alexander (6)

Sun, Edward (5)

LEHALLE, Charles-Albert (4)

Anthropelos, Michail (4)

Dumas, Bernard (4)

Schöneborn, Torsten (4)

Onur, Esen (4)

Stambaugh, Robert (4)

Pastor, Lubos (4)

Murgia, Maurizio (3)

Cites to:

Madhavan, Ananth (11)

Keim, Donald (9)

Foucault, Thierry (8)

Vayanos, Dimitri (6)

Clark, Peter (4)

Angel, James (3)

Shleifer, Andrei (3)

Andersen, Torben (3)

Shiller, Robert (3)

Lo, Andrew (3)

Amihud, Yakov (3)

Main data

Where Anna Obizhaeva has published?

Working Papers Series with more than one paper published# docs
Working Papers / New Economic School (NES)12
Working Papers / Center for Economic and Financial Research (CEFIR)11

Recent works citing Anna Obizhaeva (2025 and 2024)

YearTitle of citing document
2025Statistical Learning with Sublinear Regret of Propagator Models. (2025). Zhang, Yufei ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2301.05157.

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2024Anomalous diffusion and price impact in the fluid-limit of an order book. (2024). Gebbie, Tim ; Diana, Derick. In: Papers. RePEc:arx:papers:2310.06079.

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2025Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Nutz, Marcel ; Zhao, Long ; Webster, Kevin. In: Papers. RePEc:arx:papers:2310.14144.

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2026Optimal Portfolio Choice with Cross-Impact Propagators. (2024). Tuschmann, Sturmius ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2403.10273.

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2025A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints. (2025). Horst, Ulrich ; Hager, Paul P ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2403.10441.

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2024Trade execution games in a Markovian environment. (2024). Ohnishi, Masamitsu ; Shimoshimizu, Makoto. In: Papers. RePEc:arx:papers:2405.07184.

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2024Long Time Behavior of Optimal Liquidation Problems. (2024). Cheng, Xinman ; Xia, Xiaonyu ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2405.14177.

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2024Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost. (2024). Eisler, Zoltan ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:2405.18936.

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2024Unwinding Toxic Flow with Partial Information. (2024). Boyce, Robert ; Neuman, Eyal ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2407.04510.

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2025Nash Equilibrium between Brokers and Traders. (2024). Jaimungal, Sebastian ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2407.10561.

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2024Automated Market Making and Decentralized Finance. (2024). Monga, Marcello. In: Papers. RePEc:arx:papers:2407.16885.

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2024Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players. (2024). Chen, Yufan ; Zhang, Ruixun ; Xu, Renyuan ; Wu, Lan. In: Papers. RePEc:arx:papers:2408.09505.

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2024Betting Against (Bad) Beta. (2024). Herculano, Miguel C. In: Papers. RePEc:arx:papers:2409.00416.

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2024Optimal position-building strategies in competition. (2024). Chriss, Neil A. In: Papers. RePEc:arx:papers:2409.03586.

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2024Competitive equilibria in trading. (2024). Chriss, Neil A. In: Papers. RePEc:arx:papers:2410.13583.

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2025Optimal Execution among $N$ Traders with Transient Price Impact. (2025). Campbell, Steven ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2501.09638.

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2026In-Context Operator Learning for Linear Propagator Models. (2025). Farolfi, Giulio ; Detering, Nils ; Voss, Moritz ; Meng, Tingwei ; Menz, Georg ; Osher, Stanley. In: Papers. RePEc:arx:papers:2501.15106.

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2025To Hedge or Not to Hedge: Optimal Strategies for Stochastic Trade Flow Management. (2025). Gu, Olivier ; Bergault, Philippe ; Bodor, Hamza. In: Papers. RePEc:arx:papers:2503.02496.

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2025Fredholm Approach to Nonlinear Propagator Models. (2025). Tuschmann, Sturmius ; Neuman, Eyal ; de Carvalho, Nathan ; Bondi, Alessandro ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2503.04323.

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2025Multi-asset optimal trade execution with stochastic cross-effects: An Obizhaeva-Wang-type framework. (2025). Ackermann, Julia ; Kruse, Thomas ; Urusov, Mikhail. In: Papers. RePEc:arx:papers:2503.05594.

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2025Randomization in Optimal Execution Games. (2025). Campbell, Steven ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2503.08833.

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2025The effect of latency on optimal order execution policy. (2025). Smith, Paul ; Saggese, Giacinto Paolo ; Ma, Chutian. In: Papers. RePEc:arx:papers:2504.00846.

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2025Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact. (2025). Karbach, Sven ; Chatziandreou, Konstantinos. In: Papers. RePEc:arx:papers:2504.10282.

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2025FlowOE: Imitation Learning with Flow Policy from Ensemble RL Experts for Optimal Execution under Heston Volatility and Concave Market Impacts. (2025). Li, Yang ; Chen, Zhi. In: Papers. RePEc:arx:papers:2506.05755.

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2025Stochastic portfolio theory with price impact. (2025). Itkin, David. In: Papers. RePEc:arx:papers:2506.07993.

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2025Functionally Generated Portfolios Under Stochastic Transaction Costs: Theory and Empirical Evidence. (2025). Karimi, Nader ; Salavati, Erfan. In: Papers. RePEc:arx:papers:2507.09196.

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2025Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility. (2025). Chan, Patrick ; Zimbidis, Iosif ; Sircar, Ronnie. In: Papers. RePEc:arx:papers:2507.17162.

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2025Returns and Order Flow Imbalances: Intraday Dynamics and Macroeconomic News Effects. (2025). Takahashi, Makoto. In: Papers. RePEc:arx:papers:2508.06788.

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2025Regulation or Competition:Major-Minor Optimal Liquidation across Dark and Lit Pools. (2025). Mastrolia, Thibaut ; Wang, Hao. In: Papers. RePEc:arx:papers:2509.03916.

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2025FR-LUX: Friction-Aware, Regime-Conditioned Policy Optimization for Implementable Portfolio Management. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.02986.

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2025Tail-Safe Hedging: Explainable Risk-Sensitive Reinforcement Learning with a White-Box CBF--QP Safety Layer in Arbitrage-Free Markets. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.04555.

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2025Nonparametric Estimation of Self- and Cross-Impact. (2025). Tuschmann, Sturmius ; Neuman, Eyal ; Hey, Natascha. In: Papers. RePEc:arx:papers:2510.06879.

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2025Tail-Safe Stochastic-Control SPX-VIX Hedging: A White-Box Bridge Between AI Sensitivities and Arbitrage-Free Market Dynamics. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.15937.

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2025The Omniscient, yet Lazy, Investor. (2025). , Stanislaw. In: Papers. RePEc:arx:papers:2510.24467.

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2025ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Endogenous Price Formation and Execution in a Limit Order Book. (2025). Cheridito, Patrick ; Wu, Zhexin ; Dupret, Jean-Loup. In: Papers. RePEc:arx:papers:2511.02016.

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2026Asian option valuation under price impact. (2026). Majumdar, Sourav ; Tiwari, Priyanshu. In: Papers. RePEc:arx:papers:2512.07154.

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2026Trading with market resistance and concave price impact. (2026). Chahdi, Youssef Ouazzani ; de Carvalho, Nathan ; Szymanski, Gr'Egoire. In: Papers. RePEc:arx:papers:2601.03215.

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2026Optimal execution on Uniswap v2/v3 under transient price impact. (2026). Challet, Damien ; Toke, Ioane Muni ; Baude, Bastien. In: Papers. RePEc:arx:papers:2601.03799.

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2026Market Making and Transient Impact in Spot FX. (2026). Barzykin, Alexander. In: Papers. RePEc:arx:papers:2601.13421.

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2025Ethereums Merge: Market liquidity, efficiency and volatility in the Proof of Stake Era. (2025). Suardi, Sandy ; Xu, Caihong ; Liu, Bin ; Prodromou, Tina. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176525000394.

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2025On the performance of volatility-managed equity factors — International and further evidence. (2025). Schwarz, Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s092753982400094x.

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2025Do financial markets value corporate culture?. (2025). Nguyen, Harvey ; Tran, Thanh ; Pham, Mia Hang. In: International Review of Financial Analysis. RePEc:eee:finana:v:98:y:2025:i:c:s1057521924007555.

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2024Execution uncertainty of dark pools and portfolio balance. (2024). Sun, Xuchu ; Li, Tangrong ; Zhu, Jianchang. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003064.

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2025(In)Frequently traded corporate bonds and pricing implications of liquidity dry-ups. (2025). Ivashchenko, Alexey. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s154461232500145x.

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2024Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program. (2024). Lin, Tse-Chun ; Deng, Mengdie ; Zhou, Jiayu. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s138641812300068x.

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2025Stress testing OTC derivatives: Clearing reforms and market frictions. (2025). Casu, Barbara ; Katsoulis, Petros ; Kalotychou, Elena. In: Journal of Financial Stability. RePEc:eee:finsta:v:77:y:2025:i:c:s1572308925000178.

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2024New insights into liquidity resiliency. (2024). Wafula, Ronald ; Papavassiliou, Vassilios ; Boubaker, Sabri ; Osullivan, Conall. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001609.

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2024Siphoned apart: A portfolio perspective on order flow segmentation. (2024). Baldauf, Markus ; Mollner, Joshua ; Yueshen, Bart Zhou. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x24000308.

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2024Importance of transaction costs for asset allocation in foreign exchange markets. (2024). Taylor, Mark ; Maurer, Thomas A ; Pezzo, Luca ; Filippou, Ilias. In: Journal of Financial Economics. RePEc:eee:jfinec:v:159:y:2024:i:c:s0304405x24001090.

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2024Block trade contracting. (2024). Baldauf, Markus ; Mollner, Joshua ; Frei, Christoph. In: Journal of Financial Economics. RePEc:eee:jfinec:v:160:y:2024:i:c:s0304405x24001247.

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2025Machine learning from a “Universe” of signals: The role of feature engineering. (2025). Zheng, Lingling ; Li, Bin ; Rossi, Alberto G ; Yan, Xuemin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:172:y:2025:i:c:s0304405x25001461.

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2024A simple learning agent interacting with an agent-based market model. (2024). Gebbie, Tim ; Dicks, Matthew ; Paskaramoorthy, Andrew. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:633:y:2024:i:c:s0378437123009184.

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2024Local stock liquidity and local factors: Fresh evidence from US firms across states. (2024). Ghosh Dastidar, Sayantan ; Apergis, Nicholas. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002386.

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2025Order Book Liquidity on Crypto Exchanges. (2025). Hanke, Michael ; Gramlich, Marius ; Angerer, Martin. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:3:p:124-:d:1601444.

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2024The Effects of the Introduction of Volume-Based Liquidity Constraints in Portfolio Optimization with Alternative Investments. (2024). Funari, Stefania ; Basso, Antonella ; Visentin, Guglielmo Alessandro ; Barro, Diana. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:15:p:2424-:d:1449736.

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2025Deep Learning Strategies for Intraday Optimal Carbon Options Trading with Price Impact Considerations. (2025). Lai, Qianhui ; Yang, Qiang. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1035-:d:1618273.

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2024New Insights into Liquidity Resiliency. (2024). Wafula, Ronald ; Papavassiliou, Vassilios ; Boubaker, Sabri ; O'Sullivan, Conall. In: Post-Print. RePEc:hal:journl:hal-04432411.

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2025Factor Investing with Delays. (2025). Robotti, Cesare ; Nozawa, Yoshio ; Dickerson, Alexander. In: Discussion Paper Series. RePEc:hit:hituec:771.

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2024High-Frequency Financial Market Simulation and Flash Crash Scenarios Analysis: An Agent-Based Modelling Approach. (2024). Weston, Stephen ; Vytelingum, Perukrishnen ; Gao, Kang ; Guo, CE ; Luk, Wayne. In: Journal of Artificial Societies and Social Simulation. RePEc:jas:jasssj:2022-169-3.

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2024A Time-Dependent Markovian Model of a Limit Order Book. (2024). Chavez, Jonathan A. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:2:d:10.1007_s10614-023-10356-9.

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2024Constructing Optimal Portfolio Rebalancing Strategies with a Two-Stage Multiresolution-Grid Model. (2024). Wu, Mu-En ; Yang, Dong-Yuh ; Sun, You-Jia ; Chen, Bo-Jen ; Dai, Tian-Shyr. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-024-10555-y.

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2024Size Discount and Size Penalty: Trading Costs in Bond Markets. (2024). Pinter, Gabor ; Zou, Junyuan ; Wang, Chaojun. In: The Review of Financial Studies. RePEc:oup:rfinst:v:37:y:2024:i:7:p:2156-2190..

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2024A Mean-Field Game of Market Entry. (2024). Horst, Ulrich ; Hager, Paul ; Fu, Guanxing. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:517.

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2024The Noise is in The Mind: Existence of Trading Equilibria with Transparent Prices. (2024). Ostrizek, Franz ; Sartori, Elia. In: CSEF Working Papers. RePEc:sef:csefwp:730.

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2024Investor attention and cryptocurrency market liquidity: a double-edged sword. (2024). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Li, Tong ; Yao, Shouyu. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04915-w.

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2024Self-exciting price impact via negative resilience in stochastic order books. (2024). Ackermann, Julia ; Urusov, Mikhail ; Kruse, Thomas. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04973-0.

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2024Instabilities in multi-asset and multi-agent market impact games. (2024). Lillo, Fabrizio ; Cordoni, Francesco. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05066-8.

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2024Optimal order execution under price impact: a hybrid model. (2024). Giacinto, Marina ; Wang, Tai-Ho ; Tebaldi, Claudio. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05082-8.

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2024Optimal trade execution in cryptocurrency markets. (2024). Bundi, Nils ; Khashanah, Khaldoun ; Wei, Ching-Lin. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:2:d:10.1007_s42521-023-00103-y.

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2024On the robust drivers of cryptocurrency liquidity: the case of Bitcoin. (2024). , Walid. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00598-9.

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2024Optimal liquidation using extended trading close for multiple trading days. (2024). Zhu, Jianchang ; Sun, Xuchu ; Zhang, Leilei. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00613-7.

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2024Hedging with physical or cash settlement under transient multiplicative price impact. (2024). Bilarev, Todor ; Becherer, Dirk. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:2:d:10.1007_s00780-024-00531-7.

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2024Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies. (2024). Horst, Ulrich ; Kivman, Evgueni. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:3:d:10.1007_s00780-024-00536-2.

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2024Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems. (2024). Kruse, Thomas ; Urusov, Mikhail ; Ackermann, Julia. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:3:d:10.1007_s00780-024-00537-1.

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2025Causality Nexus Between Volatility, Liquidity and Foreign Ownership: Evidence from Borsa Istanbul. (2025). Benturk, Mehmet. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:23:y:2025:i:3:d:10.1007_s40953-025-00446-w.

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2024Informational inefficiency on bitcoin futures. (2024). Wu, Yingying ; Shi, Shimeng ; Zhai, Jia. In: The European Journal of Finance. RePEc:taf:eurjfi:v:30:y:2024:i:6:p:642-667.

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2024Futures trading costs and market microstructure invariance: Identifying bet activity. (2024). Norden, Lars L ; Xu, Caihong ; Hou, Ai Jun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:6:p:901-922.

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2025Real‐Time Tracking of Public Announcements in the Limit Order Book. (2025). Daniels, Justin ; Frank, Julieta ; Arzandeh, Mehdi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:6:p:569-599.

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Works by Anna Obizhaeva:

YearTitleTypeCited
2016Smooth Trading with Overconfidence and Market Power In: Working Papers.
[Full Text][Citation analysis]		paper26
2016Smooth Trading with Overconfidence and Market Power.(2016) In: Working Papers.
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This paper has nother version. Agregated cites: 26		paper
2018Smooth Trading with Overconfidence and Market Power.(2018) In: The Review of Economic Studies.
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This paper has nother version. Agregated cites: 26		article
2016Large Bets and Stock Market Crashes In: Working Papers.
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2020Large Bets and Stock Market Crashes.(2020) In: Working Papers.
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This paper has nother version. Agregated cites: 8		paper
2016Large Bets and Stock Market Crashes.(2016) In: Working Papers.
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This paper has nother version. Agregated cites: 8		paper
2016Market Microstructure Invariance: A Dynamic Equilibrium Model In: Working Papers.
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2020Market Microstructure Invariance: A Dynamic Equilibrium Model.(2020) In: Working Papers.
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This paper has nother version. Agregated cites: 3		paper
2016Market Microstructure Invariance: A Dynamic Equilibrium Model.(2016) In: Working Papers.
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This paper has nother version. Agregated cites: 3		paper
2016Intraday Trading Invariance in the E-mini S&P 500 Futures Market In: Working Papers.
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2016Intraday Trading Invariance in the E-mini S&P 500 Futures Market.(2016) In: Working Papers.
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This paper has nother version. Agregated cites: 13		paper
2016Microstructure Invariance in U.S. Stock Market Trades In: Working Papers.
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2016Microstructure Invariance in U.S. Stock Market Trades.(2016) In: Working Papers.
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This paper has nother version. Agregated cites: 1		paper
2016Microstructure Invariance in U.S. Stock Market Trades.(2016) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 1		paper
2016Beliefs Aggregation and Return Predictability In: Working Papers.
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2016Beliefs Aggregation and Return Predictability.(2016) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2016Invariance of buy-sell switching points In: Working Papers.
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2016Invariance of buy-sell switching points.(2016) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2017News Articles and Equity Trading In: Working Papers.
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2017News Articles and Equity Trading.(2017) In: Working Papers.
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This paper has nother version. Agregated cites: 1		paper
2017Dimensional Analysis and Market Microstructure Invariance In: Working Papers.
[Full Text][Citation analysis]		paper7
2017Dimensional Analysis and Market Microstructure Invariance.(2017) In: Working Papers.
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This paper has nother version. Agregated cites: 7		paper
2020Adverse Selection and Liquidity: From Theory to Practice In: Working Papers.
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2009Portfolio Transitions and Stock Price Dynamics In: Working Papers.
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2007Liquidity Estimates and Selection Bias In: Working Papers.
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2013Optimal trading strategy and supply/demand dynamics In: Journal of Financial Markets.
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2005Optimal Trading Strategy and Supply/Demand Dynamics.(2005) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 319		paper
2016The Russian ruble crisis of December 2014 In: Voprosy Ekonomiki.
[Citation analysis]		article2
2016Market Microstructure Invariance: Empirical Hypotheses In: Econometrica.
[Full Text][Citation analysis]		article61

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