Anna Obizhaeva : Citation Profile

New Economic School (NES)

6

H index

4

i10 index

448

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: 85.    Total self citations: 9 (1.97 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pob57
   Updated: 2026-05-02    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)

Onur, Esen (4)

Dumas, Bernard (4)

Schöneborn, Torsten (4)

Pastor, Lubos (4)

Anthropelos, Michail (4)

Stambaugh, Robert (4)

LEHALLE, Charles-Albert (4)

Pinna, Andrea (3)

Cites to:

Madhavan, Ananth (11)

Keim, Donald (9)

Foucault, Thierry (8)

Vayanos, Dimitri (6)

Clark, Peter (4)

Reinhart, Carmen (3)

Viswanathan, S (3)

Dugast, Jérôme (3)

Shiller, Robert (3)

Fama, Eugene (3)

Rogoff, Kenneth (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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2026Multi-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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2026Stochastic 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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2026A unified theory of order flow, market impact, and volatility. (2026). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Chahdi, Youssef Ouazzani ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:2601.23172.

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2026Partially Active Automated Market Makers. (2026). Ko, Sunghun. In: Papers. RePEc:arx:papers:2602.09887.

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2026Slippage-at-Risk (SaR): A Forward-Looking Liquidity Risk Framework for Perpetual Futures Exchanges. (2026). Sepper, Otar. In: Papers. RePEc:arx:papers:2603.09164.

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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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2025Internationalization: The impact of commodity futures market expansion on market quality. (2025). Rajvanshi, Vivek ; Sahoo, Gouri Sankar ; Bansal, Avijit. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:94:y:2025:i:c:s0927538x25002719.

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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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2025Trading Strategy Model Based on Dynamic Programming. (2025). Zhang, Xuande ; Yang, Wenjie. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:6:d:10.1007_s10614-025-10871-x.

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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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2025Nonlinear intraday trading invariance in the Russian stock market. (2025). Teplova, Tamara ; Gurov, Sergei. In: Annals of Operations Research. RePEc:spr:annopr:v:352:y:2025:i:3:d:10.1007_s10479-022-04683-7.

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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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2025Long time behavior of optimal liquidation problems with semimartingale strategies and external flows. (2025). Cheng, Xinman ; Xia, Xiaonyu ; Fu, Guanxing. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:3:d:10.1007_s11579-025-00390-6.

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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.
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2016Smooth Trading with Overconfidence and Market Power.(2016) In: Working Papers.
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This paper has nother version. Agregated cites: 25		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: 25		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: 7		paper
2016Large Bets and Stock Market Crashes.(2016) In: Working Papers.
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This paper has nother version. Agregated cites: 7		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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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.
[Full Text][Citation analysis]		paper0
2016Invariance of buy-sell switching points.(2016) In: Working Papers.
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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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2017Dimensional Analysis and Market Microstructure Invariance In: Working Papers.
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2017Dimensional Analysis and Market Microstructure Invariance.(2017) In: Working Papers.
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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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2016The Russian ruble crisis of December 2014 In: Voprosy Ekonomiki.
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2016Market Microstructure Invariance: Empirical Hypotheses In: Econometrica.
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