Downloaded By: [Mt Sinai School of Medicine, Levy Library] At: 23:19 28 AprilQuantitative Finance, Vol. 8, No. 3, April 2008, 217–224 High-frequency trading in a limit order book MARCO AVELLANEDA and SASHA STOIK

Source URL: www.finance-concepts.com

• Stock market
• Mathematical finance
• Operations research
• Icelandic language
• Thorn
• Order
• Indifference price
• Bid–offer spread
• Inventory
• Business
• Economics
• Financial markets

High-frequency trading in a limit order book Marco Avellaneda & Sasha Stoikov April 24, 2006 Abstract We study a stock dealer’s strategy for submitting bid and ask quotes in a limit order book. The agent faces an inven

Source URL: www.cims.nyu.edu

• Mathematical finance
• Stock market
• Operations research
• Indifference price
• Pricing
• Order
• Bid–offer spread
• Monopoly
• Ask price
• Business
• Economics
• Financial markets

Microsoft Word - DC_en_Avellaneda_-_LOKA_2006.doc

Source URL: www.loka.org

Adaptive Greedy Approximations1 Georey Davis Mathematics Department, Dartmouth College Hanover, NHStephane Mallat, Marco Avellaneda

Source URL: www.geoffdavis.net

• NP-complete problems
• Complexity classes
• Combinatorial optimization
• Approximation algorithm
• NP
• Set cover problem
• Reduction
• Matching pursuit
• Matching
• Theoretical computer science
• Computational complexity theory
• Applied mathematics

GALA POR EL ANIVERSARIO 70 DE LA UNESCO Tula Ballet en dos actos inspirado en la vida y la obra de Gertrudis Gómez de Avellaneda[removed])

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Review of the OTC Clear Risk-Management Policies for Interest Rate Swaps and Non-Deliverable Forwards: EXECUTIVE SUMMARY Marco AVELLANEDA & Rama CONT

Source URL: www.hkex.com.hk

• Financial system
• Derivative
• Futures contract
• Repurchase agreement
• Market liquidity
• Swap
• Margin
• Collateral management
• LCH.Clearnet
• Financial economics
• Finance
• Financial markets

[removed]EDITORA E IMPRESORA LA CIUDAD S A IVA RESPONSABLE INSCRIPTO LAMADRID 125 AVELLANEDA (C.P[removed]BUENOS AIRES

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Statistical Arbitrage in the U.S. Equities Market Marco Avellaneda∗† and Jeong-Hyun Lee∗ First draft: July 11, 2008 This version: June 15, 2009 Abstract

Source URL: www.math.nyu.edu

• Statistics
• Mathematical finance
• Financial markets
• Data analysis
• Singular value decomposition
• Statistical arbitrage
• Exchange-traded fund
• Beta
• Principal component analysis
• Financial economics
• Investment
• Finance

CONSTANCIA DE ALUMNO REGULAR Instituto Victoria Ocampo,Distrito Avellaneda Se hace constar que …………………………………………………………………...

Source URL: www.institutovictoriaocampo.com

Algorithmic and High-frequency trading: an overview Marco Avellaneda New York University & Finance Concepts LLC Quant Congress USA 2011

Source URL: www.math.nyu.edu

• Finance
• Investment
• Dark liquidity
• Algorithmic trading
• Direct market access
• High-frequency trading
• Order
• Slippage
• Trading room
• Financial economics
• Financial markets
• Stock market