Austin Gerig
Personal Details
First Name: | Austin |
Middle Name: | |
Last Name: | Gerig |
Suffix: | |
RePEc Short-ID: | pge162 |
[This author has chosen not to make the email address public] | |
Affiliation
Saïd Business School
Oxford University
Oxford, United Kingdomhttp://www.sbs.ox.ac.uk/
RePEc:edi:sbsoxuk (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Raoul Golan & Austin Gerig, 2013. "A Stochastic Feedback Model for Volatility," Papers 1306.4975, arXiv.org, revised Nov 2013.
- Benjamin Myers & Austin Gerig, 2013. "Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets," Papers 1311.4160, arXiv.org.
- Austin Gerig, 2012. "High-Frequency Trading Synchronizes Prices in Financial Markets," Papers 1211.1919, arXiv.org.
- J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck, 2011.
"How efficiency shapes market impact,"
Papers
1102.5457, arXiv.org, revised Sep 2013.
- J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck, 2013. "How efficiency shapes market impact," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1743-1758, November.
- Austin Gerig & David Michayluk, 2010.
"Automated Liquidity Provision and the Demise of Traditional Market Making,"
Papers
1007.2352, arXiv.org.
- Austin Gerig & David Michayluk, 2014. "Automated Liquidity Provision," Research Paper Series 345, Quantitative Finance Research Centre, University of Technology, Sydney.
- Austin Gerig, 2010. "Universal Laws and Economic Phenomena," Papers 1002.0377, arXiv.org, revised Jul 2010.
- Austin Gerig & Javier Vicente & Miguel A. Fuentes, 2009. "Model for Non-Gaussian Intraday Stock Returns," Papers 0906.3841, arXiv.org, revised Dec 2009.
- Miguel A. Fuentes & Austin Gerig & Javier Vicente, 2009. "Universal Behavior of Extreme Price Movements in Stock Markets," Papers 0912.5448, arXiv.org.
- Esteban Moro & Javier Vicente & Luis G. Moyano & Austin Gerig & J. Doyne Farmer & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna, 2009. "Market impact and trading profile of large trading orders in stock markets," Papers 0908.0202, arXiv.org.
- Austin Gerig, 2008. "A Theory for Market Impact: How Order Flow Affects Stock Price," Papers 0804.3818, arXiv.org, revised Jul 2008.
- J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Szabolcs Mike, 2006.
"Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?,"
Papers
physics/0602015, arXiv.org.
- J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Szabolcs Mike, 2006. "Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 107-112.
Articles
- J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Szabolcs Mike, 2006.
"Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?,"
Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 107-112.
- J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Szabolcs Mike, 2006. "Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?," Papers physics/0602015, arXiv.org.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 9 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-MST: Market Microstructure (6) 2009-09-26 2009-09-26 2010-07-24 2011-03-12 2012-11-17 2013-11-22. Author is listed
- NEP-FMK: Financial Markets (4) 2009-09-26 2010-01-16 2012-11-17 2013-11-22
- NEP-ECM: Econometrics (1) 2013-06-24
- NEP-ETS: Econometric Time Series (1) 2013-06-24
- NEP-HPE: History and Philosophy of Economics (1) 2010-02-13
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.
To update listings or check citations waiting for approval, Austin Gerig should log into the RePEc Author Service.
To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.
To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.
Please note that most corrections can take a couple of weeks to filter through the various RePEc services.