Arseniy Kukanov

Tower Research Capital, LLC

377 Broadway, 11th Floor

New York, NY 10013

United States

SCHOLARLY PAPERS

2

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SSRN CITATIONS
Rank 19,495

SSRN RANKINGS

Top 19,495

in Total Papers Citations

25

CROSSREF CITATIONS

27

Scholarly Papers (2)

1.

The Price Impact of Order Book Events

JOURNAL OF FINANCIAL ECONOMETRICS (Winter 2014) 12 (1): 47-88.
Number of pages: 32 Posted: 28 Nov 2010 Last Revised: 17 Sep 2015
Rama Cont, Arseniy Kukanov and Sasha Stoikov
University of Oxford, Tower Research Capital, LLC and Cornell Financial Engineering Manhattan
Downloads 5,399 (1,686)
Citation 47

Abstract:

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limit order book, market microstructure, liquidity, price impact, trading volume, equity markets, eletronic markets, high frequency data

2.

Optimal Order Placement in Limit Order Markets

Number of pages: 39 Posted: 02 Oct 2012 Last Revised: 23 Nov 2014
Rama Cont and Arseniy Kukanov
University of Oxford and Tower Research Capital, LLC
Downloads 1,763 (11,207)
Citation 10

Abstract:

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optimal order execution, market microstructure, optimal order placement, limit order market, order routing, fragmented market, stochastic approximation