Mikhail Urusov

University of Ulm - Department of Mathematics and Economics

Helmholzstrasse

Ulm, D-89081

Germany

SCHOLARLY PAPERS

3

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331

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Top 38,508

in Total Papers Citations

6

CROSSREF CITATIONS

14

Scholarly Papers (3)

Optimal Trade Execution and Price Manipulation in Order Books with Time-Varying Liquidity

Number of pages: 40 Posted: 12 Sep 2011 Last Revised: 09 Dec 2015
Antje Fruth, Torsten Schoeneborn and Mikhail Urusov
Technical University Berlin, AHL (Man Investments) and University of Ulm - Department of Mathematics and Economics
Downloads 235 (159,869)
Citation 2

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Market impact model, optimal order execution, limit order book, resilience, time-varying liquidity, price manipulation, transaction-triggered price manipulation

Optimal Trade Execution and Price Manipulation in Order Books with Time‐Varying Liquidity

Mathematical Finance, Vol. 24, Issue 4, pp. 651-695, 2014
Number of pages: 45 Posted: 24 Sep 2014
Antje Fruth, Torsten Schöneborn and Mikhail Urusov
Technical University Berlin, Deutsche Bank AG and University of Ulm - Department of Mathematics and Economics
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Citation 3
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market impact model, optimal order execution, limit order book, resilience, time‐varying liquidity, price manipulation, transaction‐triggered price manipulation

2.

A Note on Delta Hedging in Markets with Jumps

Number of pages: 16 Posted: 26 Mar 2011
Aleksandar Mijatovic and Mikhail Urusov
Imperial College London and University of Ulm - Department of Mathematics and Economics
Downloads 95 (333,190)

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Delta hedging, Black-Merton-Scholes model, models with jumps

3.

Optimal Trade Execution in Order Books with Stochastic Liquidity

Mathematical Finance, Vol. 29, Issue 2, pp. 507-541, 2019
Number of pages: 35 Posted: 13 Mar 2019
Antje Fruth, Torsten Schöneborn and Mikhail Urusov
Technical University Berlin, Deutsche Bank AG and University of Ulm - Department of Mathematics and Economics
Downloads 1 (778,463)
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limit order book, market impact model, optimal order execution, profitable round trip trading strategies, resilience, stochastic order book depth, time‐varying liquidity