Pinboard (vivekarora) https://pinboard.in/u:vivekarora/public/ recent bookmarks from vivekarora Market Making and Mean Reversion 2018-03-19T00:29:12+00:00 https://www.cis.upenn.edu/~mkearns/papers/marketmaking.pdf vivekaroraMarket_Making MeanReversion Volatility Limit_Order_Model https://pinboard.in/ https://pinboard.in/u:vivekarora/b:cb5b67f533ed/ A Survey of High-Frequency Trading Strategies 2017-11-19T01:10:51+00:00 https://web.stanford.edu/class/msande448/2016/final/group5.pdf vivekaroraAlpha Simulation Microprice Machine_Learning Market_Making https://pinboard.in/ https://pinboard.in/u:vivekarora/b:fc3b236a8f60/ Optimal execution in a limit order book and an associated microstructure market impact model∗ 2016-01-28T21:51:52+00:00 https://www0.gsb.columbia.edu/faculty/cmaglaras/papers/Micro-MI-052015.pdf vivekaroraOptimal_Execution Limit_Order_Book Market_Making Queuing https://pinboard.in/ https://pinboard.in/u:vivekarora/b:89db701d9912/ Modeling Stock Order Flows and Learning Market-Making from Data 2012-02-21T00:11:41+00:00 http://www.cs.ucr.edu/~cshelton/papers/docs/orderflow_emm.pdf vivekaroraMarket_Making Prediction Reinforcement_Learning https://pinboard.in/ https://pinboard.in/u:vivekarora/b:dd046cf93da1/ Stochastic Control Theory and High Frequency Trading 2012-02-21T00:03:22+00:00 http://www.ieor.columbia.edu/pdf-files/Borden_D_FESeminar_Sp10.pdf vivekaroraMarket_Making Stochastic_Calculus High_Frequency Knight https://pinboard.in/ https://pinboard.in/u:vivekarora/b:05e89ed44639/ Electronic Market Making Potential Profits and Research Opportunities 2012-02-20T23:57:15+00:00 http://www.fields.utoronto.ca/programs/scientific/09-10/bachelier/talks/Wed/Toronto/Plenary_Pliska_S.pdf vivekaroraHigh_Frequency Market_Making Microprice Prediction Kalman_Filter https://pinboard.in/ https://pinboard.in/u:vivekarora/b:09007ada1e20/ Automated High Frequency Market Making 2011-09-07T12:37:59+00:00 http://orfe.princeton.edu/QuantTrading/pres/Princeton-Cushman-Mar2011.pdf vivekaroraAdverse High_Frequency Limit_Order_Model Market_Making https://pinboard.in/u:vivekarora/b:02532f57e73a/ Optimal High Frequency Trading with Limit and Market Orders 2011-07-27T01:13:19+00:00 http://arxiv.org/pdf/1106.5040v1.pdf vivekaroraHigh_Frequency Market_Making https://pinboard.in/u:vivekarora/b:ea12c862eddc/ OrderBook.pdf (application/pdf Object) 2009-10-19T01:58:44+00:00 http://www.stanford.edu/class/msande444/2008/OrderBook.pdf vivekaroraForecasting High_Frequency Market_Making https://pinboard.in/u:vivekarora/b:c74d51e1b28e/