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Austin Gerig

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This is information that was supplied by Austin Gerig in registering through RePEc. If you are Austin Gerig , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Austin
Middle Name:
Last Name: Gerig
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RePEc Short-ID: pge162

Email: [This author has chosen not to make the email address public]
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Affiliation

Saïd Business School
Oxford University
Location: Oxford, United Kingdom
Homepage: http://www.sbs.ox.ac.uk/
Email:
Phone: +44 (0)1865 288800
Fax: +44 (0)1865 288805
Postal: Park End Street, Oxford OX1 1HP UK
Handle: RePEc:edi:sbsoxuk (more details at EDIRC)

Works

as in new window

Working papers

  1. Benjamin Myers & Austin Gerig, 2013. "Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets," Papers 1311.4160, arXiv.org.
  2. Raoul Golan & Austin Gerig, 2013. "A Stochastic Feedback Model for Volatility," Papers 1306.4975, arXiv.org, revised Nov 2013.
  3. Austin Gerig, 2012. "High-Frequency Trading Synchronizes Prices in Financial Markets," Papers 1211.1919, arXiv.org.
  4. J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck, 2011. "How efficiency shapes market impact," Papers 1102.5457, arXiv.org, revised Sep 2013.
  5. Austin Gerig & David Michayluk, 2010. "Automated Liquidity Provision and the Demise of Traditional Market Making," Papers 1007.2352, arXiv.org.
  6. Austin Gerig, 2010. "Universal Laws and Economic Phenomena," Papers 1002.0377, arXiv.org, revised Jul 2010.
  7. 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.
  8. Miguel A. Fuentes & Austin Gerig & Javier Vicente, 2009. "Universal Behavior of Extreme Price Movements in Stock Markets," Papers 0912.5448, arXiv.org.
  9. Austin Gerig & Javier Vicente & Miguel A. Fuentes, 2009. "Model for Non-Gaussian Intraday Stock Returns," Papers 0906.3841, arXiv.org, revised Dec 2009.
  10. Austin Gerig, 2008. "A Theory for Market Impact: How Order Flow Affects Stock Price," Papers 0804.3818, arXiv.org, revised Jul 2008.
  11. 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.

Articles

  1. 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, Taylor & Francis Journals, vol. 6(2), pages 107-112.

NEP Fields

9 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (1) 2013-06-24
  2. NEP-ETS: Econometric Time Series (1) 2013-06-24
  3. NEP-FMK: Financial Markets (4) 2009-09-26 2010-01-16 2012-11-17 2013-11-22. Author is listed
  4. NEP-HPE: History & Philosophy of Economics (1) 2010-02-13
  5. 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

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