Details about Austin Gerig

Access statistics for papers by Austin Gerig.

Last updated 2014-01-10. Update your information in the RePEc Author Service.

Short-id: pge162

Working Papers

2013

1. A Stochastic Feedback Model for Volatility
   Papers, arXiv.org
2. How efficiency shapes market impact
   Papers, arXiv.org View citations (53)
3. Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets
   Papers, arXiv.org View citations (1)

2012

4. High-Frequency Trading Synchronizes Prices in Financial Markets
   Papers, arXiv.org View citations (7)

2010

5. Automated Liquidity Provision and the Demise of Traditional Market Making
   Papers, arXiv.org View citations (5)
6. Universal Laws and Economic Phenomena
   Papers, arXiv.org View citations (1)

2009

7. Market impact and trading profile of large trading orders in stock markets
   Papers, arXiv.org View citations (62)
8. Model for Non-Gaussian Intraday Stock Returns
   Papers, arXiv.org View citations (15)
9. Universal Behavior of Extreme Price Movements in Stock Markets
   Papers, arXiv.org View citations (10)

2008

10. A Theory for Market Impact: How Order Flow Affects Stock Price
    Papers, arXiv.org View citations (18)

2006

11. Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?
    Papers, arXiv.org View citations (35)
    See also Journal Article 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 (2006) View citations (35) (2006)

Journal Articles

2006

1. Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
   Quantitative Finance, 2006, 6, (2), 107-112 View citations (35)
   See also Working Paper Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?, Papers (2006) View citations (35) (2006)