We revisit the trading invariance hypothesis recently proposed by Kyle, AS and Obizhaeva,
AA ['Market microstructure invariance: Empirical hypotheses.'Econometrica, 2016, 84 (4) …

In this paper we will study the approximation of some law-invariant risk measures. As a
starting point, we approximate the average value at risk using stochastic gradient Langevin …

This paper presents a theory where prices are formed in a purely mechanical manner
through trading. The theory consists of three fundamental propositions. First, the quantity …

On February 5, 2018, the S&P 500 stock index plunged by roughly 4 percent, and the VIX
index moved up most in a single day in the 25 years of index history. The XIV, the …

This special issue is devoted to state-of-the-art contributions that combine optimization and
probability theory in an innovative way. In particular, since the notion of risk is inherently …

Advances in technology have deeply changed the way how securities are traded. The
introduction of new technologies has enabled exchanges to automate the majority of their …

Consider an agent who intends to buy/sell a large amount (“meta-order” or “bet”) of some
fixed stock. This bet will–ceteris paribus–move the market price to the disadvantage of the …