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Austin Gerig
Austin Gerig
Financial Economist, U.S. Securites and Exchange Commission
Verified email at sec.gov - Homepage
Title
Cited by
Cited by
Year
Market impact and trading profile of hidden orders in stock markets
E Moro, J Vicente, LG Moyano, A Gerig, JD Farmer, G Vaglica, F Lillo, ...
Physical Review E 80 (6), 066102, 2009
2012009
How efficiency shapes market impact
JD Farmer, A Gerig, F Lillo, H Waelbroeck
Quantitative Finance Papers, 2011
1122011
Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?
JD Farmer, A Gerig, F Lillo, S Mike
Quantitative Finance 6 (02), 107-112, 2006
1052006
High-frequency trading synchronizes prices in financial markets
A Gerig
arXiv preprint arXiv:1211.1919, 2012
672012
A theory for market impact: How order flow affects stock price
A Gerig
arXiv preprint arXiv:0804.3818, 2008
482008
Model for non-Gaussian intraday stock returns
A Gerig, J Vicente, MA Fuentes
Physical Review E 80 (6), 065102, 2009
472009
Universal behavior of extreme price movements in stock markets
MA Fuentes, A Gerig, J Vicente
PLoS One 4 (12), e8243, 2009
272009
Too fast or too slow? Determining the optimal speed of financial markets
D Fricke, A Gerig
Quantitative Finance 18 (4), 519-532, 2018
212018
Automated liquidity provision
A Gerig, D Michayluk
Pacific-Basin Finance Journal 45, 1-13, 2017
202017
Automated liquidity provision and the demise of traditional market making
A Gerig, D Michayluk
arXiv preprint arXiv:1007.2352, 2010
182010
Simulating the synchronizing behavior of high-frequency trading in multiple markets
B Myers, A Gerig
Financial econometrics and empirical market microstructure, 207-213, 2015
122015
Universal doomsday: analyzing our prospects for survival
A Gerig, KD Olum, A Vilenkin
Journal of cosmology and astroparticle physics 2013 (05), 013, 2013
82013
Too fast or too slow
D Fricke, A Gerig
Determining the optimal speed of financial markets, 2015
52015
A new approach to understanding the market impact of large trading orders
JD Farmer, A Gerig, F Lillo, H Waelbroeck
Preprint, 2008
42008
Chaos in a one-dimensional compressible flow
A Gerig, A Hübler
Physical Review E 75 (4), 045202, 2007
42007
Universal laws and economic phenomena
A Gerig
Complexity, 2010
32010
The Doomsday Argument in Many Worlds
A Gerig
arXiv preprint arXiv:1209.6251, 2012
22012
How prices respond to worked orders
A Gerig, JD Farmer, F Lillo
Working paper, 2011
22011
Liquidity risk, speculative trade, and the optimal latency of financial markets
D Fricke, A Gerig
Kiel und Hamburg: ZBW-Deutsche Zentralbibliothek für …, 2014
12014
A stochastic feedback model for volatility
R Golan, A Gerig
arXiv preprint arXiv:1306.4975, 2013
12013
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