Personal Website:
+44 1865 270430
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Recent Books:
Algorithmic and High-Frequency Trading
ISBN-13: 9781107091146
(6 August 2015)
Recent Publications:
Algorithmic trading of co-integrated assets
International Journal of Theoretical and Applied Finance
issue 6
volume 19
(1 September 2016)
The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets
Econometric Reviews
issue 6
volume 35
page 929-950
(2 July 2016)
ALGORITHMIC TRADING with LEARNING
International Journal of Theoretical and Applied Finance
issue 4
volume 19
(1 June 2016)
Incorporating order-flow into optimal execution
Mathematics and Financial Economics
issue 3
volume 10
page 339-364
(1 June 2016)
A closed-form execution strategy to target volume weighted average price
SIAM Journal on Financial Mathematics
issue 1
volume 7
page 760-785
(1 January 2016)