Items where Author is "Lajbcygier, Paul"
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Journal Article
Pham, Manh and Anderson, Heather and Lajbcygier, Paul and Duong, Huu Nhan (2020) The effects of trade size and market depth on immediate price impact in a limit order book market. Journal of Economic Dynamics and Control, 120: 103992. ISSN 0165-1889
Pham, Manh Cuong and Duong, Huu Nhan and Lajbcygier, Paul (2017) A comparison of the forecasting ability of immediate price impact models. Journal of Forecasting, 36 (8). pp. 898-918. ISSN 0277-6693