Aurélien Alfonsi

Finance · 2007–2017

A researcher in the Science corpus: 4 papers; trusts 7 researchers and is trusted by 9 researchers here, as inferred from the citation graph.

Subfields

Whom Aurélien Alfonsi trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. Desmond John Higham
  2. Steffen Dereich
  3. Peter Bank
  4. Xuerong Mao
  5. Andreas Neuenkirch
  6. Andrew M. Stuart
  7. Lukasz Szpruch
  8. Robert Almgren
  9. Angelo Ranaldo
  10. Marc Potters

Who trusts Aurélien Alfonsi overall

  1. Rama Cont
  2. Huyen Pham
  3. Á. Cartea
  4. Beomsoo Park
  5. Efstathios Panayi
  6. Sebastian Jaimungal
  7. Benjamin Van Roy
  8. Sasha Stoikov
  9. Eduardo Abi Jaber
  10. Julio Backhoff-Veraguas

Papers from Aurélien Alfonsi's perspective

Ordered by how strongly the researchers Aurélien Alfonsi trusts endorse each paper. Same corpus, a different order for every researcher.

  1. Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations (SIAM Journal on Numerical Analysis)
  2. Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
  3. Optimal execution with nonlinear impact functions and trading-enhanced risk
  4. Order book approach to price impact
  5. More Statistical Properties of Order Books and Price Impact
  6. An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (Proceedings of the Royal Society A)
  7. Episodic Liquidity Crises: Cooperative and Predatory Trading
  8. Optimal execution for portfolio transactions
  9. Hedging and Portfolio Optimization in Financial Markets with a Large Trader
  10. Order aggressiveness in limit order book markets

Their papers