Publications - Stephane Galzin

Publications

Journal Articles and Publications

P. Besson, S. Galzin, S. Pelin, M. Lasnier, 2013. Portfolio Liquidity Risk Measures Based on our Market Impact Model. Kepler Cheuvreux.

Selected Other Works

S. Galzin, 2017. Estimation of a Limit-Order-Book Model

S. Galzin, 2012. Limit Order Book Simulation: From "Zero-Intelligence" To High-Frequency Statistical Arbitrage

S. Galzin, 2011. Quasi-maximum likelihood estimation of volatility with high frequency data - Dacheng Xiu