The non-linear market impact of large trades: Evidence from buy-side order flow
N Bershova, D Rakhlin - Quantitative finance, 2013 - Taylor & Francis
… Our methodology the determine values T d (T) is described below; however, we noticed
that for all buckets in sufficiently wide range of assumed T d (T), the impact relaxation series is …
that for all buckets in sufficiently wide range of assumed T d (T), the impact relaxation series is …
Psychometric properties of a Russian version of the SF-12 Health Survey in a refugee population
…, BH McFarland, JD Kinzie, L Bresler, D Rakhlin… - Comprehensive …, 2005 - Elsevier
This project examined psychometric properties of a Russian translation of the 12-item Short-Form
health survey questionnaire (SF-12) to assess physical and mental health status in …
health survey questionnaire (SF-12) to assess physical and mental health status in …
High-frequency trading and long-term investors: a view from the buy-side
N Bershova, D Rakhlin - Journal of Investment Strategies, 2013 - papers.ssrn.com
With the proliferation of high-frequency trading (HFT), understanding the effects of HFT on
market quality and the opportunities that HFT creates for long-term (LT) investors is important …
market quality and the opportunities that HFT creates for long-term (LT) investors is important …
Psychological distress among recent Russian immigrants in the United States
…, JD Kinzie, L Bresler, D Rakhlin… - … Journal of Social …, 2006 - journals.sagepub.com
Background: The purpose of this study was to examine the psychological status of Russian
immigrants who have recently come to the United States. Aims: The project included creation …
immigrants who have recently come to the United States. Aims: The project included creation …
[PDF][PDF] Adverse selection vs. opportunistic savings in Dark Aggregators
S Altunata, D Rakhlin, H Waelbroeck - The Journal of Trading, 2010 - researchgate.net
In the last few years we have seen an explosion in the number of small-order dark pools,
leading to much talk about fragmentation. In fact this concern is misplaced: liquidity pools are …
leading to much talk about fragmentation. In fact this concern is misplaced: liquidity pools are …
Are abused women mentally ill?
BA May, D Rakhlin, A Katz… - Journal of psychosocial …, 2003 - journals.healio.com
A secondary data analysis study was conducted on Derogatis Brief Symptom Inventory (BSI)
data derived from a larger intervention study of community-based abused women (N = 50). …
data derived from a larger intervention study of community-based abused women (N = 50). …
Enhanced diffusion in smoothly modulated superlattices
DA Rakhlin - Physical Review E, 2000 - APS
We investigate a superdiffusive behavior found in a quasiclassical model of a square-planar
superlattice subjected to a perpendicular magnetic field. It is shown that certain accelerated …
superlattice subjected to a perpendicular magnetic field. It is shown that certain accelerated …
Implementing a smart beta index: The implications of a dual performance objective and limited liquidity
AW Alford, DA Rakhlin - Journal of Portfolio Management, 2017 - search.proquest.com
… impact are lower for sampling than they are for full replication (A versus C and B versus D). …
implemented via sampling and patient trading (C and D, respectively). The chart also shows …
implemented via sampling and patient trading (C and D, respectively). The chart also shows …
The impact of an increase in volatility on trading costs
D Rakhlin, G Sofianos - The Journal of Trading, 2006 - pm-research.com
The current low volatility environment keeps trading costs low. But what if volatility increases?
In this paper, we discuss how an increase in volatility will affect execution strategies and …
In this paper, we discuss how an increase in volatility will affect execution strategies and …
Size-independent sample complexity of neural networks
N Golowich, A Rakhlin… - Conference On Learning …, 2018 - proceedings.mlr.press
… For example, for networks with d layers, where each layer j has a parameter matrix with …
of the layers are bounded by MF (1),...,MF (d), we can further improve the result above to …
of the layers are bounded by MF (1),...,MF (d), we can further improve the result above to …