Bid and ask sizes at the top of the order book provide information on short-term price moves. Drawing from classical descriptions of the order book in terms of queues and order-arrival rates (Smith et al (2003)), we consider a diffusion model for the evolution of the best bid/ask queues. We...

We consider an asset liquidation problem at the market microstructure level, where we use limit order book information to construct a measure of the instantaneous supply and demand imbalance in the market. In this context, it is optimal to submit sell orders when this imbalance is low,...

We propose a risk neutral approach to forecast the cashflows of music catalogs, based on historical revenue data. We use a discounted cashflows formula to produce reasonable ranges of multipliers for these assets, based on the age of the catalog, the last-twelve-months revenue and the duration...

We formulate a trade execution problem at the market microstructure level and solve it using dynamic programming. The objective is to sell a single lot of an asset in a short time horizon T, using the imbalance of the top of book bid and ask sizes as a price predictor. The optimization problem...