Adaptive arrival price J Lorenz, R Almgren Institutional Investor Journals 5, 2007 | 151* | 2007 |
Adaptive arrival price R Almgren, J Lorenz Trading 2007 (1), 59-66, 2007 | 151 | 2007 |
Mean–variance optimal adaptive execution J Lorenz, R Almgren Applied Mathematical Finance 18 (5), 395-422, 2011 | 100 | 2011 |
Bayesian adaptive trading with a daily cycle R Almgren, J Lorenz The Journal of Trading 1 (4), 38-46, 2006 | 78 | 2006 |
Optimal algorithms for k-search with application in option pricing J Lorenz, K Panagiotou, A Steger Algorithmica 55 (2), 311-328, 2009 | 77 | 2009 |
Optimal trading algorithms J Lorenz Ph. D. thesis, ETH Zurich. 5, 7, 2008 | 30 | 2008 |
Optimal trading algorithms: Portfolio transactions, multiperiod portfolio selection, and competitive online search JM Lorenz ETH, 2008 | 30 | 2008 |
Simulation of a limit order driven market J Lorenz, J Osterrieder The Journal Of Trading 4 (1), 23-30, 2009 | 15 | 2009 |
Difference ladder operators for a harmonic Schrödinger oscillator using unitary linear lattices A Ruffing, J Lorenz, K Ziegler Journal of computational and applied mathematics 153 (1), 395-410, 2003 | 15 | 2003 |
Observational learning in random networks J Lorenz, M Marciniszyn, A Steger Learning Theory, 574-588, 2007 | 6 | 2007 |
Optimal algorithms for k-search with application in option pricing J Lorenz, K Panagiotou, A Steger Algorithms–ESA 2007, 275-286, 2007 | 5 | 2007 |
Technische Universität München Fakultät für Mathematik J Lorenz, DIJ Remy | 3* | |
Von Neumann and Newman poker with a flip of hand values N Bernasconi, J Lorenz, R Spöhel Discrete Mathematics 311 (21), 2337-2345, 2011 | 2 | 2011 |
OPTIMAL EXECUTION OF PORTFOLIO TRANSACTIONS J LORENZ | | |
Knowing Less is More: Observational Learning in Random Networks J Lorenz, M Marciniszyn, A Steger | | |