Research Topics:
- Extreme Price Movements
- Market Impact
- High-Frequency Trading
- Many Worlds
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Research in the press and on the web:
- TIME.com, BloombergView, Medium.com, BloombergView, The Wire, Pando Daily, Canadian Business, Themis Trading, Pulso
- MIT Technology Review, abc.net.au, abc.es, npr.org, io9.com,
geek.com, vr-zone.com
- cracked.com, Physics Today post
- Insto Magazine
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Working Papers:
Publications: - Too Fast or Too Slow? Determining the Optimal Speed of Financial Markets. D. Fricke and A. Gerig, (2018), Quant. Finance, 18(4), 519-532.
- Automated Liquidity Provision. A. Gerig and D. Michayluk, (2017), Pacific-Basin Finance Journal, 45, 1-13.
- How Efficiency Shapes Market Impact. J. D. Farmer, A. Gerig, F. Lillo, and H. Waelbroeck, (2013), Quant. Finance, 13(11), 1743-1758.
- Universal Doomsday: Analyzing Our Prospects for Survival. A. Gerig, K. D. Olum, and A. Vilenkin, (2013), JCAP, 05, 013.
- Universal Laws and Economic Phenomena. A. Gerig, (2011), Complexity, 17(1), 9-12.
- Are Discrete Models More Accurate? A. Hubler and A. Gerig, (2010), Complexity, 16(2), 5-7.
- Universal Behavior of Extreme Price Movements in Stock Markets. M. A. Fuentes, A. Gerig, and J. Vicente, (2009), PLoS ONE, 4(12), e8243.
- Model for Non-Gaussian Intraday Stock Returns. A. Gerig, J. Vicente, and M. A. Fuentes, (2009), Phys. Rev. E, 80, 065102(R).
- Market Impact and Trading Profile of Hidden Orders in Stock Markets. E. Moro, J. Vicente, L. G. Moyano, A. Gerig, J. D. Farmer, G. Vaglica, F. Lillo, and R. N. Mantegna, (2009), Phys. Rev. E, 80, 066102.
- Chaos in a One-Dimensional Compressible Flow. A. Gerig and A. Hubler, (2007), Phys. Rev. E, 75, 045202(R).
- Market Efficiency and the Long-Memory of Supply and Demand: Is Price Impact Variable and Permanent or Fixed and Temporary. J. D. Farmer, A. Gerig, F. Lillo, and S. Mike, (2006), Quant. Finance, 6(2), 107-112.
Book Chapters:
- Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets. B. Myers and A. Gerig, (2015), in Financial Econometrics and Empirical Market Microstructure, A. K. Bera, S. Ivliev, and F. Lillo eds. (Springer, USA).
- Non-Gaussian Price Dynamics and Implications for Options Pricing. M. A. Fuentes, A. Gerig, and J. Vicente, (2012), in Derivative Securities Pricing and Modelling, J. A. Batten and N. Wagner eds. (Emerald, United Kingdom).
Thesis:
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