Concepedia
Statistics
Publications
6
Citations
169
H-Index
Active since
2008
Affiliations
Humboldt-Universität zu Berlin(Current)
Courant Institute of Mathematical Sciences
Imperial College London
University College London
New York University
Nicholas Westray is an author at Humboldt-Universität zu Berlin specializing in engineering, business, and financial economics.
Top concepts
FinanceBusinessEngineeringFinancial EconomicsConvex OptimizationEconomicsForecastingData ScienceAsset PricingDeep Learning
Publications per year
2008–2023
OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH
Christoph Frei, Nicholas Westray · Mathematical Finance · 2013 · 71 citations
Mathematical Programming, Engineering, Optimal Liquidation +20
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book
Petter N. Kolm, Jeremy Turiel, Nicholas Westray · Mathematical Finance · 2023 · 27 citations · Full text
Engineering, Machine Learning, Volume Prediction +16
Curve following in illiquid markets
Felix Naujokat, Nicholas Westray · Mathematics and Financial Economics · 2011 · 25 citations
Market Microstructure, Economics, Financial Economics +7
Deep Order Flow Imbalance: Extracting Alpha at Multiple Horizons from the Limit Order Book
Petter N. Kolm, Jeremy Turiel, Nicholas Westray · SSRN Electronic Journal · 2021 · 19 citations · Full text
Constrained nonsmooth utility maximization without quadratic inf convolution
Nicholas Westray, Harry Zheng · Stochastic Processes and their Applications · 2008 · 16 citations
Utility Maximization, Convex Optimization, Constrained Optimization +2
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