Johannes Muhle-Karbe
Johannes Muhle-Karbe is the head of mathematical finance at Imperial College London
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Articles by Johannes Muhle-Karbe
Optimising broker evaluation through intraday modelling of execution cost
A method to assess brokers’ performance via their market impact is presented
A comparison of FX fixing methodologies
FX fixing outcomes are mostly driven by length of calculation window
The cost of mis-specifying price impact
Expected returns can be significantly affected by the wrong use of impact models