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Alexander Schied

Alexander Schied

D-Index & Metrics

Mathematics

D-Index
30
Citations
8869
World Ranking
3419
National Ranking
140

Overview

Alexander Schied is affiliated with the University of Waterloo in Canada. Their research spans multiple fields with a primary focus on Economics, Econometrics and Finance as well as Mathematics. Schied's work notably intersects areas such as stochastic processes, financial applications, and mathematical dynamics.

The scientist's main areas of study include:

  • Economics, Econometrics and Finance
  • Mathematics

At a more detailed level, Schied's research covers several subfields, including:

  • Finance
  • Mathematical Physics
  • Economics and Econometrics
  • Condensed Matter Physics
  • Management Science and Operations Research

The primary topics addressed by Schied's research involve:

  • Stochastic processes and financial applications
  • Mathematical Dynamics and Fractals
  • Financial Risk and Volatility Modeling
  • Stochastic processes and statistical mechanics
  • Economic theories and models
  • Theoretical and Computational Physics
  • Complex Systems and Time Series Analysis

Frequent coauthors collaborating with Schied include:

  • Xiyue Han
  • Zhenyuan Zhang
  • Eyal Neuman
  • Xiaole Xue
  • Peng Luo

Most of Schied's publications have appeared in well-recognized venues. Frequent publication platforms include:

  • arXiv (Cornell University)
  • Mathematics of Operations Research
  • Statistics & Probability Letters
  • Spiral (Imperial College London)
  • The Annals of Applied Probability

Notable recent papers authored or coauthored by Alexander Schied include:

  • "Distributional Transforms, Probability Distortions, and Their Applications" (2021), Mathematics of Operations Research
  • "A probabilistic approach to the Φ-variation of classical fractal functions with critical roughness" (2020), Statistics & Probability Letters
  • "An FBSDE approach to market impact games with stochastic parameters" (2021), Probability Uncertainty and Quantitative Risk
  • "On the $p$th variation of a class of fractal functions" (2020), Proceedings of the American Mathematical Society
  • "Step roots of Littlewood polynomials and the extrema of functions in the Takagi class" (2022), Mathematical Proceedings of the Cambridge Philosophical Society

Best Publications

  • Stochastic Finance: An Introduction in Discrete Time

    Hans Föllmer;Alexander Schied

  • Convex measures of risk and trading constraints

    Hans Föllmer;Alexander Schied

  • Optimal execution strategies in limit order books with general shape functions

    Aurélien Alfonsi;Antje Fruth;Alexander Schied

  • Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

    Alexander Schied;Torsten Schöneborn

  • Robust Preferences and Convex Measures of Risk

    Hans Föllmer;Alexander Schied

  • OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK

    Jim Gatheral;Alexander Schied

  • TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS

    Jim Gatheral;Alexander Schied;Alla Slynko

  • Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem

    Aurélien Alfonsi;Alexander Schied;Alla Slynko

  • Optimal trade execution and absence of price manipulations in limit order book models

    Aurélien Alfonsi;Alexander Schied

  • Handbook on Systemic Risk: Dynamical Models of Market Impact and Algorithms for Order Execution

    Jim Gatheral;Alexander Schied

  • Comparative and qualitative robustness for law-invariant risk measures

    Volker Krätschmer;Alexander Schied;Henryk Zähle

  • Optimal Basket Liquidation for CARA Investors is Deterministic

    Alexander Schied;Torsten Schöneborn;Michael Tehranchi

  • Optimal investments for risk- and ambiguity-averse preferences: a duality approach

    Alexander Schied

  • Robust Preferences and Robust Portfolio Choice

    Alexander Schied;Hans Föllmer;Stefan Weber

  • Optimal Investments for Robust Utility Functionals in Complete Market Models

    Alexander Schied

  • Duality theory for optimal investments under model uncertainty

    Alexander Schied;Ching-Tang Wu

  • Constrained portfolio liquidation in a limit order book model

    Aurélien Alfonsi;Antje Fruth;Alexander Schied

  • Risk Measures and Robust Optimization Problems

    Alexander Schied

  • Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

    Alexander Schied;Torsten Schoeneborn

  • Risk Aversion and the Dynamics of Optimal Liquidation Strategies in Illiquid Markets

    Alexander Schied;Torsten Schoeneborn

  • Qualitative and infinitesimal robustness of tail-dependent statistical functionals

    Volker Krätschmer;Alexander Schied;Henryk Zähle

  • A control approach to robust utility maximization with logarithmic utility and time-consistent penalties

    Daniel Hernández-Hernández;Alexander Schied

  • Optimal Basket Liquidation for CARA Investors is Deterministic

    Alexander Schied;Torsten Schoeneborn;Michael Tehranchi

  • Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem

    Alfonsi Aurélien;Alexander Schied;Alla Slynko

Frequent Co-Authors

Hans Föllmer
Hans Föllmer Humboldt-Universität zu Berlin
Paul Embrechts
Paul Embrechts ETH Zurich
Michael Röckner
Michael Röckner Bielefeld University

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