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~isPartOf:"Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series"
~isPartOf:"Quantitative finance"
~subject:"Theory"
~type_genre:"Article in journal"
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Search: subject:"Marktmikrostruktur"
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Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
Quantitative finance
Journal of financial markets
31
Journal of financial economics
25
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19
Journal of economic dynamics & control
18
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The review of financial studies
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Economic modelling
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Economics letters
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International journal of theoretical and applied finance
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Journal of economic behavior & organization : JEBO
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Finance and stochastics
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International review of financial analysis
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The journal of trading
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Computational economics
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Journal of economic theory
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Journal of financial and quantitative analysis : JFQA
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Pacific-Basin finance journal
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The financial review : the official publication of the Eastern Finance Association
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European economic review : EER
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European financial management : the journal of the European Financial Management Association
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International journal of finance & economics : IJFE
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International review of economics & finance : IREF
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Annales d'économie et de statistique
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Annals of finance
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
International journal of financial engineering
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ECONIS (ZBW)
23
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1
Analysis and modeling of client order flow in limit order markets
Cont, Rama
;
Cucuringu, Mihai
;
Glukhov, Vacslav
; …
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 187-205
Persistent link: https://www.econbiz.de/10014232614
Saved in:
2
The role of fleeting orders on option expiration days
Figueiredo, Antonio
;
Jain, Pankaj K.
;
Mishra, Suchismita
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1511-1529
Persistent link: https://www.econbiz.de/10014419175
Saved in:
3
A generative model of a limit order book using recurrent neural networks
Hultin, Hanna
;
Hult, Henrik
;
Proutiere, Alexandre
; …
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 931-958
Persistent link: https://www.econbiz.de/10014304400
Saved in:
4
State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime
;
Pakkanen, Mikko S.
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 563-583
Persistent link: https://www.econbiz.de/10013167781
Saved in:
5
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
Saved in:
6
Rule-based trading on an order-driven exchange : a reassessment
Isaac, Alan Glen
;
Ramaswamy, Vasudeva
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1871-1886
Persistent link: https://www.econbiz.de/10014452482
Saved in:
7
Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe
;
Ciacci, Alberto
;
Lillo, Fabrizio
; …
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
Saved in:
8
Time-dependent relations between gaps and returns in a Bitcoin order book
Mota-Navarro, Roberto
;
Monroy-Castillero, Paulino
; …
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1343-1354
Persistent link: https://www.econbiz.de/10013367903
Saved in:
9
The inelastic market hypothesis : a microstructural interpretation
Bouchaud, Jean-Philippe
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1785-1795
Persistent link: https://www.econbiz.de/10013367946
Saved in:
10
A deep learning approach to estimating fill probabilities in a limit order book
Maglaras, Costis
;
Moallemi, Ciamac C.
;
Wang, Muye
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 1989-2003
Persistent link: https://www.econbiz.de/10013490915
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