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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Bourse"
~subject:"Markov chain"
~subject:"Marktmikrostruktur"
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International journal of theoretical and applied finance
Journal of financial markets
44
Journal of banking & finance
32
Pacific-Basin finance journal
25
Journal of international financial markets, institutions & money
24
Quantitative finance
24
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Finance research letters
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International review of financial analysis
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Gabler Edition Wissenschaft
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1
Discrete-time optimal execution under a generalized price impact model with Markovian exogenous orders
Fukasawa, Masaaki
;
Ohnishi, Masamitsu
;
Shimoshimizu, Makoto
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-43
Persistent link: https://www.econbiz.de/10012662027
Saved in:
2
Market price of trading liquidity risk and market depth
Kijima, Masaaki
;
Ting, Christopher
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-36
Persistent link: https://www.econbiz.de/10012183242
Saved in:
3
General semi-Markov model for limit order books
Sviščuk, Anatolij
;
Hofmeister, Tyler
;
Cera, Katharina
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011686928
Saved in:
4
Stationary distribution of the volume at the best quote in a poisson order book model
Toke, Ioane Muni
- In:
International journal of theoretical and applied finance
20
(
2017
)
6
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011734357
Saved in:
5
Resilient price impact of trading and the cost of illiquidity
Roch, Alexandre
;
Soner, Halil Mete
- In:
International journal of theoretical and applied finance
16
(
2013
)
6
,
pp. 1-27
Persistent link: https://www.econbiz.de/10010197179
Saved in:
6
A mathematical approach to order book modeling
Abergel, Frédéric
;
Jedidi, Aymen
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-40
Persistent link: https://www.econbiz.de/10009784056
Saved in:
7
Incoporating price-relevant information between quotes and trades : a new measure of the effective bid-ask spread
Kim, Sung-hun
;
Ogden, Joseph P.
- In:
International journal of theoretical and applied finance
2
(
1999
)
2
,
pp. 179-200
Persistent link: https://www.econbiz.de/10001394249
Saved in:
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