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~isPartOf:"Quantitative finance"
~subject:"Transaktionskosten"
~subject:"Volatility"
~subject:"Wertpapierhandel"
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Search: subject_exact:"Bid-ask spread"
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Transaktionskosten
Volatility
Wertpapierhandel
Bid-ask spread
9
Geld-Brief-Spanne
9
Theorie
8
Theory
8
Börsenkurs
7
Securities trading
7
Share price
7
Market microstructure
6
Marktmikrostruktur
6
Bourse
3
Börse
3
Limit order book
3
Volatilität
3
Estimation
2
Handelsvolumen der Börse
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Hawkes processes
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High-frequency data
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Schätzung
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Stochastic process
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Cox processes
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Crypto-assets
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Data augmentation
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Electronic trading
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Elektronisches Handelssystem
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Abergel, Frédéric
1
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1
Gençay, Ramazan
1
Gobet, Emmanuel
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Isaac, Alan Glen
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Isaenko, Sergei
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Mahmoodzadeh, S.
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Mastromatteo, Iacopo
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Maurice, Anne-Claire
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Morariu-Patrichi, Maxime
1
Pakkanen, Mikko S.
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Ramaswamy, Vasudeva
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Rojček, Jakub
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Quantitative finance
Journal of financial markets
26
Finance research letters
17
Journal of financial economics
17
The review of financial studies
15
Journal of international financial markets, institutions & money
14
Pacific-Basin finance journal
13
Journal of banking & finance
12
Market microstructure and liquidity
11
The financial review : the official publication of the Eastern Finance Association
11
International review of financial analysis
10
Journal of empirical finance
10
Review of quantitative finance and accounting
9
The journal of futures markets
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International journal of theoretical and applied finance
7
Journal of financial and quantitative analysis : JFQA
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The European journal of finance
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The journal of finance : the journal of the American Finance Association
7
CFS working paper series
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European financial management : the journal of the European Financial Management Association
6
Global finance journal
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International review of economics & finance : IREF
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Journal of economic dynamics & control
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Journal of risk and financial management : JRFM
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The North American journal of economics and finance : a journal of financial economics studies
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Applied economics
5
Discussion paper / Centre for Economic Policy Research
5
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5
Journal of financial intermediation
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Review of finance : journal of the European Finance Association
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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CFS Working Paper
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Economics letters
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International journal of financial engineering
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
9
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1
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:
2
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:
3
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
Echenim, Mnacho
;
Gobet, Emmanuel
;
Maurice, Anne-Claire
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1285-1304
Persistent link: https://www.econbiz.de/10014339922
Saved in:
4
Analyzing order flows in limit order books with ratios of Cox-type intensities
Toke, Ioane Muni
;
Yoshida, Nakahiro
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 81-98
Persistent link: https://www.econbiz.de/10012194856
Saved in:
5
Co-impact : crowding effects in institutional trading activity
Bucci, Frederic
;
Mastromatteo, Iacopo
;
Eisler, Zoltan
; …
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 193-205
Persistent link: https://www.econbiz.de/10012194861
Saved in:
6
Learning multi-market microstructure from order book data
Ju, Geonhwan
;
Kim, Kyoung-Kuk
;
Lim, Dong-Young
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1517-1529
Persistent link: https://www.econbiz.de/10012194803
Saved in:
7
Price impact and bursts in liquidity provision
Gençay, Ramazan
;
Mahmoodzadeh, S.
;
Rojček, Jakub
; …
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1129-1148
Persistent link: https://www.econbiz.de/10011911529
Saved in:
8
High-dimensional Hawkes processes for limit order books : modelling, empirical analysis and numerical calibration
Lu, Xiaofei
;
Abergel, Frédéric
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 249-264
Persistent link: https://www.econbiz.de/10011905913
Saved in:
9
Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations
Isaenko, Sergei
- In:
Quantitative finance
18
(
2018
)
12
,
pp. 2051-2065
Persistent link: https://www.econbiz.de/10012262965
Saved in:
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