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Applied mathematical finance
MPRA Paper
959
NBER Working Papers
410
CEPR Discussion Papers
392
Working Paper
362
ECB Working Paper
305
CESifo Working Paper
254
Journal of Banking & Finance
238
IMF Working Paper
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Economics Papers from University Paris Dauphine
203
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201
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IZA Discussion Papers
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CFS Working Paper Series
148
Finance
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Journal of Financial Economics
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FRB of New York Staff Report
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IZA Discussion Paper
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Cogent Economics & Finance
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Cogent economics & finance
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SSE/EFI Working Paper Series in Economics and Finance
92
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88
Journal of risk and financial management : JRFM
88
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87
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1
Fragmentation, price formation and cross-impact in bitcoin markets
Albers, Jakob
;
Cucuringu, Mihai
;
Howison, Sam
; …
- In:
Applied mathematical finance
28
(
2021
)
5
,
pp. 395-448
Persistent link: https://www.econbiz.de/10013411711
Saved in:
2
The tick-by-tick dynamical consistency of price impact in limit order books
Challet, Damien
- In:
Applied mathematical finance
18
(
2011
)
3/4
,
pp. 189-205
Persistent link: https://www.econbiz.de/10009381942
Saved in:
3
Semi-Markov model for market microstructure
Fodra, Pietro
;
Pham, Huyên
- In:
Applied mathematical finance
22
(
2015
)
3/4
,
pp. 261-265
Persistent link: https://www.econbiz.de/10011436207
Saved in:
4
Optimal execution and price manipulations in time-varying limit order books
Alfonsi, Aurélien
;
Infante, Arturo
- In:
Applied mathematical finance
21
(
2014
)
3/4
,
pp. 201-237
Persistent link: https://www.econbiz.de/10010499717
Saved in:
5
Deep learning for market by order data
Zhang, Zihao
;
Lim, Bryan
;
Zohren, Stefan
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 79-95
Persistent link: https://www.econbiz.de/10012625987
Saved in:
6
Limit order books, diffusion approximations and reflected SPDEs : from microscopic to macroscopic models
Hambly, Ben
;
Kalsi, Jasdeep
;
Newbury, James
- In:
Applied mathematical finance
27
(
2020
)
1/2
,
pp. 132-170
Persistent link: https://www.econbiz.de/10012254111
Saved in:
7
Mean-field game strategies for optimal execution
Huang, Xuancheng
;
Jaimungal, Sebastian
;
Nourian, Mojtaba
- In:
Applied mathematical finance
26
(
2019
)
2
,
pp. 153-185
Persistent link: https://www.econbiz.de/10012210268
Saved in:
8
Optimal trading with differing trade signals
Donnelly, Ryan
;
Lorig, Matthew
- In:
Applied mathematical finance
27
(
2020
)
4
,
pp. 317-344
Persistent link: https://www.econbiz.de/10012425325
Saved in:
9
Enhancing trading strategies with order book signals
Cartea, Álvaro
;
Donnelly, Ryan
;
Jaimungal, Sebastian
- In:
Applied mathematical finance
25
(
2018
)
1/2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011959112
Saved in:
10
Electricity intraday price modelling with marked Hawkes processes
Deschatre, Thomas
;
Gruet, Pierre
- In:
Applied mathematical finance
29
(
2022
)
4
,
pp. 227-260
Persistent link: https://www.econbiz.de/10014291942
Saved in:
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