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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
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Media trading groups and short selling manipulation
Jarrow, Robert A.; Li, Siguang - In: Quantitative finance 23 (2023) 7/8, pp. 1035-1052
Persistent link: https://www.econbiz.de/10014321662
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Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 22 (2022) 2, pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
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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
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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
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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
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Call auction, continuous trading and closing price formation
Li, Jiayi; Luo, Sumei; Zhou, Guangyou - In: Quantitative finance 21 (2021) 6, pp. 1037-1065
Persistent link: https://www.econbiz.de/10012515635
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CME iceberg order detection and prediction
Zotikov, Dmitry; Antonov, Anton - In: Quantitative finance 21 (2021) 11, pp. 1977-1992
Persistent link: https://www.econbiz.de/10012696802
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Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - In: Quantitative finance 21 (2021) 5, pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
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Improvements in estimating the probability of informed trading models
Cheng, Tsung-Chi; Lai, Hung-neng - In: Quantitative finance 21 (2021) 5, pp. 771-796
Persistent link: https://www.econbiz.de/10012500188