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Liquidity cost of market order...
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ECONIS (ZBW)
RePEc
16
EconStor
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1
Liquidity cost of market orders in the Taiwan Stock Market : a study based on an order-driven agent-based artificial stock market
Huang, Yi-ping
;
Chen, Shu-Heng
;
Hung, Ming-chin
;
Yu, Tina
- In:
International review of financial analysis
23
(
2012
),
pp. 72-80
Persistent link: https://www.econbiz.de/10009690114
Saved in:
2
Over-the-counter versus double auction in asset markets with near-zero-intelligence traders
Lu, Dong
;
Zhan, Yaosong
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013539524
Saved in:
3
Analytic formula for option margin with liquidity costs under dynamic delta hedging
Lee, Kyungsub
;
Seo, Byoung Ki
- In:
Applied economics
53
(
2021
)
29
,
pp. 3391-3407
Persistent link: https://www.econbiz.de/10012589463
Saved in:
4
Three essays on equity exchange-traded funds
Osterhoff, Friedrich Karl Yorck Henri
-
2016
Persistent link: https://www.econbiz.de/10012312909
Saved in:
5
Liquidity cost vs. real investment efficiency
Bade, Marco
;
Hirth, Hans
- In:
Journal of financial markets
28
(
2016
),
pp. 70-90
Persistent link: https://www.econbiz.de/10011722233
Saved in:
6
Local risk-minimization with multiple assets under illiquidity with applications in energy markets
Christodoulou, Panagiotis
;
Detering, Nils
; …
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011891849
Saved in:
7
Dynamic portfolio optimization with liquidity cost and market impact : a simulation-and-regression approach
Zhang, Rongju
;
Langrené, Nicolas
;
Tian, Yu
;
Zhu, Zili
; …
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 519-532
Persistent link: https://www.econbiz.de/10012194674
Saved in:
8
A tale of two contracts : examining the behavior of bid-ask spreads of corn futures in China
Li, Miao
;
Xiong, Tao
;
Li, Ziran
- In:
The journal of futures markets
43
(
2023
)
6
,
pp. 792-806
Persistent link: https://www.econbiz.de/10014293232
Saved in:
9
Optimal execution with liquidity risk in a diffusive order book market
Lee, Hyoeun
;
Lee, Kiseop
- In:
International journal of financial engineering
10
(
2023
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10014444510
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