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Optimal market making under partial information with general intensities
Campi, Luciano; Zabaljauregui, Diego - In: Applied mathematical finance 27 (2020) 1/2, pp. 1-45
Persistent link: https://www.econbiz.de/10012254093
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Essays in economic theory
Becker, Ralf Michael - 2002
Persistent link: https://www.econbiz.de/10003779122
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Mean-variance portfolio selection in presence of infrequently traded stocks
Castellano, Rosella; Cerqueti, Roy - In: European journal of operational research : EJOR 234 (2014) 2, pp. 442-449
Persistent link: https://www.econbiz.de/10010356733
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Market making and portfolio liquidation under uncertainty
Nyström, Kaj; Aly, Sidi Mohamed Ould; Zhang, Changyong - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-33
Persistent link: https://www.econbiz.de/10010437189
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On optimal options book execution strategies with market impact
Kalife, Aymeric; Mouti, Saad - In: Market microstructure and liquidity 2 (2016) 3/4, pp. 1-40
Persistent link: https://www.econbiz.de/10011715825
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Optimal liquidation under stochastic price impact
Barger, Weston; Lorig, Matthew - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012012935
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Portfolio optimization for a large investor under partial information and price impact
Eksi, Zehra; Ku, Hyejin - In: Mathematical methods of operations research 86 (2017) 3, pp. 601-623
Persistent link: https://www.econbiz.de/10011793402
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Limit order trading with a mean reverting reference price
Ahuja, Saran; Papanicolaou, George; Ren, Weiluo; Yang, … - In: Risk and decision analysis 6 (2017) 2, pp. 121-136
Persistent link: https://www.econbiz.de/10011743827
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High frequency market making : the role of speed
Aït-Sahalia, Yacine; Sağlam, Mehmet - In: Journal of econometrics 239 (2024) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10015074464
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Markovian approach to stock price modelling in the Nigerian oil and gas sector
Ayo, Adekunle S.; Uwabor, Eboigbe S. - In: CBN journal of applied statistics 12 (2021) 1, pp. 23-43
The study investigates the stock price movement of quoted Nigerian oil and gas firms using the Markovian model. Specifically, the study estimates the change in likelihoods and steady-state distribution of the share prices of the firms to determine the average time spent by the share price to...
Persistent link: https://www.econbiz.de/10012604397