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Trade size clustering and the cost of trading at the London stock exchange

Verousis, Thanos; Ap Gwilym, Owain - In: International review of financial analysis 27 (2013), pp. 91-102

Persistent link: https://www.econbiz.de/10009736935

Order flows and limit order book resiliency on the Meso-scale

Bechler, Kyle; Ludkovski, Mike - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-33

Persistent link: https://www.econbiz.de/10011988892

Uncertain execution in order-driven markets

Sánchez-Betancourt, Leandro - 2021

Persistent link: https://www.econbiz.de/10012939003

Large trades on the Tunisian Stock Exchange : downstairs versus upstairs stock markets

Limem, Monia Antar; Jilani, Faouzi - In: The journal of asset management 14 (2013) 6, pp. 410-422

Persistent link: https://www.econbiz.de/10010258474

High-resilience limits of block-shaped order books

Kallsen, Jan; Muhle-Karbe, Johannes - 2014

We show that wealth processes in the block-shaped order book model of Obizhaeva/Wang converge to their counterparts in the reduced-form model proposed by Almgren/Chriss, as the resilience of the order book tends to infinity. As an application of this limit theorem, we explain how to reduce...

Persistent link: https://www.econbiz.de/10011293740