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Market impacts and the life cycle of investors orders

Bacry, Emmanuel; Iuga, Adrian; Lasnier, Matthieu; … - In: Market microstructure and liquidity 1 (2015) 2, pp. 1-46

Persistent link: https://www.econbiz.de/10011588222

Limit order strategic placement with adverse selection risk and the role of latency

Lehalle, Charles-Albert; Mounjid, Othmane - In: Market microstructure and liquidity 3 (2017) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10011778311

Mean field game of controls and an application to trade crowding

Cardaliaguet, Pierre; Lehalle, Charles-Albert - In: Mathematics and financial economics 12 (2018) 3, pp. 335-363

Persistent link: https://www.econbiz.de/10011963860

High-frequency simulations of an order book : a two-scale approach

Lehalle, Charles-Albert; Guéant, Olivier; … - In: Econophysics of Order-driven Markets : proceedings of …, (pp. 73-92). 2011

Persistent link: https://www.econbiz.de/10009348942

Co-impact : crowding effects in institutional trading activity

Bucci, Frederic; Mastromatteo, Iacopo; Eisler, Zoltan; … - In: Quantitative finance 20 (2020) 2, pp. 193-205

Persistent link: https://www.econbiz.de/10012194861

The behavior of high-frequency traders under different market stress scenarios

Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54

Persistent link: https://www.econbiz.de/10011988891

Market Microstructure in Practice.

Laruelle, Sophie - 2013

Key Features:Interdisciplinary comments on market microstructure (covering economy, quantitative finance, and econophysics)Covers a very large spectrum of phenomenon: high frequency trading, liquidity monitoring, the Flash Crash, systemic risk, fragmentation, Smart Order Routing, trade...

Persistent link: https://www.econbiz.de/10012686983

Learning a functional control for high-frequency finance

Leal, Laura; Lauriere, Mathieu; Lehalle, Charles-Albert - In: Quantitative finance 22 (2022) 11, pp. 1973-1987

Persistent link: https://www.econbiz.de/10013490928