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Mathematical finance : an international journal of mathematics, statistics and financial economics
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The self-financing equation in limit order book markets
Carmona, René
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Webster, Kevin
- In:
Finance and stochastics
23
(
2019
)
3
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pp. 729-759
Persistent link: https://www.econbiz.de/10012023769
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A simple microstructural explanation of the concavity of price impact
Nadtochiy, Sergey
- In:
Mathematical finance : an international journal of …
32
(
2022
)
1
,
pp. 78-113
Persistent link: https://www.econbiz.de/10012815948
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Liquidity effects of trading frequency
Gayduk, Roman
;
Nadtochiy, Sergey
- In:
Mathematical finance : an international journal of …
28
(
2018
)
3
,
pp. 839-876
Persistent link: https://www.econbiz.de/10011969081
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