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Optimal liquidation in a limit order book for a risk-averse investor
Løkka, Arne - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 696-727
Persistent link: https://www.econbiz.de/10011308171
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The impact of heterogeneous trading rules on the limit order book and order flows
Chiarella, Carl; Iori, Giulia; Perelló, Josep - In: Journal of economic dynamics & control 33 (2009) 3, pp. 525-537
Persistent link: https://www.econbiz.de/10003817925
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Positivity of bid-ask spreads and symmetrical monotone risk aversion
Abouda, Moez; Chateauneuf, Alain - In: Theory and decision : an international journal for … 52 (2002) 2, pp. 149-170
Persistent link: https://www.econbiz.de/10001692531
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Risk aversion and the bid-ask spread
Roger, Patrick; Eeckhoudt, Louis R. - In: European financial management : the journal of the … 5 (1999) 3, pp. 323-340
Persistent link: https://www.econbiz.de/10001446771
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Symmetrical monotone risk aversion and positive bid-ask spreads
Abouda, Moez; Chateauneuf, Alain - In: Beliefs, interactions and preferences in decision making, (pp. 299-314). 2010
Persistent link: https://www.econbiz.de/10009125310
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Market making with convex quotes
Hwang, Hae-shin; Paan Jindapon - In: Finance research letters 37 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012484899
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Illiquidity and higher cumulants
Glebkin, Sergei; Malamud, Semyon; Teguia, Alberto - In: The review of financial studies 36 (2023) 5, pp. 2131-2173
Persistent link: https://www.econbiz.de/10014320614
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Bid and Ask Prices Tailored to Traders’ Risk-Aversion and Gain-Propension
Cardin, Marta - 2012
Bid and ask prices tailored to the traders' risk-aversion and gain-propension are defined. Risk and gain premia are given by the Extended Gini indices, where the characteristic parameter captures the traders' perception of the under-performance and over-performance of the asset. Sufficient and...
Persistent link: https://www.econbiz.de/10013114629
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A mathematical approach to order book modeling
Abergel, Frédéric; Jedidi, Aymen - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-40
Persistent link: https://www.econbiz.de/10009784056
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The determinanants of bid-ask spread in the Guyanese FX market
Khemraj, Tarron; Pasha, Sukrishnalall - In: The journal of developing areas 48 (2014) 2, pp. 39-62
Persistent link: https://www.econbiz.de/10010364679