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Optimal execution horizon
Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 640-672
Persistent link: https://www.econbiz.de/10011350553
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Security design in non-exclusive markets with asymmetric information
Asriyan, Vladimir; Vanasco, Victoria - 2019
Persistent link: https://www.econbiz.de/10012209868
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To pool or not to pool? : security design in OTC markets
Glode, Vincent; Opp, Christian; Sverchkov, Ruslan - 2019
Persistent link: https://www.econbiz.de/10012170871
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Security design in non-exclusive markets with asymmetric information
Asriyan, Vladimir; Vanasco, Victoria - 2019
Persistent link: https://www.econbiz.de/10012196200
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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
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Enhancing trading strategies with order book signals
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian - In: Applied mathematical finance 25 (2018) 1/2, pp. 1-35
Persistent link: https://www.econbiz.de/10011959112
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Algorithmic Pricing and Liquidity in Securities Markets
Colliard, Jean-Edouard; Foucault, Thierry; Lovo, Stefano M. - 2022
their prices after observing trades, as predicted by economic theory. However, in contrast to theory, AMMs charge a mark …’ exposure to adverse selection. Accordingly, the sensitivity of quotes to trades is stronger than that predicted by theory and …
Persistent link: https://www.econbiz.de/10014236498
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A Leland model for delta hedging in central risk books
Muhle-Karbe, Johannes; Wang, Zexin; Webster, Kevin T. - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 504-547
Persistent link: https://www.econbiz.de/10014329890
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Algorithmic pricing and liquidity in securities markets
Colliard, Jean-Edouard; Foucault, Thierry; Lovo, Stefano M. - 2022
Persistent link: https://www.econbiz.de/10013414291
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Security design in non-exclusive markets with asymmetric information
Vanasco, Victoria; Asriyan, Vladimir - 2020
Persistent link: https://www.econbiz.de/10012198996