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Determinants of inter-trade durations and hazard rates using proportional hazard ARMA models
Gerhard, Frank; Hautsch, Nikolaus - 2000
This paper puts focus on the hazard function of inter-trade durations to characterize the intraday trading process. It sheds light on the time varying trade intensity and, thus, on the liquidity of an asset and the informations channels which propagate price signals among asymmetrically informed...
Persistent link: https://www.econbiz.de/10011543945
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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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Are market makers uninformed and passive? : signing trades in the absence of quotes
Wel, Michel van der; Menkveld, Albert J.; Sarkar, Asani - 2009
the role of the market maker. Most theory characterizes him as an uninformed passive liquidity supplier. Our results …
Persistent link: https://www.econbiz.de/10011378307
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Dynamic portfolio execution
Tsoukalas, Gerry; Wang, Jiang; Giesecke, Kay - In: Management science : journal of the Institute for … 65 (2019) 5, pp. 2015-2040
Persistent link: https://www.econbiz.de/10012039722
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Extension and calibration of a Hawkes-based optimal execution model
Alfonsi, Aurélien; Blanc, Pierre - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-55
Persistent link: https://www.econbiz.de/10011588251
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Single- and multiplayer trade execution strategies under transient price impact
Strehle, Elias - 2017
Persistent link: https://www.econbiz.de/10012197703
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Information, liquidity, and dynamic limit order markets
Riccò, Roberto; Rindi, Barbara; Seppi, Duane J. - 2020 - This Version: March, 2020
Persistent link: https://www.econbiz.de/10012200670
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Three essays in financial economics
Jurkatis, Simon Willi - 2018
Persistent link: https://www.econbiz.de/10012169133
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General semi-Markov model for limit order books
Sviščuk, Anatolij; Hofmeister, Tyler; Cera, Katharina; … - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011686928
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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