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Optimal execution with liquidity risk in a diffusive order book market

Lee, Hyoeun; Lee, Kiseop - In: International journal of financial engineering 10 (2023) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10014444510

Large orders in small markets : execution with endogenous liquidity supply

Capponi, Agostino; Menkveld, Albert J.; Zhang, Hongzhong - 2023

Persistent link: https://www.econbiz.de/10014327645

Momentum crashes

Daniel, Kent; Moskowitz, Tobias J. - In: Journal of financial economics 122 (2016) 2, pp. 221-247

Persistent link: https://www.econbiz.de/10011590901

Zyklische und antizyklische Handelsstrategien : Theorie und empirische Überprüfung am Schweizer Aktienmarkt

Dressendörfer, Maximilian - 1999

Persistent link: https://www.econbiz.de/10013438253

Kurspolitik von Aktienhändlern : ein Finanzmarktmodell mit unvollständiger Information

Kaul, Michael - 2001 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001573529

Liquidity and Information-Based Trading on the Order Driven Capital Market : The Case of Prague Stock Exchange

Nemecek, Libor - 2010

This paper investigates the relation between liquidity and information-based trading in the context of an order-driven auction. A model similar in spirit to that of Easley et al. (1996) is used to determine how often new information occurs and how it influences the composition of orders...

Persistent link: https://www.econbiz.de/10013148686