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Nash equilibrium for risk-aver...
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1
A market impact game under transient price impact
Schied, Alexander
;
Zhang, Tao
- In:
Mathematics of operations research
44
(
2019
)
1
,
pp. 102-121
Persistent link: https://www.econbiz.de/10012001072
Saved in:
2
Single- and multiplayer trade execution strategies under transient price impact
Strehle, Elias
-
2017
Persistent link: https://www.econbiz.de/10012197703
Saved in:
3
High-frequency trading and institutional trading costs
Chen, Marie
;
Garriott, Corey
- In:
Journal of empirical finance
56
(
2020
),
pp. 74-93
Persistent link: https://www.econbiz.de/10012430411
Saved in:
4
Risk metrics and fine tuning of high-frequency trading strategies
Cartea, Álvaro
;
Jaimungal, Sebastian
- In:
Mathematical finance : an international journal of …
25
(
2015
)
3
,
pp. 576-611
Persistent link: https://www.econbiz.de/10011350564
Saved in:
5
Optimal trading with differing trade signals
Donnelly, Ryan
;
Lorig, Matthew
- In:
Applied mathematical finance
27
(
2020
)
4
,
pp. 317-344
Persistent link: https://www.econbiz.de/10012425325
Saved in:
6
Intraday liquidity patterns in limit order books
Malik, Azeem
;
Wing Lon Ng
- In:
Studies in economics and finance
31
(
2014
)
1
,
pp. 46-71
Persistent link: https://www.econbiz.de/10010258798
Saved in:
7
Optimal order display in limit order markets with liquidity competition
Cebiroglu, Gökhan
;
Horst, Ulrich
- In:
Journal of economic dynamics & control
58
(
2015
),
pp. 81-100
Persistent link: https://www.econbiz.de/10011574644
Saved in:
8
Market impact : a systematic study of limit orders
Said, Emilio
;
Bel Hadj Ayed, Ahmed
;
Husson, Alexandre
; …
- In:
Market microstructure and liquidity
3
(
2017
)
3/4
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011988894
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9
Market impact : a systematic study of the high frequency options market
Said, Emilio
;
Bel Hadj Ayed, Ahmed
;
Thillou, Damien
; …
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 69-84
Persistent link: https://www.econbiz.de/10012424634
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10
A Markov model of a limit order book : thresholds, recurrence, and trading strategies
Kelly, F. P.
;
Yudovina, Elena
- In:
Mathematics of operations research
43
(
2018
)
1
,
pp. 181-203
Persistent link: https://www.econbiz.de/10011818741
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