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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

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

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

Estimating probability of informed trading on the Bucharest stock exchange

Cepoi, Cosmin Octavian; Toma, Filip Mihai - In: Finance a úvěr 66 (2016) 2, pp. 140-160

Persistent link: https://www.econbiz.de/10011618713

Inferring trade directions in fast markets

Jurkatis, Simon Willi - 2020

Persistent link: https://www.econbiz.de/10012597973

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

Equity trading

Fohlin, Caroline - In: Research handbook of financial markets, (pp. 358-377). 2023

Persistent link: https://www.econbiz.de/10014331077

Does the prohibition of trade-through hurt liquidity demanders?

Chen, Ningyuan; Gao, Pin; Kou, Steven - In: Operations research 71 (2023) 5, pp. 1458-1471

Persistent link: https://www.econbiz.de/10014393146

Deep order flow imbalance : extracting alpha at multiple horizons from the limit order book

Kolm, Petter N.; Turiel, Jeremy; Westray, Nicholas - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1044-1081

Persistent link: https://www.econbiz.de/10014370626

Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2004 - This Draft: May, 2004

We develop a model of limit order trading in which some traders have better information on future price volatility. As limit orders have option-like features, this information is valuable for limit order traders. We solve for informed and uninformed limit order traders' bidding strategies in...

Persistent link: https://www.econbiz.de/10010361995