Reduced form modeling of limit order markets (Q2873532): Difference between revisions

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+W2094154574
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+.4517
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+Optimal execution strategies in limit order books with general shape functions
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+AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA
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+Random walks, liquidity molasses and critical response in financial markets
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+Liquidity risk and arbitrage pricing theory
@@ Property / cites work: Liquidity risk and arbitrage pricing theory / rank @@
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+MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
@@ Property / cites work: MODELING LIQUIDITY EFFECTS IN DISCRETE TIME / rank @@
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+A Stochastic Model for Order Book Dynamics
@@ Property / cites work: A Stochastic Model for Order Book Dynamics / rank @@
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+Computation of estimates in segmented regression and a liquidity effect model
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+Optimal Liquidity Trading*
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+Martingales and arbitage in securities markets with transaction costs
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+Galerkin methods in dynamic stochastic programming
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+Arbitrage and deflators in illiquid markets
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+SUPERHEDGING IN ILLIQUID MARKETS
@@ Property / cites work: SUPERHEDGING IN ILLIQUID MARKETS / rank @@
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