Bid-Ask Spread Modelling, a Perturbation Approach (Q5746535): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/978-3-0348-0545-2_21 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1928612748 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hedging and Portfolio Optimization in Financial Markets with a Large Trader / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Quantization for the Pricing of Swing Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic optimal control. The discrete time case / rank
 
Normal rank
Property / cites work
 
Property / cites work: Statistical properties of stock order books: empirical results and models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Error Calculus and Path Sensitivity in Financial Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Liquidity risk and arbitrage pricing theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal consumption choices for a `large' investor / rank
 
Normal rank
Property / cites work
 
Property / cites work: An introduction to infinite-dimensional analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mathematical methods for financial markets. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio optimisation with strictly positive transaction costs and impulse control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous Auctions and Insider Trading / rank
 
Normal rank
Property / cites work
 
Property / cites work: A model of optimal portfolio selection under liquidity risk and price impact / rank
 
Normal rank
Property / cites work
 
Property / cites work: More statistical properties of order books and price impact / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3996259 / rank
 
Normal rank

Latest revision as of 08:29, 7 July 2024

scientific article; zbMATH DE number 6259471
Language Label Description Also known as
English
Bid-Ask Spread Modelling, a Perturbation Approach
scientific article; zbMATH DE number 6259471

    Statements

    Bid-Ask Spread Modelling, a Perturbation Approach (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    19 February 2014
    0 references
    error theory using Dirichlet forms
    0 references
    order books
    0 references
    bid-ask spread
    0 references
    optimal control problem
    0 references
    liquidity
    0 references

    Identifiers