Endogenous Formation of Limit Order Books: Dynamics Between Trades (Q4641739): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q5386174 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal execution with nonlinear impact functions and trading-enhanced risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Markets with a Continuum of Traders / rank
 
Normal rank
Property / cites work
 
Property / cites work: High-frequency trading in a limit order book / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Arbitrage pricing of defaultable game options with applications to convertible bonds / rank
 
Normal rank
Property / cites work
 
Property / cites work: Existence and Stability of Nash Equilibrium / rank
 
Normal rank
Property / cites work
 
Property / cites work: Probabilistic Analysis of Mean-Field Games / rank
 
Normal rank
Property / cites work
 
Property / cites work: Algorithmic Trading with Model Uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal execution with limit and market orders / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on existence and uniqueness for solutions of multidimensional reflected BSDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Stochastic Model for Order Book Dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations with reflection and Dynkin games / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5580119 / rank
 
Normal rank
Property / cites work
 
Property / cites work: BSDE representations for optimal switching problems with controlled volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Control-Stopping Games for Market Microstructure and Beyond / rank
 
Normal rank
Property / cites work
 
Property / cites work: Endogenous Formation of Limit Order Books: Dynamics Between Trades / rank
 
Normal rank
Property / cites work
 
Property / cites work: Equations différentielles stochastiques rétrogrades réfléchies dans un convexe / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4421936 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2787919 / rank
 
Normal rank
Property / cites work
 
Property / cites work: GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal high-frequency trading with limit and market orders / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4778955 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-Field Game Strategies for Optimal Execution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Foundations of Modern Probability / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4925742 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3511595 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Reflected solutions of backward SDE's, and related obstacle problems for PDE's / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Stopping in Games with Continuous Time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean field games / rank
 
Normal rank
Property / cites work
 
Property / cites work: Drift dependence of optimal trade execution strategies under transient price impact / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3430038 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Execution in a General One-Sided Limit-Order Book / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option market making under inventory risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Equilibrium points of nonatomic games / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multi-dimensional reflected backward stochastic differential equations and the comparison theorem / rank
 
Normal rank

Latest revision as of 16:31, 15 July 2024

scientific article; zbMATH DE number 6870292
Language Label Description Also known as
English
Endogenous Formation of Limit Order Books: Dynamics Between Trades
scientific article; zbMATH DE number 6870292

    Statements

    Endogenous Formation of Limit Order Books: Dynamics Between Trades (English)
    0 references
    0 references
    0 references
    0 references
    18 May 2018
    0 references
    0 references
    0 references
    0 references
    0 references
    market microstructure
    0 references
    limit order book
    0 references
    continuum-player game
    0 references
    control-stopping game
    0 references
    RBSDE with oblique reflection
    0 references
    fixed-point problem with discontinuity
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references