RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY (Q2862513): Difference between revisions

@@ Property / author @@
-Halil Mete Soner
@@ Property / author: Halil Mete Soner / rank @@
-Normal rank
@@ Property / author @@
+Halil Mete Soner
@@ Property / author: Halil Mete Soner / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / cites work @@
+Optimal execution strategies in limit order books with general shape functions
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+Optimal execution with nonlinear impact functions and trading-enhanced risk
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+Information in Securities Markets: Kyle Meets Glosten and Milgrom
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+AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA
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+Liquidity risk and arbitrage pricing theory
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+MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
@@ Property / cites work: MODELING LIQUIDITY EFFECTS IN DISCRETE TIME / rank @@
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+Option hedging for small investors under liquidity costs
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+Q3549931
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+Portfolio Selection with Transaction Costs
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+From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process<sup>1</sup>
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+No-dynamic-arbitrage and market impact
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+Liquidity Models in Continuous and Discrete Time
@@ Property / cites work: Liquidity Models in Continuous and Discrete Time / rank @@
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+LIQUIDITY IN A BINOMIAL MARKET
@@ Property / cites work: LIQUIDITY IN A BINOMIAL MARKET / rank @@
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+Optimal Liquidity Trading*
@@ Property / cites work: Optimal Liquidity Trading* / rank @@
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+Continuous Auctions and Insider Trading
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+Liquidity risk, price impacts and the replication problem
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+THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
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+Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
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+Optimal investment and consumption with transaction costs
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@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024913500374
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@@ Property / OpenAlex ID @@
+W3125045500
@@ Property / OpenAlex ID: W3125045500 / rank @@
+Normal rank