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

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