No-dynamic-arbitrage and market impact (Q2786278): Difference between revisions
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| Property / cites work: Optimal execution strategies in limit order books with general shape functions / rank | |||
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| Property / cites work: Random walks, liquidity molasses and critical response in financial markets / rank | |||
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| Property / cites work: Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary? / rank | |||
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| Property / cites work: Price Manipulation and Quasi-Arbitrage / rank | |||
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| Property / cites work: Order book approach to price impact / rank | |||
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Latest revision as of 06:30, 3 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | No-dynamic-arbitrage and market impact |
scientific article |
Statements
No-dynamic-arbitrage and market impact (English)
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21 September 2010
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stochastic volatility
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volatility modelling
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volatility smile fitting
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volatility surfaces
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stochastic jumps
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options volatility
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options pricing
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