Approximation and comparison of the empirical liquidity cost function for various futures contracts

DOI10.25587/svfu.2021.37.62.008MaRDI QIDQ6117560

Dmitriĭ Borisovich Izergin, Mikhail M. Dyshaev, Vladimir Evgenyevich Fedorov

Publication date: 20 March 2024

Published in: Журнал «Математические заметки СВФУ» (Search for Journal in Brave)

zbMATH Keywords

optimal executionlimit order bookfutures contractsinitial margincost of liquidity

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
• Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
• RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY
• Limit order books
• Reduced form modeling of limit order markets
• A Stochastic Model for Order Book Dynamics
• THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
• Aggressive Orders and the Resiliency of a Limit Order Market*
• Continuous Auctions and Insider Trading
• A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies

This page was built for publication: Approximation and comparison of the empirical liquidity cost function for various futures contracts