Pages that link to "Item:Q4610223"
From MaRDI portal
The following pages link to Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (Q4610223):
Displayed 50 items.
- Dynamic optimal execution in a mixed-market-impact Hawkes price model (Q261925) (← links)
- Adaptive basket liquidation (Q287672) (← links)
- Application of the cluster expansion to a mathematical model of the long memory phenomenon in a financial market (Q372927) (← links)
- Optimal trading of algorithmic orders in a liquidity fragmented market place (Q492830) (← links)
- Trading volume in financial markets: an introductory review (Q508275) (← links)
- Exploring the dynamics of financial markets: from stock prices to strategy returns (Q508286) (← links)
- Order aggressiveness, pre-trade transparency, and long memory in an order-driven market (Q658641) (← links)
- Trading strategy with stochastic volatility in a limit order book market (Q777935) (← links)
- Variational time-fractional mean field games (Q778097) (← links)
- Optimal allocation of trend following strategies (Q1618529) (← links)
- Why is equity order flow so persistent? (Q1623998) (← links)
- Explicit solution for constrained optimal execution problem with general correlated market depth (Q1655928) (← links)
- Following a trend with an exponential moving average: analytical results for a Gaussian model (Q1782520) (← links)
- The fine-structure of volatility feedback. I: Multi-scale self-reflexivity (Q1782966) (← links)
- A class of optimal portfolio liquidation problems with a linear decreasing impact (Q1992659) (← links)
- Particle-scale modelling of financial price dynamics (Q2005013) (← links)
- Order flow in the financial markets from the perspective of the fractional Lévy stable motion (Q2060649) (← links)
- A continuous and efficient fundamental price on the discrete order book grid (Q2149276) (← links)
- Optimal pair-trade execution with generalized cross-impact (Q2172552) (← links)
- Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact (Q2200233) (← links)
- Regularized stochastic dual dynamic programming for convex nonlinear optimization problems (Q2218885) (← links)
- Random-time isotropic fractional stable fields (Q2248940) (← links)
- High frequency trading strategies, market fragility and price spikes: an agent based model perspective (Q2288938) (← links)
- Exploring the financial risk of a temperature index: a fractional integrated approach (Q2288969) (← links)
- Stochastic chaos in chemical Lorenz system: interplay of intrinsic noise and nonlinearity (Q2679925) (← links)
- Nonlinear price impact from linear models (Q3302935) (← links)
- Limit-order book resiliency after effective market orders: spread, depth and intensity (Q3303138) (← links)
- Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions (Q3456837) (← links)
- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (Q4554209) (← links)
- Optimal execution in Hong Kong given a market-on-close benchmark (Q4554447) (← links)
- Linear models for the impact of order flow on prices. I. History dependent impact models (Q4554471) (← links)
- Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model (Q4554472) (← links)
- Optimal execution with non-linear transient market impact (Q4555057) (← links)
- Low-latency liquidity inefficiency strategies (Q4555102) (← links)
- Complexity Analysis and Systemic Risk in Finance: Some Methodological Issues (Q4562472) (← links)
- High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact (Q4607045) (← links)
- What really causes large price changes? (Q4610246) (← links)
- Anomalous waiting times in high-frequency financial data (Q4610281) (← links)
- Market impact with multi-timescale liquidity (Q4619521) (← links)
- Cross-impact and no-dynamic-arbitrage (Q4628040) (← links)
- On the origin of power-law tails in price fluctuations (Q4647591) (← links)
- On the origin of power-law fluctuations in stock prices (Q4647592) (← links)
- A fully consistent, minimal model for non-linear market impact (Q4683067) (← links)
- Market impact as anticipation of the order flow imbalance (Q4683068) (← links)
- Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders (Q4683095) (← links)
- A stationary Kyle setup: microfounding propagator models (Q4992316) (← links)
- Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets (Q5031627) (← links)
- The inelastic market hypothesis: a microstructural interpretation (Q5041659) (← links)
- Liquidity fluctuations and the latent dynamics of price impact (Q5068077) (← links)
- DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS (Q5157841) (← links)