Bid-Ask Spread Modelling, a Perturbation Approach

DOI10.1007/978-3-0348-0545-2_21MaRDI QIDQ5746535zbMATH OpenOpenAlexFDO

Authors Thomas Lim, Vathana Ly Vath, Jean Michel Sahut, Simone Scotti

Publication date 19 February 2014

Published in Seminar on Stochastic Analysis, Random Fields and Applications VII (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0545-2_21

zbMATH Keywords

bid-ask spreaderror theory using Dirichlet formsliquidityoptimal control problemorder books

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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Cites work

• A model of optimal portfolio selection under liquidity risk and price impact
• An introduction to infinite-dimensional analysis
• Continuous Auctions and Insider Trading
• Error Calculus and Path Sensitivity in Financial Models
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• Liquidity risk and arbitrage pricing theory
• Mathematical methods for financial markets.
• More statistical properties of order books and price impact
• Optimal consumption choices for a `large' investor
• Optimal Quantization for the Pricing of Swing Options
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Statistical properties of stock order books: empirical results and models
• Stochastic optimal control. The discrete time case

Cited in

(9)

• A maximum (non-extensive) entropy approach to equity options bid-ask spread
• Semiparametric identification of the bid-ask spread in extended Roll models
• Market making and portfolio liquidation under uncertainty
• Relation between bid–ask spread, impact and volatility in order-driven markets
• UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS
• Applications of the error theory using Dirichlet forms.
• A stochastic control approach to bid-ask price modelling
• On Bid and Ask Side-Specific Tick Sizes
• Bid-ask spread dynamics: large upward jump with geometric catastrophes

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