Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity
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Publication:2288912
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Cites work
- High frequency trading, liquidity, and execution cost
- Market Microstructure Invariance: Empirical Hypotheses
- Optimal execution strategies in limit order books with general shape functions
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal liquidation strategies and their implications
- Price Manipulation and Quasi-Arbitrage
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- Smooth trading with overconfidence and market power
- Systemic risk, financial markets, and performance of financial institutions
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