Price impact and bursts in liquidity provision

DOI10.1080/14697688.2017.1420209MaRDI QIDQ4554485zbMATH OpenOpenAlexFDO

Authors

Publication date 14 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2017.1420209

zbMATH Keywords

high-frequency tradingprice impactadverse selectionmarket quality

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Liquidity fluctuations and the latent dynamics of price impact
• Liquidity risk, price impacts and the replication problem
• Resilient price impact of trading and the cost of illiquidity
• Dynamic liquidation under market impact
• Liquidity management and stock price reactions in an economic crisis
• Pricing Liquidity in the Stock Market
• Market liquidity. Asset pricing, risk, and crises
• Market-makers' supply and pricing of financial market liquidity.
• Liquidity and Trading Dynamics

Cites work

• scientific article; zbMATH DE number 6324332 (Why is no real title available?)
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Continuous Auctions and Insider Trading
• Encyclopedia of quantitative finance. 4 Volumes.
• The market impact of a limit order

Cited in

(3)

• Market impact as anticipation of the order flow imbalance
• Liquidity management and stock price reactions in an economic crisis
• Volatility modeling and prediction: the role of price impact

This page was built for publication: Price impact and bursts in liquidity provision

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4554485)