Signing trades and an evaluation of the Lee-Ready algorithm

DOI10.1007/S10436-011-0184-8zbMATH Open1298.91204OpenAlexW1978077816MaRDI QIDQ470417FDOQ470417

Authors: Marcel Blais, Philip Protter 

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-011-0184-8

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zbMATH Keywords

limit order bookliquidityLee-Ready algorithmsigning tradessupply curvetick data

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

Cites Work

• Liquidity risk and arbitrage pricing theory
• Option hedging for small investors under liquidity costs
• An analysis of the supply curve for liquidity risk through book data

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