Signing trades and an evaluation of the Lee-Ready algorithm

DOI10.1007/S10436-011-0184-8MaRDI QIDQ470417zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

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