Liquidity fluctuations and the latent dynamics of price impact
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Cites work
- Continuous Auctions and Insider Trading
- Encyclopedia of quantitative finance. 4 Volumes.
- Fluctuations and response in financial markets: the subtle nature of `random' price changes
- Functional data analysis for volatility
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- Incorporating order-flow into optimal execution
- Mean-field games with differing beliefs for algorithmic trading
- The Long Memory of the Efficient Market
- The market impact of a limit order
- The price impact of order book events: market orders, limit orders and cancellations
- Time series analysis by state space methods.
- Trading algorithms with learning in latent alpha models
- What really causes large price changes?
Cited in
(22)- Liquidity shocks and equilibrium liquidity premia.
- Liquidity management and stock price reactions in an economic crisis
- A continuous and efficient fundamental price on the discrete order book grid
- Capturing the order imbalance with hidden Markov model: a case of SET50 and KOSPI50
- Learning about latent dynamic trading demand
- Forecasting prices from level-I quotes in the presence of hidden liquidity
- Predicting equity liquidity
- The impact of transaction duration, volume and direction on price dynamics and volatility
- The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market*
- Liquidity and Trading Dynamics
- Time-varying liquidity and market depth
- Price impact and bursts in liquidity provision
- Liquidity effects of trading frequency
- Liquidity risk, price impacts and the replication problem
- How does latent liquidity get revealed in the limit order book?
- Pricing Liquidity in the Stock Market
- scientific article; zbMATH DE number 7307119 (Why is no real title available?)
- Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics
- Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book
- Optimal Trade Execution Strategy and Implementation with Deterministic Market Impact Parameters
- Reinforcement Learning for Optimal Execution When Liquidity Is Time-Varying
- On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach
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