MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH

DOI10.1142/S0219024919500456zbMath1430.91098arXiv1912.04565OpenAlexW3098100945WikidataQ126812785 ScholiaQ126812785MaRDI QIDQ5210916

Masaaki Kijima, Christopher Ting

Publication date: 16 January 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.04565

zbMATH Keywords

market microstructureprice impactmarket price of riskorder flow

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Option pricing with an illiquid underlying asset market
• Liquidity risk and arbitrage pricing theory
• Dynamic Hedging Under Jump Diffusion with Transaction Costs
• Continuous Auctions and Insider Trading
• Optimal Trading with Stochastic Liquidity and Volatility
• TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS

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