Pages that link to "Item:Q1873946"
From MaRDI portal
The following pages link to More statistical properties of order books and price impact (Q1873946):
Displayed 50 items.
- Dynamic optimal execution in a mixed-market-impact Hawkes price model (Q261925) (← links)
- Adaptive basket liquidation (Q287672) (← links)
- The market impact of a limit order (Q433360) (← links)
- A Hamilton-Jacobi-Bellman approach to optimal trade execution (Q617638) (← links)
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (Q964670) (← links)
- The role of communication and imitation in limit order markets (Q977765) (← links)
- Interacting gaps model, dynamics of order book, and stock-market fluctuations (Q978792) (← links)
- Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices (Q978838) (← links)
- Statistical regularities in the return intervals of volatility (Q978840) (← links)
- Mechanical vs. informational components of price impact (Q978856) (← links)
- Explicit solution for constrained optimal execution problem with general correlated market depth (Q1655928) (← links)
- Price dynamics in an order-driven market with Bayesian learning (Q1723051) (← links)
- Optimal execution with price impact under cumulative prospect theory (Q2150064) (← links)
- Optimal pair-trade execution with generalized cross-impact (Q2172552) (← links)
- Deep reinforcement learning for the optimal placement of cryptocurrency limit orders (Q2242354) (← links)
- The impact of heterogeneous trading rules on the limit order book and order flows (Q2271649) (← links)
- Limit order books (Q2871425) (← links)
- How efficiency shapes market impact (Q2871427) (← links)
- Integer-valued Lévy processes and low latency financial econometrics (Q2873033) (← links)
- The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books (Q2889582) (← links)
- Mathematical Models for Stock Pinning near Option Expiration Dates (Q2892965) (← links)
- Optimal Basket Liquidation for CARA Investors is Deterministic (Q3063877) (← links)
- Limit-order book resiliency after effective market orders: spread, depth and intensity (Q3303138) (← links)
- Order book approach to price impact (Q3375377) (← links)
- Short-term market reaction after extreme price changes of liquid stocks (Q3437383) (← links)
- Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions (Q3456837) (← links)
- High-frequency trading in a limit order book (Q3502183) (← links)
- QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS (Q3503185) (← links)
- The next tick on Nasdaq (Q3518386) (← links)
- Diffusive behavior and the modeling of characteristic times in limit order executions (Q3645197) (← links)
- A LIQUIDATION RISK ADJUSTMENT FOR VALUE AT RISK AND EXPECTED SHORTFALL (Q4565070) (← links)
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies (Q4584996) (← links)
- Optimal Execution and Price Manipulations in Time-varying Limit Order Books (Q4586029) (← links)
- What really causes large price changes? (Q4610246) (← links)
- Internalisation by electronic FX spot dealers (Q4628034) (← links)
- Non-constant rates and over-diffusive prices in a simple model of limit order markets (Q4647254) (← links)
- On the origin of power-law tails in price fluctuations (Q4647591) (← links)
- A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback (Q4683036) (← links)
- The order book as a queueing system: average depth and influence of the size of limit orders (Q4683096) (← links)
- MARKET IMPACT AND ORDER BOOK CHARACTERISTICS IN THE KOREAN FUTURES MARKET (Q4911503) (← links)
- Two price regimes in limit order books: liquidity cushion and fragmented distant field (Q5032076) (← links)
- Equilibrium Model of Limit Order Books: A Mean-Field Game View (Q5050094) (← links)
- Fragmentation, Price Formation and Cross-Impact in Bitcoin Markets (Q5103917) (← links)
- OPTIMAL SELLING STRATEGY WITH A LARGE BLOCK OF STOCK (Q5121205) (← links)
- Clearing price distributions in call auctions (Q5139246) (← links)
- Optimal and equilibrium execution strategies with generalized price impact (Q5139257) (← links)
- DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS (Q5157841) (← links)
- Optimal execution strategies in limit order books with general shape functions (Q5190130) (← links)
- Optimal Strategy for Limit Order Book Submissions in High Frequency Trading (Q5372046) (← links)
- Optimal portfolio execution under time-varying liquidity constraints (Q5373911) (← links)