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Theorie
Bid-ask spread
9
Geld-Brief-Spanne
9
Theory
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Börsenkurs
7
Securities trading
7
Share price
7
Wertpapierhandel
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Quantitative finance
Journal of financial economics
13
Journal of financial markets
12
Journal of banking & finance
11
The review of financial studies
10
International journal of theoretical and applied finance
8
Working paper / National Bureau of Economic Research, Inc.
7
Discussion paper / Centre for Economic Policy Research
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Journal of international financial markets, institutions & money
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The European journal of finance
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Finance research letters
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Journal of economic dynamics & control
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Journal of empirical finance
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Market microstructure and liquidity
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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NBER working paper series
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Review of quantitative finance and accounting
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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European financial management : the journal of the European Financial Management Association
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NES working paper series : working paper
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Research in international business and finance
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The journal of finance : the journal of the American Finance Association
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The journal of trading
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Applied economics
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CFS working paper series
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Federal Reserve Bank of Cleveland working paper series
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Gabler Edition Wissenschaft
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International journal of financial engineering
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1
State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime
;
Pakkanen, Mikko S.
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 563-583
Persistent link: https://www.econbiz.de/10013167781
Saved in:
2
Rule-based trading on an order-driven exchange : a reassessment
Isaac, Alan Glen
;
Ramaswamy, Vasudeva
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1871-1886
Persistent link: https://www.econbiz.de/10014452482
Saved in:
3
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
Echenim, Mnacho
;
Gobet, Emmanuel
;
Maurice, Anne-Claire
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1285-1304
Persistent link: https://www.econbiz.de/10014339922
Saved in:
4
Analyzing order flows in limit order books with ratios of Cox-type intensities
Toke, Ioane Muni
;
Yoshida, Nakahiro
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 81-98
Persistent link: https://www.econbiz.de/10012194856
Saved in:
5
Learning multi-market microstructure from order book data
Ju, Geonhwan
;
Kim, Kyoung-Kuk
;
Lim, Dong-Young
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1517-1529
Persistent link: https://www.econbiz.de/10012194803
Saved in:
6
Price impact and bursts in liquidity provision
Gençay, Ramazan
;
Mahmoodzadeh, S.
;
Rojček, Jakub
; …
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1129-1148
Persistent link: https://www.econbiz.de/10011911529
Saved in:
7
High-dimensional Hawkes processes for limit order books : modelling, empirical analysis and numerical calibration
Lu, Xiaofei
;
Abergel, Frédéric
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 249-264
Persistent link: https://www.econbiz.de/10011905913
Saved in:
8
Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations
Isaenko, Sergei
- In:
Quantitative finance
18
(
2018
)
12
,
pp. 2051-2065
Persistent link: https://www.econbiz.de/10012262965
Saved in:
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