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Market microstructure and liquidity
Review of quantitative finance and accounting
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1
Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?
Cebiroglu, Gökhan
;
Hautsch, Nikolaus
;
Horst, Ulrich
- In:
Market microstructure and liquidity
5
(
2019
)
1/4
,
pp. 1-52
Persistent link: https://www.econbiz.de/10012819933
Saved in:
2
Limit order book (LOB) shape modeling in presence of heterogeneously informed market participants
Drame, Mouhamad
- In:
Market microstructure and liquidity
5
(
2019
)
1/4
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012820075
Saved in:
3
Optimal execution in a multiplayer model of transient price impact
Strehle, Elias
- In:
Market microstructure and liquidity
3
(
2017
)
3/4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011988893
Saved in:
4
Market impact : a systematic study of limit orders
Said, Emilio
;
Bel Hadj Ayed, Ahmed
;
Husson, Alexandre
; …
- In:
Market microstructure and liquidity
3
(
2017
)
3/4
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011988894
Saved in:
5
Information and inventories in high-frequency trading
Muhle-Karbe, Johannes
;
Webster, Kevin
- In:
Market microstructure and liquidity
3
(
2017
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011923306
Saved in:
6
High frequency asymptotics for the limit order book
Lakner, Peter
;
Reed, Josh
;
Stoikov, Sasha
- In:
Market microstructure and liquidity
2
(
2016
)
1
,
pp. 1-83
Persistent link: https://www.econbiz.de/10011588237
Saved in:
7
Reconstruction of order flows using aggregated data
Toke, Ioane Muni
- In:
Market microstructure and liquidity
2
(
2016
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011588245
Saved in:
8
Extension and calibration of a Hawkes-based optimal execution model
Alfonsi, Aurélien
;
Blanc, Pierre
- In:
Market microstructure and liquidity
2
(
2016
)
2
,
pp. 1-55
Persistent link: https://www.econbiz.de/10011588251
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