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Applied mathematical finance
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25
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ECONIS (ZBW)
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1
Optimal execution : a review
Donnelly, Ryan
- In:
Applied mathematical finance
29
(
2022
)
3
,
pp. 181-212
Persistent link: https://www.econbiz.de/10013554798
Saved in:
2
The market quality implications of speed in cross-platform trading : evidence from Frankfurt-London microwave networks
Rzayev, Khaladdin
;
Ibikunle, Gbenga
;
Steffen, Tom
- In:
Journal of financial markets
66
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014472946
Saved in:
3
US cross-listing and domestic high-frequency trading : evidence from Canadian stocks
Dodd, Olga
;
Frijns, Bart
;
Indriawan, Ivan
;
Pascual, Roberto
- In:
Journal of empirical finance
72
(
2023
),
pp. 301-320
Persistent link: https://www.econbiz.de/10014476858
Saved in:
4
Predictable losses of liquidity provision in constant function markets and concentrated liquidity markets
Cartea, Álvaro
;
Drissi, Fayçal
;
Monga, Marcello
- In:
Applied mathematical finance
30
(
2023
)
2
,
pp. 69-93
Persistent link: https://www.econbiz.de/10014443350
Saved in:
5
Liquid speed : a micro-burst fee for low-latency exchanges
Brolley, Michael
;
Zoican, Marius
- In:
Journal of financial markets
64
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014466067
Saved in:
6
On the choice of central counterparties in the EU
Demange, Gabrielle
;
Piquard, Thibaut
- In:
Journal of financial markets
64
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014466285
Saved in:
7
When is the order-to-trade ratio fee effective?
Aggarwal, Nidhi
;
Panchapagesan, Venkatesh
;
Thomas, Susan
- In:
Journal of financial markets
62
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014226688
Saved in:
8
Solvability of differential riccati equations and applications to algorithmic trading with signals
Drissi, Fayçal
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 457-493
Persistent link: https://www.econbiz.de/10014390281
Saved in:
9
Fast traders make a quick buck : the role of speed in liquidity provision
Baldauf, Markus
;
Mollner, Joshua
- In:
Journal of financial markets
58
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013253953
Saved in:
10
Inferring trade directions in fast markets
Jurkatis, Simon Willi
- In:
Journal of financial markets
58
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013254020
Saved in:
11
Attention : how high-frequency trading improves price efficiency following earnings announcements
Chakrabarty, Bidisha
;
Moulton, Pamela C.
;
Wang, Xu
- In:
Journal of financial markets
57
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013188308
Saved in:
12
Intraday time series momentum : global evidence and links to market characteristics
Li, Zeming
;
Sakkas, Athanasios
;
Urquhart, Andrew
- In:
Journal of financial markets
57
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013188695
Saved in:
13
Asymmetric effects of the limit order book on price dynamics
Cenesizoglu, Tolga
;
Dionne, Georges
;
Zhou, Xiaozhou
- In:
Journal of empirical finance
65
(
2022
),
pp. 77-98
Persistent link: https://www.econbiz.de/10013286401
Saved in:
14
Hidden liquidity, market quality, and order submission strategies
Lee, Albert J.
;
Chung, Kee H.
- In:
Journal of financial markets
61
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013540481
Saved in:
15
Closed-form approximations in multi-asset market making
Bergault, Philippe
;
Evangelista, David
;
Guéant, Olivier
; …
- In:
Applied mathematical finance
28
(
2021
)
2
,
pp. 101-142
Persistent link: https://www.econbiz.de/10013171062
Saved in:
16
Double Deep Q-Learning for optimal execution
Ning, Brian
;
Lin, Franco Ho Ting
;
Jaimungal, Sebastian
- In:
Applied mathematical finance
28
(
2021
)
4
,
pp. 361-380
Persistent link: https://www.econbiz.de/10013411703
Saved in:
17
Speed and learning in high-frequency auctions
Haas, Marlene
;
Khapko, Mariana
;
Zoican, Marius
- In:
Journal of financial markets
54
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013273138
Saved in:
18
Optimal market making under partial information with general intensities
Campi, Luciano
;
Zabaljauregui, Diego
- In:
Applied mathematical finance
27
(
2020
)
1/2
,
pp. 1-45
Persistent link: https://www.econbiz.de/10012254093
Saved in:
19
Spoofing and price manipulation in order-driven markets
Cartea, Álvaro
;
Jaimungal, Sebastian
;
Wang, Yixuan
- In:
Applied mathematical finance
27
(
2020
)
1/2
,
pp. 67-98
Persistent link: https://www.econbiz.de/10012254104
Saved in:
20
High-frequency trading and institutional trading costs
Chen, Marie
;
Garriott, Corey
- In:
Journal of empirical finance
56
(
2020
),
pp. 74-93
Persistent link: https://www.econbiz.de/10012430411
Saved in:
21
Optimal trading with differing trade signals
Donnelly, Ryan
;
Lorig, Matthew
- In:
Applied mathematical finance
27
(
2020
)
4
,
pp. 317-344
Persistent link: https://www.econbiz.de/10012425325
Saved in:
22
Fast and slow informed trading
Roşu, Ioanid
- In:
Journal of financial markets
43
(
2019
),
pp. 1-30
Persistent link: https://www.econbiz.de/10012316293
Saved in:
23
Make-take decisions under high-frequency trading competition
Bernales, Alejandro
- In:
Journal of financial markets
45
(
2019
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012317442
Saved in:
24
How rigged are stock markets? : evidence from microsecond timestamps
Bartlett, Robert P.
;
McCrary, Justin
- In:
Journal of financial markets
45
(
2019
),
pp. 37-60
Persistent link: https://www.econbiz.de/10012317446
Saved in:
25
A state-space modeling of the information content of trading volume
Rzayev, Khaladdin
;
Ibikunle, Gbenga
- In:
Journal of financial markets
46
(
2019
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012317879
Saved in:
26
Mean-field game strategies for optimal execution
Huang, Xuancheng
;
Jaimungal, Sebastian
;
Nourian, Mojtaba
- In:
Applied mathematical finance
26
(
2019
)
2
,
pp. 153-185
Persistent link: https://www.econbiz.de/10012210268
Saved in:
27
Throttling hyperactive robots : order-to-trade ratios at the Oslo Stock Exchange
Jørgensen, Kjell
;
Skjeltorp, Johannes A.
;
Ødegaard, …
- In:
Journal of financial markets
37
(
2018
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012001006
Saved in:
28
Relative spread and price discovery
Aldrich, Eric M.
;
Lee, Seung
- In:
Journal of empirical finance
48
(
2018
),
pp. 81-98
Persistent link: https://www.econbiz.de/10012109271
Saved in:
29
Trading places : price leadership and the competition for order flow
Ibikunle, Gbenga
- In:
Journal of empirical finance
49
(
2018
),
pp. 178-200
Persistent link: https://www.econbiz.de/10012117739
Saved in:
30
Enhancing trading strategies with order book signals
Cartea, Álvaro
;
Donnelly, Ryan
;
Jaimungal, Sebastian
- In:
Applied mathematical finance
25
(
2018
)
1/2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011959112
Saved in:
31
Optimal decisions in a time priority queue
Donnelly, Ryan
;
Gan, Luhui
- In:
Applied mathematical finance
25
(
2018
)
1/2
,
pp. 107-147
Persistent link: https://www.econbiz.de/10011959122
Saved in:
32
Effects of lit and dark market fragmentation on liquidity
Gresse, Carole
- In:
Journal of financial markets
35
(
2017
),
pp. 1-20
Persistent link: https://www.econbiz.de/10011820138
Saved in:
33
Multiple markets, algorithmic trading, and market liquidity
Upson, James
;
Van Ness, Robert A.
- In:
Journal of financial markets
32
(
2017
),
pp. 49-68
Persistent link: https://www.econbiz.de/10011814965
Saved in:
34
A compound duration model for high-frequency asset returns
Aldrich, Eric M.
;
Heckenbach, Indra
;
Laughlin, Gregory
- In:
Journal of empirical finance
39
(
2016
),
pp. 105-128
Persistent link: https://www.econbiz.de/10011663312
Saved in:
35
Market quality breakdowns in equities
Gao, Cheng
;
Mizrach, Bruce Marshall
- In:
Journal of financial markets
28
(
2016
),
pp. 1-23
Persistent link: https://www.econbiz.de/10011722226
Saved in:
36
Price discovery and the cross-section of high-frequency trading
Benos, Evangelos
;
Sagade, Satchit
- In:
Journal of financial markets
30
(
2016
),
pp. 54-77
Persistent link: https://www.econbiz.de/10011722253
Saved in:
37
Does high-frequency trading increase systemic risk?
Jain, Pankaj K.
;
Jain, Pawan
;
McInish, Thomas H.
- In:
Journal of financial markets
31
(
2016
),
pp. 1-24
Persistent link: https://www.econbiz.de/10011722257
Saved in:
38
Reflecting on the VPIN dispute
Andersen, Torben
;
Bondarenko, Oleg
- In:
Journal of financial markets
17
(
2014
),
pp. 53-64
Persistent link: https://www.econbiz.de/10010436245
Saved in:
39
VPIN and the flash crash
Andersen, Torben
;
Bondarenko, Oleg
;
O'Hara, Maureen
- In:
Journal of financial markets
17
(
2014
),
pp. 1-46
Persistent link: https://www.econbiz.de/10010436257
Saved in:
40
Informational linkages between dark and lit trading venues
Nimalendran, Mahendrarajah
;
Ray, Sugata
- In:
Journal of financial markets
17
(
2014
),
pp. 230-261
Persistent link: https://www.econbiz.de/10010437249
Saved in:
41
Modelling asset prices for algorithmic and high-frequency trading
Cartea, Álvaro
;
Jaimungal, Sebastian
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 512-547
Persistent link: https://www.econbiz.de/10010235563
Saved in:
42
The diversity of high-frequency traders
Hagströmer, Björn
;
Nordén, Lars
- In:
Journal of financial markets
16
(
2013
)
4
,
pp. 741-770
Persistent link: https://www.econbiz.de/10010242210
Saved in:
43
High frequency trading and the new market makers
Menkveld, Albert J.
- In:
Journal of financial markets
16
(
2013
)
4
,
pp. 712-740
Persistent link: https://www.econbiz.de/10010242211
Saved in:
44
Very fast money : high-frequency trading on the NASDAQ
Carrion, Allen
- In:
Journal of financial markets
16
(
2013
)
4
,
pp. 680-711
Persistent link: https://www.econbiz.de/10010242212
Saved in:
45
Low-latency trading
Hasbrouck, Joel
;
Saar, Gideon
- In:
Journal of financial markets
16
(
2013
)
4
,
pp. 646-679
Persistent link: https://www.econbiz.de/10010242215
Saved in:
46
Latency, liquidity and price discovery
Riordan, Ryan
;
Storkenmaier, Andreas
- In:
Journal of financial markets
15
(
2012
)
4
,
pp. 416-437
Persistent link: https://www.econbiz.de/10009655268
Saved in:
47
The information content of a limit order book : the case of an FX market
Kozhan, Roman
;
Salmon, Mark H.
- In:
Journal of financial markets
15
(
2012
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009356615
Saved in:
48
Automation, speed, and stock market quality : the NYSE's Hybrid
Hendershott, Terrence
;
Moulton, Pamela C.
- In:
Journal of financial markets
14
(
2011
)
4
,
pp. 568-604
Persistent link: https://www.econbiz.de/10009260950
Saved in:
49
Local market makers, liquidity and market quality
Kedia, Simi
;
Zhou, Xing
- In:
Journal of financial markets
14
(
2011
)
4
,
pp. 540-567
Persistent link: https://www.econbiz.de/10009260961
Saved in:
50
Speed, distance, and electronic trading : new evidence on why location matters
Garvey, Ryan
;
Wu, Fei
- In:
Journal of financial markets
13
(
2010
)
4
,
pp. 367-396
Persistent link: https://www.econbiz.de/10009262104
Saved in:
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