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Roch, Alexandre - In: Mathematics and financial economics 12 (2018) 2, pp. 275-304

Persistent link: https://www.econbiz.de/10011963853

RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY

ROCH, ALEXANDRE; SONER, H. METE - In: International Journal of Theoretical and Applied … 16 (2013) 06, pp. 1350037-1

We construct a model for liquidity risk and price impacts in a limit order book setting with depth, resilience and tightness. We derive a wealth equation and a characterization of illiquidity costs. We show that we can separate liquidity costs due to depth and resilience from those related to...

Persistent link: https://www.econbiz.de/10011011261

Liquidity risk, price impacts and the replication problem

Roch, Alexandre - In: Finance and Stochastics 15 (2011) 3, pp. 399-419

Persistent link: https://www.econbiz.de/10009324935

Optimal execution cost for liquidation through a limit order market

Chevalier, Etienne; Ly Vath, Vathana; Scotti, Simone; … - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10011453884

Valuing corporate securities when the firm's assets are illiquid

Ben-Ameur, Hatem; Fakhfakh, Tarek; Roch, Alexandre - In: Computational economics 63 (2024) 2, pp. 579-598

Persistent link: https://www.econbiz.de/10014472506

Introduction to the series

Brunner, K.; Meltzer, A. H. - In: Carnegie-Rochester Conference Series on Public Policy 26 (1987) 1

Persistent link: https://www.econbiz.de/10005429636

Introduction to the series

Brunner, K.; Meltzer, A. H. - In: Carnegie-Rochester Conference Series on Public Policy 6 (1977) 1

Persistent link: https://www.econbiz.de/10005430666

Introduction to the series

Brunner, K.; Meltzer, A. H. - In: Carnegie-Rochester Conference Series on Public Policy 18 (1983) 1

Persistent link: https://www.econbiz.de/10005430728

Introduction to the series

Brunner, K.; Meltzer, A. H. - In: Carnegie-Rochester Conference Series on Public Policy 20 (1984) 1

Persistent link: https://www.econbiz.de/10005430780

Introduction to the series

Brunner, K.; Meltzer, A. H. - In: Carnegie-Rochester Conference Series on Public Policy 22 (1985) 1

Persistent link: https://www.econbiz.de/10005430790