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~subject:"Marktmikrostruktur"
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The behavior of high-frequency...
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Marktmikrostruktur
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Lehalle, Charles-Albert
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Rosenbaum, Mathieu
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Laruelle, Sophie
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Cardaliaguet, Pierre
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Market microstructure and liquidity
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Econophysics of Order-driven Markets : proceedings of Econophys-Kolkata V
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ECONIS (ZBW)
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Assessing MiFID II regulation on tick sizes : a transaction costs analysis viewpoint
Laruelle, Sophie
;
Rosenbaum, Mathieu
;
Savku, Emel
- In:
Market microstructure and liquidity
5
(
2019
)
1/4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012819950
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Volatility and covariation estimation when microstructure noise and trading times are endogenous
Robert, Christian Yann
;
Rosenbaum, Mathieu
- In:
Mathematical finance : an international journal of …
22
(
2012
)
1
,
pp. 133-164
Persistent link: https://www.econbiz.de/10009554688
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3
Large tick assets : implicit spread and optimal tick size
Dayri, Khalil
;
Rosenbaum, Mathieu
- In:
Market microstructure and liquidity
1
(
2015
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011588190
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4
The microstructural foundations of leverage effect and rough volatility
El Euch, Omar
;
Fukasawa, Masaaki
;
Rosenbaum, Mathieu
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 241-280
Persistent link: https://www.econbiz.de/10011945670
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5
The information content of high-frequency traders aggressive orders : recent evidence
Saliba, Pamela
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1779-1794
Persistent link: https://www.econbiz.de/10012295637
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6
Learning a functional control for high-frequency finance
Leal, Laura
;
Lauriere, Mathieu
;
Lehalle, Charles-Albert
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 1973-1987
Persistent link: https://www.econbiz.de/10013490928
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7
High-frequency simulations of an order book : a two-scale approach
Lehalle, Charles-Albert
;
Guéant, Olivier
; …
- In:
Econophysics of Order-driven Markets : proceedings of …
,
(pp. 73-92)
.
2011
Persistent link: https://www.econbiz.de/10009348942
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8
Limit order strategic placement with adverse selection risk and the role of latency
Lehalle, Charles-Albert
;
Mounjid, Othmane
- In:
Market microstructure and liquidity
3
(
2017
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011778311
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9
Market impacts and the life cycle of investors orders
Bacry, Emmanuel
;
Iuga, Adrian
;
Lasnier, Matthieu
; …
- In:
Market microstructure and liquidity
1
(
2015
)
2
,
pp. 1-46
Persistent link: https://www.econbiz.de/10011588222
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10
Co-impact : crowding effects in institutional trading activity
Bucci, Frederic
;
Mastromatteo, Iacopo
;
Eisler, Zoltan
; …
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 193-205
Persistent link: https://www.econbiz.de/10012194861
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