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Optimal posting price of limit orders : learning by trading

Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles - In: Mathematics and financial economics 7 (2013) 3, pp. 359-403

Persistent link: https://www.econbiz.de/10009754843

The behavior of high-frequency traders under different market stress scenarios

Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54

Persistent link: https://www.econbiz.de/10011988891

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

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

Market Impacts and the Life Cycle of Investors Orders

Bacry, Emmanuel - 2014

In this paper, we use a database of around 400,000 metaorders issued by investors and electronically traded on European markets in 2010 in order to study market impact at different scales.At the intraday scale we confirm a square root temporary impact in the daily participation, and we shed...

Persistent link: https://www.econbiz.de/10013043177

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