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Insider trading, stochastic liquidity, and equilibrium prices

Collin-Dufresne, Pierre; Fos, Vyacheslav - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1441-1475

Persistent link: https://www.econbiz.de/10011611102

Utility maximization in an illiquid market in continuous time

Soner, Halil Mete; Vukelja, Mirjana - In: Mathematical methods of operations research 84 (2016) 2, pp. 285-321

Persistent link: https://www.econbiz.de/10011673528

Option pricing with stochastic liquidity risk : theory and evidence

Feng, Shih-ping; Hung, Mao-Wei; Wang, Yaw-huei - In: Journal of financial markets 18 (2014), pp. 77-95

Persistent link: https://www.econbiz.de/10010442476

Option valuation with liquidity risk and jumps

Zhang, Hai; Ku, Hyejin - In: Applied economics letters 25 (2018) 6, pp. 381-387

Persistent link: https://www.econbiz.de/10011854549

Optimal execution : a review

Donnelly, Ryan - In: Applied mathematical finance 29 (2022) 3, pp. 181-212

Persistent link: https://www.econbiz.de/10013554798

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Hawkes processes in finance

Bacry, Emmanuel; Mastromatteo, Iacopo; Muzy, Jean-François - In: Market microstructure and liquidity 1 (2015) 1, pp. 1-59

Persistent link: https://www.econbiz.de/10011588193

Portfolio optimization for a large investor under partial information and price impact

Eksi, Zehra; Ku, Hyejin - In: Mathematical methods of operations research 86 (2017) 3, pp. 601-623

Persistent link: https://www.econbiz.de/10011793402

Risk-averse dynamic arbitrage in illiquid markets

Moazeni, Somayeh; Collado, Ricardo A.; Zhang, Andy - In: Journal of risk 20 (2017/2018) 4, pp. 55-74

Persistent link: https://www.econbiz.de/10011848929

Optimal trade execution under endogenous pressure to liquidate : theory and numerical solutions

Brunovský, Pavol; Černý, Aleš; Komadel, Ján - In: European journal of operational research : EJOR 264 (2018) 3, pp. 1159-1171

Persistent link: https://www.econbiz.de/10011802354