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Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process
16 references·1 citing·46 second hop
Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process (2013)Market Microstructure Knowledge Needed fo…High Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…No-dynamic-arbitrage and market impact (2010)No-dynamic-arbitrage and mark…Optimal execution strategies in limit order books with general shape functions (2009)Optimal execution strategies …High-frequency trading in a limit order book (2008)High-frequency trading in a l…Mean field games (2007)Mean field gamesInstitutional Investors and Stock Market Volatility (2006)Institutional Investors and S…On covariance estimation of non-synchronously observed diffusion processes (2005)On covariance estimation of n…Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Market microstructure: A surv…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesMaster curve for price-impact function (2003)Master curve for price-impact…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Essentials of Stochastic Finance (1999)Essentials of Stochastic Fina…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Price Manipulation in a Market Impact Model with Dark Pool (2011)Price Manipulation in a Marke…Common stock repurchases (1981)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Mean Field Games and Applications (2010)Probabilistic Analysis of Mean-Field Games (2013)Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach (2021)On estimating the expected return on the market (1980)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market Liquidity and Funding Liquidity (2008)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)High frequency market microstructure (2015)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Brownian Motion and Stochastic Calculus (2007)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)The Econometrics of Financial Markets (2012)Market microstructure theory (1995)Buy Low Sell High: A High Frequency Trading Perspective (2011)Dealing with the inventory risk: a solution to the market making problem (2012)Handbook of the Economics of Finance (2013)Recent advances in reinforcement learning in finance (2023)The Distribution of Realized Exchange Rate Volatility (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Colloquium : Statistical mechanics of money, wealth, and income (2009)Cross-correlations between volume change and price change (2009)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2007Mean field games2,638 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 2006Institutional Investors and Stock Market Volatility539 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 2005Market microstructure: A survey of microfoundations, empirical results, and policy implications471 cited
  • 2003Master curve for price-impact function453 cited
  • 1999Essentials of Stochastic Finance412 cited
  • 2009Optimal execution strategies in limit order books with general shape functions408 cited
  • 2005On covariance estimation of non-synchronously observed diffusion processes407 cited
  • 2010No-dynamic-arbitrage and market impact

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  • 2011Price Manipulation in a Market Impact Model with Dark Pool23 cited