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The effects of market-making on price dynamics
13 references·3 citing·42 second hop
The effects of market-making on price dynamics (2008)The effects of market-making on price dyn…The predictive power of zero intelligence in financial markets (2005)The predictive power of zero …A learning market-maker in the Glosten–Milgrom model (2005)A learning market-maker in th…Agent-based simulation of a financial market (2001)Agent-based simulation of a f…Market microstructure: A survey (2000)Market microstructure: A surv…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Agent-based computational finance: Suggested readings and early research (2000)Agent-based computational fin…Market microstructure theory (1995)Market microstructure theoryTime and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Reshaping the equity markets: a guide for the 1990s (1991)Reshaping the equity markets:…Liquidity and Market Structure (1988)Liquidity and Market StructureContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Dealership market (1980)Dealership marketReinforcement Learning for Market Making in a Multi-agent Dealer Market (2019)Reinforcement Learning for Ma…Latency arbitrage, market fragmentation, and efficiency (2013)Latency arbitrage, market fra…Adaptive Market Making via Online Learning (2013)Adaptive Market Making via On…The Cost of Transacting (1968)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Liquidity and Market Efficiency (2007)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)On the Impossibility of Informationally Efficient Markets (1980)The equity premium: A puzzle (1985)ARCH modeling in finance (1992)Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems (2013)Expected stock returns and volatility (1987)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)5 Stochastic volatility (1996)Théorie de la spéculation (1900)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Statistics for Long-Memory Processes. (1996)Statistical theory of the continuous double auction (2003)Multifractal analysis of financial markets: a review (2019)Agent-Based Modeling in Economics and Finance: Past, Present, and Future (2025)Portfolio Selection: Efficient Diversification of Investments (1959)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Liquidity and stock returns: An alternative test (1998)A New Estimate of Transaction Costs (1999)Commonality in liquidity (2000)Common risk factors in the returns on stocks and bonds (1993)Order imbalance, liquidity, and market returns (2002)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Corporate Bond Market Transaction Costs and Transparency (2007)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Realized Variance and Market Microstructure Noise (2006)Noise Trader Risk in Financial Markets (1990)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1995Market microstructure theory1,305 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 2000Market microstructure: A survey1,133 cited
  • 1980Dealership market965 cited
  • 2000Agent-based computational finance: Suggested readings and early research557 cited
  • 2005The predictive power of zero intelligence in financial markets452 cited
  • 2001Agent-based simulation of a financial market184 cited
  • 1991Reshaping the equity markets: a guide for the 1990s94 cited
  • 2005A learning market-maker in the Glosten–Milgrom model56 cited

Cited by

  • 2019Reinforcement Learning for Market Making in a Multi-agent Dealer Market39 cited
  • 2013Latency arbitrage, market fragmentation, and efficiency33 cited
  • 2013

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Adaptive Market Making via Online Learning
25 cited