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When to Cross the Spread? Trading in Two-Sided Limit Order Books
16 references·6 citing·41 second hop
When to Cross the Spread? Trading in Two-Sided Limit Order Books (2014)When to Cross the Spread? Trading in Two-…Optimal trading strategy and supply/demand dynamics (2012)Optimal trading strategy and …Optimal Execution in a General One-Sided Limit-Order Book (2011)Optimal Execution in a Genera…Optimal execution strategies in limit order books with general shape functions (2009)Optimal execution strategies …Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (2008)Risk aversion and the dynamic…Direct Estimation of Equity Market Impact (2005)Direct Estimation of Equity M…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…A maximum principle for optimal control of stochastic systems with delay, with applications to finance (2000)A maximum principle for optim…Hedging and liquidation under transaction costs in currency markets (1999)Hedging and liquidation under…Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Reflected solutions of backwa…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Large-block transactions, the speed of response, and temporary and permanent stock-price effects (1990)Large-block transactions, the…The effect of large block transactions on security prices: A cross-sectional analysis (1987)The effect of large block tra…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Some solvable stochastic control problemst† (1980)Some solvable stochastic cont…PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)PRICE IMPACTS OF BLOCK TRADIN…Smooth solutions to portfolio liquidation problems under price-sensitive market impact (2017)Smooth solutions to portfolio…Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience (2017)Optimal Trade Execution with …Mean Field Games with Singular Controls (2017)Mean Field Games with Singula…A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure (2017)A Partitioning Algorithm for …A Law of Large Numbers for Limit Order Books (2017)A Law of Large Numbers for Li…Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting (2016)Minimal supersolutions for BS…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)Price, trade size, and information in securities markets (1987)A Theory of Intraday Patterns: Volume and Price Variability (1988)Socially Irresponsible and Illegal Behavior and Shareholder Wealth (1997)Price Pressure around Mergers (2004)IQ, trading behavior, and performance (2011)Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)Continuous Martingales and Brownian Motion (1999)Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type (1999)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic Differential Equations (2014)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Insider Trading and the Efficiency of Stock Prices (1992)Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimum consumption and portfolio rules in a continuous-time model (1971)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Institutional trades and intraday stock price behavior (1993)The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)Presidential Address: Friction (2000)Optimal control of execution costs (1998)No-dynamic-arbitrage and market impact (2010)Limit order books (2013)Price Dynamics in a Markovian Limit Order Market (2013)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)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)A Stochastic Model for Order Book Dynamics (2010)The Price Impact of Order Book Events (2013)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's704 cited
  • 1972PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE671 cited
  • 2012Optimal trading strategy and supply/demand dynamics560 cited
  • 1987The effect of large block transactions on security prices: A cross-sectional analysis464 cited
  • 1990Large-block transactions, the speed of response, and temporary and permanent stock-price effects430 cited
  • 2009Optimal execution strategies in limit order books with general shape functions408 cited
  • 2005Direct Estimation of Equity Market Impact363 cited
  • 1980Some solvable stochastic control problemst†316 cited
  • 1999Hedging and liquidation under transaction costs in currency markets257 cited
  • 2008Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets232 cited
  • 2011Optimal Execution in a General One-Sided Limit-Order Book

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183 cited
  • 2000A maximum principle for optimal control of stochastic systems with delay, with applications to finance117 cited
  • Cited by

    • 2017Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience45 cited
    • 2016Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting45 cited
    • 2017Smooth solutions to portfolio liquidation problems under price-sensitive market impact44 cited
    • 2017Mean Field Games with Singular Controls39 cited
    • 2017A Law of Large Numbers for Limit Order Books35 cited
    • 2017A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure33 cited