Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems

11 references·16 citing·46 second hop

FromToDepth

this work references cited by second hop

References

1983Information Effects on the Bid-Ask Spread1,875 cited
1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
1998Optimal control of execution costs1,056 cited
1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes603 cited
1988The implementation shortfall441 cited
1996Limit Order Trading400 cited
1996Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy388 cited
1981Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread372 cited
1987Transaction Data Tests of the Mixture of Distributions Hypothesis321 cited
1988The Total Cost of Transactions on the NYSE316 cited

Cited by

2008Technology and liquidity provision: The blurring of traditional definitions279 cited
2003Informed trade in spot foreign exchange markets: an empirical investigation274 cited
2008The information content of an open limit‐order book259 cited
2001How Stock Splits Affect Trading: A Microstructure Approach

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

255 cited

2004Empirical Analysis of Limit Order Markets235 cited

2003Liquidity-Based Competition for Order Flow230 cited

2003Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis227 cited

2005Optimal Trading Strategy and Supply/Demand Dynamics222 cited

2002Quote setting and price formation in an order driven market216 cited

2010Do Limit Orders Alter Inferences about Investor Performance and Behavior?215 cited

2002Econometric models of limit-order executions211 cited

2008Limit Order Markets: A Survey202 cited

2009Algorithmic Trading and Information184 cited

2005Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders178 cited

2008Dynamic order submission strategies with competition between a dealer market and a crossing network☆162 cited

2007Order flow and exchange rate dynamics in electronic brokerage system data150 cited