SZodixStudyAcademic Library

Shelves Open access

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

Optimal Order Placement in Limit Order Markets · Study

PreprintShelves

PreprintOptimal Order Placement in Limit Order Markets

Rama Cont A2012

OA

Preprintgreen2012

Optimal Order Placement in Limit Order Markets

Rama Cont A · Arseniy Kukanov

34 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Stochastic processes and financial applications Risk and Portfolio Optimization

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 34 citations exist upstream.

References

1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 2003Stochastic Approximation and Recursive Algorithms and Applications 2001Optimal execution of portfolio transactions 1998Optimal control of execution costs 2012High Frequency Trading and the New-Market Makers 1999Order flow composition and trading costs in a dynamic limit order market 2005Limit Order Book as a Market for Liquidity

Cited by

2016A Model for Queue Position Valuation in a Limit Order Book 2016Optimal placement in a limit order book: an analytical approach 2017Accounting for the Anomaly Zoo: A Trading Cost Perspective 2012Optimal Portfolio Execution Using Market and Limit Orders 2015Optimal Execution in a Limit Order Book and an Associated Microstructure Market Impact Model 2013Optimal Placement in a Limit Order Book

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2016Optimal order placement in limit order marketsarticle · 29 shared references 2011Limit Order Bookspreprint · 18 shared references 2017A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructurearticle · 13 shared references 2013Limit order booksarticle · 11 shared references 2011Statistical Modeling of High-Frequency Financial Dataarticle · 11 shared references 2012Portfolio Liquidation in Dark Pools in Continuous Timepreprint · 11 shared references

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations34

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.2139/ssrn.2155218

openalex_workW2164723601

Links

Imported from OpenAlex (CC0) — nothing here is generated.