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Optimal Order Placement in Limit Order Markets
16 references·6 citing·31 second hop
Optimal Order Placement in Limit Order Markets (2012)Optimal Order Placement in Limit Order Ma…The Price Impact of Order Book Events (2013)The Price Impact of Order Boo…Optimal trading strategy and supply/demand dynamics (2012)Optimal trading strategy and …High Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…Optimal execution strategies in limit order books with general shape functions (2009)Optimal execution strategies …A Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …Competition for Order Flow and Smart Order Routing Systems (2006)Competition for Order Flow an…Limit Order Book as a Market for Liquidity (2005)Limit Order Book as a Market …Direct Estimation of Equity Market Impact (2005)Direct Estimation of Equity M…Stochastic Approximation and Recursive Algorithms and Applications (2003)Stochastic Approximation and …Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Optimal control of execution costs (1998)Optimal control of execution …Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy (1996)Market vs. Limit Orders: The …Continuous 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…Accounting for the Anomaly Zoo: A Trading Cost Perspective (2017)Accounting for the Anomaly Zo…Optimal placement in a limit order book: an analytical approach (2016)Optimal placement in a limit …A Model for Queue Position Valuation in a Limit Order Book (2016)A Model for Queue Position Va…Optimal Execution in a Limit Order Book and an Associated Microstructure Market Impact Model (2015)Optimal Execution in a Limit …Optimal Placement in a Limit Order Book (2013)Optimal Placement in a Limit …Optimal Portfolio Execution Using Market and Limit Orders (2012)Optimal Portfolio Execution U…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)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)Estimating the components of the bid/ask spread (1988)Differences of Opinion Make a Horse Race (1993)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Common factors in prices, order flows, and liquidity (2001)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Price, trade size, and information in securities markets (1987)How Markets Slowly Digest Changes in Supply and Demand (2009)A Stochastic Model for Order Book Dynamics (2010)On estimating the expected return on the market (1980)Market Liquidity and Funding Liquidity (2008)High frequency market microstructure (2015)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)The Cost of Transacting (1968)A Theory of Intraday Patterns: Volume and Price Variability (1988)Proceedings of the 2002 Winter Simulation Conference (2002)Computational methods in optimization considering uncertainties – An overview (2008)A unified framework for stochastic optimization (2018)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
  • 2003Stochastic Approximation and Recursive Algorithms and Applications1,845 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1998Optimal control of execution costs1,056 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 2005Limit Order Book as a Market for Liquidity614 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 2012Optimal trading strategy and supply/demand dynamics560 cited
  • 2009Optimal execution strategies in limit order books with general shape functions408 cited
  • 1996Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy388 cited
  • 2005Direct Estimation of Equity Market Impact363 cited
  • 2013The Price Impact of Order Book Events348 cited
  • 2006Competition for Order Flow and Smart Order Routing Systems

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332 cited

Cited by

  • 2016A Model for Queue Position Valuation in a Limit Order Book31 cited
  • 2016Optimal placement in a limit order book: an analytical approach29 cited
  • 2017Accounting for the Anomaly Zoo: A Trading Cost Perspective28 cited
  • 2012Optimal Portfolio Execution Using Market and Limit Orders25 cited
  • 2015Optimal Execution in a Limit Order Book and an Associated Microstructure Market Impact Model24 cited
  • 2013Optimal Placement in a Limit Order Book20 cited