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Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
15 references·1 citing·46 second hop
Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency (2017)Limit Order Strategic Placement with Adve…Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis (2016)Efficiency of the Price Forma…Market Impacts and the Life Cycle of Investors Orders (2015)Market Impacts and the Life C…Large Tick Assets: Implicit Spread and Optimal Tick Size (2015)Large Tick Assets: Implicit S…Simulating and Analyzing Order Book Data: The Queue-Reactive Model (2014)Simulating and Analyzing Orde…The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The High-Frequency Trading Ar…Price Dynamics in a Markovian Limit Order Market (2013)Price Dynamics in a Markovian…Market Microstructure in Practice (2013)Market Microstructure in Prac…Optimal Portfolio Liquidation with Limit Orders (2012)Optimal Portfolio Liquidation…High Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…Dealing with the inventory risk: a solution to the market making problem (2012)Dealing with the inventory ri…Bayesian Adaptive Trading with a Daily Cycle (2006)Bayesian Adaptive Trading wit…Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …Econometric models of limit-order executions (2002)Econometric models of limit-o…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Optimal Execution: A Review (2022)Optimal Execution: A ReviewWhy Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Introduction to Matrix Analytic Methods in Stochastic Modeling (1999)Optimal execution of portfolio transactions (2001)Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (2016)Enhancing trading strategies with order book signals (2018)Modelling Stock Markets by Multi-agent Reinforcement Learning (2020)On estimating the expected return on the market (1980)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market Liquidity and Funding Liquidity (2008)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)High frequency market microstructure (2015)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Trading and Arbitrage in Cryptocurrency Markets (2018)Machine behaviour (2019)Optimal dealer pricing under transactions and return uncertainty (1981)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Asset pricing and the bid-ask spread (1986)Buy Low Sell High: A High Frequency Trading Perspective (2011)Incorporating order-flow into optimal execution (2016)Optimal control of execution costs (1998)LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY (2012)Dynamical Models of Market Impact and Algorithms for Order Execution (2013)Optimal execution with limit and market orders (2015)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Optimal high-frequency trading with limit and market orders (2012)Universal features of price formation in financial markets: perspectives from deep learning (2019)Is the Electronic Open Limit Order Book Inevitable? (1994)Price Dynamics in Limit Order Markets (1998)The application of continuous-time random walks in finance and economics (2005)Limit Order Markets: A Survey (2008)Algorithmic Trading and Information (2009)Inefficient Markets (2000)The Long Memory of the Efficient Market (2004)What really causes large price changes? (2004)An empirical behavioral model of liquidity and volatility (2007)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)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 2013The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response886 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes370 cited
  • 2013Price Dynamics in a Markovian Limit Order Market294 cited
  • 2002Econometric models of limit-order executions211 cited
  • 2012Dealing with the inventory risk: a solution to the market making problem207 cited
  • 2012Optimal Portfolio Liquidation with Limit Orders155 cited
  • 2014Simulating and Analyzing Order Book Data: The Queue-Reactive Model153 cited
  • 2015Market Impacts and the Life Cycle of Investors Orders89 cited
  • 2016Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis82 cited
  • 2015Large Tick Assets: Implicit Spread and Optimal Tick Size75 cited
  • 2013Market Microstructure in Practice54 cited
  • 2006Bayesian Adaptive Trading with a Daily Cycle54 cited

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Cited by

  • 2022Optimal Execution: A Review26 cited