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Optimal Make-Take Fees in a Multi Market-Maker Environment
14 references·0 citing·46 second hopsampled
Optimal Make-Take Fees in a Multi Market-Maker Environment (2021)Optimal Make-Take Fees in a Multi Market-…Contracting Theory with Competitive Interacting Agents (2019)Contracting Theory with Compe…Optimal Make-Take Fees for Market Making Regulation (2018)Optimal Make-Take Fees for Ma…The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making (2016)The Financial Mathematics of …A Model for Queue Position Valuation in a Limit Order Book (2016)A Model for Queue Position Va…A Closed-Form Execution Strategy to Target Volume Weighted Average Price (2016)A Closed-Form Execution Strat…Large Tick Assets: Implicit Spread and Optimal Tick Size (2015)Large Tick Assets: Implicit S…Dealing with the inventory risk: a solution to the market making problem (2012)Dealing with the inventory ri…High-frequency trading in a limit order book (2008)High-frequency trading in a l…A Continuous-Time Version of the Principal–Agent Problem (2008)A Continuous-Time Version of …Relation between bid–ask spread, impact and volatility in order-driven markets (2007)Relation between bid–ask spre…Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…Aggregation and Linearity in the Provision of Intertemporal Incentives (1987)Aggregation and Linearity in …Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Dealership market (1980)Market Liquidity and Funding Liquidity (2008)A Theory of Intraday Patterns: Volume and Price Variability (1988)Inferring Trade Direction from Intraday Data (1991)The Components of the Bid-Ask Spread: A General Approach (1997)Market microstructure: A survey (2000)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Rank-Order Tournaments as Optimum Labor Contracts (1981)Multitask Principal–Agent Analyses: Incentive Contracts, Asset Ownership, and Job Design (1991)Brownian Motion and Stochastic Calculus (2007)Is Pay for Performance Detrimental to Innovation? (2013)A Macroeconomic Model with a Financial Sector (2014)Game Theory and Information Economics (2018)Moral Hazard and Observability (1979)Good News and Bad News: Representation Theorems and Applications (1981)An Analysis of the Principal-Agent Problem (1992)Risk Taking by Mutual Funds as a Response to Incentives (1997)The Theory of Incentives: The Principal-Agent Model (2001)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)A Dynamic Model of the Limit Order Book (2009)How Markets Slowly Digest Changes in Supply and Demand (2009)Hawkes Processes in Finance (2015)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Asset pricing and the bid-ask spread (1986)Incorporating order-flow into optimal execution (2016)Enhancing trading strategies with order book signals (2018)Market microstructure theory (1995)Handbook of the Economics of Finance (2013)Recent advances in reinforcement learning in finance (2023)Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal execution strategies in limit order books with general shape functions (2009)Buy Low Sell High: A High Frequency Trading Perspective (2011)Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes (2018)Equilibrium returns with transaction costs (2018)Trading co‐integrated assets with price impact (2018)Dissecting cross-impact on stock markets: an empirical analysis (2017)Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency (2017)Volatility Is Rough (2018)
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References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1987Aggregation and Linearity in the Provision of Intertemporal Incentives2,870 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 2008A Continuous-Time Version of the Principal–Agent Problem719 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 2012Dealing with the inventory risk: a solution to the market making problem207 cited
  • 2007Relation between bid–ask spread, impact and volatility in order-driven markets159 cited
  • 2015Large Tick Assets: Implicit Spread and Optimal Tick Size75 cited
  • 2016A Closed-Form Execution Strategy to Target Volume Weighted Average Price58 cited
  • 2019Contracting Theory with Competitive Interacting Agents51 cited
  • 2018Optimal Make-Take Fees for Market Making Regulation45 cited
  • 2016A Model for Queue Position Valuation in a Limit Order Book31 cited
  • 2016The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making28 cited

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