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A market-induced mechanism for stock pinning
1 references·12 citing·45 second hop
A market-induced mechanism for stock pinning (2003)A market-induced mechanism for stock pinn…Master curve for price-impact function (2003)Master curve for price-impact…Optimal stopping of a Brownian bridge with an unknown pinning point (2019)Optimal stopping of a Brownia…Option pricing for a large trader with price impact and liquidity costs (2017)Option pricing for a large tr…Option Hedging with Smooth Market Impact (2016)Option Hedging with Smooth Ma…Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach (2015)Modeling foreign exchange mar…Pinning in the S&P 500 futures (2012)Pinning in the S&P 500 futuresSystemic risk in banking ecosystems (2011)Systemic risk in banking ecos…Optimal Stopping of a Brownian Bridge (2009)Optimal Stopping of a Brownia…Eroding market stability by proliferation of financial instruments (2009)Eroding market stability by p…Modeling stock pinning (2008)Modeling stock pinningMean field games (2007)Mean field gamesTowards a self-consistent theory of volatility (2006)Towards a self-consistent the…Large investor trading impacts on volatility (2006)Large investor trading impact…What Moves Stock Prices? (1988)Measuring and Testing the Impact of News on Volatility (1993)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling (2016)Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market (2017)Asian Options Pricing in Hawkes-Type Jump-Diffusion Models (2019)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Continuous Auctions and Insider Trading (1985)A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations (2015)Mean reflected stochastic differential equations with jumps (2020)Optimal stopping and free-boundary problems (2006)Existence of an Equilibrium for a Competitive Economy (1954)Existence of an equilibrium for a competitive economy (2008)Contagion in financial networks (2010)DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk (2012)Quantifying Trading Behavior in Financial Markets Using Google Trends (2013)A Climate Stress-Test of the Financial System (2016)Inferring Trade Direction from Intraday Data (1991)Market microstructure theory (1995)Inefficient Markets: An Introduction to Behavioral Finance (2002)The predictive power of zero intelligence in financial markets (2005)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Multifractal analysis of financial markets: a review (2019)Option Pricing and Replication with Transactions Costs (1985)Portfolio Selection with Transaction Costs (1990)Optimal execution of portfolio transactions (2001)Dynamic Trading: Price Inertia and Front-Running (2016)Equilibrium returns with transaction costs (2018)Deep Reinforcement Learning for Option Replication and Hedging (2020)Optimal replication of contingent claims under transaction costs (1989)European Option Pricing with Transaction Costs (1993)Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks (2024)Markets in licenses and efficient pollution control programs (1972)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)An Introduction to High-Frequency Finance (2001)RETHINKING MACROECONOMICS: WHAT FAILED, AND HOW TO REPAIR IT (2011)Where Modern Macroeconomics Went Wrong (2017)The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)Demand-Based Option Pricing (2005)Measuring volatility with the realized range (2006)Crypto quanto and inverse options (2023)Mean Field Games and Applications (2010)Probabilistic Analysis of Mean-Field Games (2013)Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach (2021)
this work references cited by second hop

References

  • 2003Master curve for price-impact function453 cited

Cited by

  • 2007Mean field games2,638 cited
  • 2011Systemic risk in banking ecosystems1,476 cited
  • 2009Eroding market stability by proliferation of financial instruments102 cited
  • 2015Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach79 cited
  • 2016Option Hedging with Smooth Market Impact53 cited
  • 2006Large investor trading impacts on volatility48 cited
  • 2012Pinning in the S&P 500 futures42 cited
  • 2009Optimal Stopping of a Brownian Bridge31 cited
  • 2017Option pricing for a large trader with price impact and liquidity costs20 cited
  • 2008Modeling stock pinning18 cited
  • 2019Optimal stopping of a Brownian bridge with an unknown pinning point17 cited
  • 2006Towards a self-consistent theory of volatility17 cited

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