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Decentralised Finance and Automated Market Making: Execution and Speculation
16 references·0 citing·37 second hop
Decentralised Finance and Automated Market Making: Execution and Speculation (2022)Decentralised Finance and Automated Marke…Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact (2022)Optimal Signal-Adaptive Tradi…Automated Market Making and Loss-Versus-Rebalancing (2022)Automated Market Making and L…Incorporating signals into optimal trading (2019)Incorporating signals into op…Enhancing trading strategies with order book signals (2018)Enhancing trading strategies …Blockchain-Based Settlement for Asset Trading (2018)Blockchain-Based Settlement f…Smooth solutions to portfolio liquidation problems under price-sensitive market impact (2017)Smooth solutions to portfolio…Market Microstructure in Practice (2017)Market Microstructure in Prac…The Financial Mathematics of Market Liquidity (2016)The Financial Mathematics of …Incorporating order-flow into optimal execution (2016)Incorporating order-flow into…Algorithmic and High Frequency Trading (2016)Algorithmic and High Frequenc…Market Microstructure in Practice (2013)Market Microstructure in Prac…Dynamical Models of Market Impact and Algorithms for Order Execution (2013)Dynamical Models of Market Im…Optimal Trading with Stochastic Liquidity and Volatility (2012)Optimal Trading with Stochast…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal control of execution costs (1998)Optimal control of execution …Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)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)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)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)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Transactions, Volume, and Volatility (1994)Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION (2013)OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (2013)Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach (2015)Market microstructure: A survey (2000)Market Impacts and the Life Cycle of Investors Orders (2015)Optimal order placement in limit order markets (2016)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Order flow composition and trading costs in a dynamic limit order market (1999)High-frequency trading in a limit order book (2008)Deep learning for limit order books (2018)Mean-Field Game Strategies for Optimal Execution (2019)State-dependent Hawkes processes and their application to limit order book modelling (2021)Bias in the effective bid-ask spread (2021)Double Deep Q-Learning for Optimal Execution (2021)To FinTech and Beyond (2019)Does bank FinTech reduce credit risk? Evidence from China (2020)Blockchain Adoption for Combating Deceptive Counterfeits (2021)Optimal market making (2017)Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality (2019)
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References

  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1998Optimal control of execution costs1,056 cited
  • 2018Blockchain-Based Settlement for Asset Trading332 cited
  • 2016Algorithmic and High Frequency Trading193 cited
  • 2012Optimal Trading with Stochastic Liquidity and Volatility146 cited
  • 2013Dynamical Models of Market Impact and Algorithms for Order Execution140 cited
  • 2016The Financial Mathematics of Market Liquidity140 cited
  • 2016Incorporating order-flow into optimal execution134 cited
  • 2018Enhancing trading strategies with order book signals122 cited
  • 2017Market Microstructure in Practice75 cited
  • 2019Incorporating signals into optimal trading60 cited
  • 2013Market Microstructure in Practice54 cited
  • 2022Automated Market Making and Loss-Versus-Rebalancing49 cited
  • 2017Smooth solutions to portfolio liquidation problems under price-sensitive market impact44 cited
  • 2022Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact

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