| Trade-throughs : empirical facts and application to lead-lag measures
|
2011 |
Pomponio, Fabrizio |
| Are the trading volume and the number of trades distributions universal?
|
2011 |
Vijayaraghavan, Vikram S. |
| "Market making" in an order book model and its impact on the spread
|
2011 |
Muni Toke, Ioane |
| Price-time priority and pro rata matching in an order book model of financial markets
|
2011 |
Preis, Tobias |
| Multi-agent order book simulation : mono- and multi-asset high-frequency market making strategies
|
2011 |
Foata, Laurent |
| High frequency correlation modelling
|
2011 |
Huth, Nicolas |
| The model with uncertainty zones for ultra high frequency prices and durations : applications to statistical estimation and mathematical finance
|
2011 |
Robert, Christian Yann |
| Income and expenditure distribution : a comparative analysis
|
2011 |
Gangopadhyay, Kausik |
| Two agent allocation problems and the first best
|
2011 |
Mitra, Manipushpak |
| A mathematical approach to order book modelling
|
2011 |
Abergel, Frédéric |
| Market influence and order book strategies
|
2011 |
Ghoulmié, François |
| Subpenny trading in US equity markets
|
2011 |
Delasssus, Romain |
| Reconstructing agents' strategies from price behavior
|
2011 |
|
| The nature of price returns during periods of high market activity
|
2011 |
Al Dayri, Khalil |
| Exponential resilience and decay of market impact
|
2011 |
Gatheral, Jim |
| Modeling the non-Markovian, non-stationary scaling dynamics of financial markets
|
2011 |
|
| The von Neumann-Morgenstern utility functions with constant risk aversions
|
2011 |
Chakravarty, Satya R. |
| Opinion formation in the kinetic exchange models
|
2011 |
Chakraborti, Anirban |
| High-frequency simulations of an order book : a two-scale approach
|
2011 |
Lehalle, Charles-Albert |
| Tick size and price diffusion
|
2011 |
La Spada, Gabriele |
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