| Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?
|
2019 |
Cebiroglu, Gökhan |
| Assessing MiFID II regulation on tick sizes : a transaction costs analysis viewpoint
|
2019 |
Laruelle, Sophie |
| Price impact in a latent order book
|
2019 |
Lemhadri, Ismael |
| Nash equilibrium for risk-averse investors in a market impact game with transient price impact
|
2019 |
Luo, Xiangge |
| A note on Almgren-Chriss optimal execution problem with geometric Brownian motion
|
2019 |
Baldacci, Bastien |
| Limit order book (LOB) shape modeling in presence of heterogeneously informed market participants
|
2019 |
Drame, Mouhamad |
| Rethinking decimalization : the impact of increased tick sizes on trading activity, volatility, and price clustering
|
2019 |
Blau, Benjamin |
| Trade Intensity and Liquidity
|
2018 |
Brigida, Matt |
| Mid-Price estimation for European corporate bonds : a particle filtering approach
|
2018 |
Guéant, Olivier |
| The cross-sectional spillovers of single stock circuit breakers
|
2018 |
Brugler, James |
| Stock illiquidity and firm characteristics
|
2018 |
Gakhar, Divya Verma |
| Liquidation in target zone models
|
2018 |
Belak, Christoph |
| Mini-flash crashes, model risk, and optimal execution
|
2018 |
Bayraktar, Erhan |
| Large Large-trader activity weakens the long memory of limit order markets
|
2018 |
Primicerio, Kevin |
| Multi-level order-flow imbalance in a limit order book
|
2018 |
Xu, Ke |
| Order-Book Modeling and Market Making Strategies
|
2018 |
Lu, Xiaofei |
| Slow decay of impact in equity markets : insights from the ANcerno database
|
2018 |
Bucci, Frédéric |
| Hybrid marked point processes : characterization, existence and uniqueness
|
2018 |
Morariu-Patrichi, Maxime |
| Dynamical regularities of US equities opening and closing auctions
|
2018 |
Challet, Damien |
| Information and inventories in high-frequency trading
|
2017 |
Muhle-Karbe, Johannes |
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