Results 281 to 290 of about 11,815,776 (302)
Some of the next articles are maybe not open access.
ON MEASURING THE COST OF LIQUIDITY IN THE LIMIT ORDER BOOK
2020The work is devoted to the elaboration and demonstration of a method for measuring the cost of illiquidity in the delta hedging of futures-style options on the Moscow Exchange. Illiquidity is usually measured per unit of asset or money. However, given the specifics of futures, this article proposes to use the total volume of the initial margin and the ...
openaire +2 more sources
Optimal order placement in limit order book markets
2016Aufgrund vorherrschender Prioritätsregeln betreffend Zeitpunkt und Preis in Limit-Order-Book-Märkten hat eine zum Zeitpunkt t0 und zum Preis p platzierte Buy-Limit-Order der Größe n ein gewisses Volumen an Aktien vor sich. Diese Aktien werden bevorzugt gehandelt, da sie entweder einen besseren Preis aufweisen oder bei gleichem Preis früher platziert ...
openaire +1 more source
Order Execution and Limit Order Book
2015Ali N. Akansu, Mustafa U. TorunTorun
openaire +1 more source
Multivariate General Compound Hawkes Processes and their Applications in Limit Order Books
Wilmott Magazine, 2020Anatoliy Swishchuk
exaly
LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
Mathematical Finance, 2014Michael Ludkovski, Erhan Bayraktar
exaly
Optimal Trading with Limit Orders on a Dynamic Limit Order Book
SSRN Electronic Journal, 2014openaire +1 more source
Limit order books: a systematic review of literature
Qualitative Research in Financial Markets, 2020Alok Dixit, Abhinava Tripathi
exaly