Results 261 to 270 of about 13,288,132 (297)
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Journal of Financial Economics, 2001
We develop a dynamic model of price competition in broker and dealer markets. Competing market makers quote bid-ask spreads, and competing brokers choose commissions to be paid by an investor. Investors, who submit either market or limit orders, choose a broker to minimize total transaction costs. We model this as an infinitely-repeated game.
Christine A. Parlour, Uday Rajan
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We develop a dynamic model of price competition in broker and dealer markets. Competing market makers quote bid-ask spreads, and competing brokers choose commissions to be paid by an investor. Investors, who submit either market or limit orders, choose a broker to minimize total transaction costs. We model this as an infinitely-repeated game.
Christine A. Parlour, Uday Rajan
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The Flow Set with Partial Order
Mathematics of Operations Research, 2008The flow set with partial order is a mixed-integer set described by a budget on total flow and a partial order on the arcs that may carry positive flow. This set is a common substructure of resource allocation and scheduling problems with precedence constraints and robust network flow problems under demand/capacity uncertainty.
Alper Atamtürk, Muhong Zhang
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An Ordered Flow Shop with Two Agents
Asia-Pacific Journal of Operational Research, 2016In this paper, we consider a two-agent scheduling problem in an [Formula: see text]-machine ordered flow shop where each agent is responsible for his own set of jobs and wishes to minimize the makespan. Since the problem is NP-hard, we develop a pseudo-polynomial time approach for the case with a fixed number of machines and investigate the conditions
Byung-Cheon Choi, Myoung-Ju Park
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Market Order Flows, Limit Order Flows and Exchange Rate Dynamics
SSRN Electronic Journal, 2014We extend the ‘portfolio shifts’ model of Evans and Lyons (2002) to allow FX dealers to use both limit and market orders in order to exploit private information in inter-dealer trading. Both market and limit orders contain information on customer-dealer flows. Consequently, equilibrium exchange rates depend on both types of order flows.
Roman Kozhan +2 more
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2020 American Control Conference (ACC), 2020
We consider the Linear-Quadratic-Regulator (LQR) problem in terms of optimizing a real-valued matrix function over the set of feedback gains. Such a setup facilitates examining the implications of a natural initial-state independent formulation of LQR in designing first order algorithms.
Jingjing Bu +2 more
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We consider the Linear-Quadratic-Regulator (LQR) problem in terms of optimizing a real-valued matrix function over the set of feedback gains. Such a setup facilitates examining the implications of a natural initial-state independent formulation of LQR in designing first order algorithms.
Jingjing Bu +2 more
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SSRN Electronic Journal, 2008
We provide new evidence on the relation between order flow and prices, an issue that is central to asset pricing and market microstructure. We examine proprietary data on a broad panel of NYSE-listed stocks that reveal daily order imbalances by institutions, individuals, and market makers.
Ekkehart Boehmer, Juan (Julie) Wu
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We provide new evidence on the relation between order flow and prices, an issue that is central to asset pricing and market microstructure. We examine proprietary data on a broad panel of NYSE-listed stocks that reveal daily order imbalances by institutions, individuals, and market makers.
Ekkehart Boehmer, Juan (Julie) Wu
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Isospectral Flows of Third Order Operators
SIAM Journal on Mathematical Analysis, 2001Summary: The author considers the third-order linear differential operator \(L_{p,q}=i\frac{d^3}{dx^3}+i\frac{d}{dx}q+iq\frac{d}{dx}+p\) on the unit interval. The associated boundary conditions are \(y(0)=y(1)=0\), \(y'(0)=zy'(1)\) with \(z\in{\mathbb C}\), \(|z|=1\). For all but a finite number of parameters \(z\), the eigenvalues \(\lambda_{j}\) of \(
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Online scheduling of ordered flow shops
European Journal of Operational Research, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kangbok Lee +2 more
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Oscillatory flow of a fourth‐order fluid
International Journal for Numerical Methods in Fluids, 2008AbstractThis study deals with the incompressible flow of a fourth‐order fluid over a porous plate oscillating in its own plane. Numerical solution of the nonlinear problem governing the flow is given. The influence of various parameters of interest on the velocity distribution is shown and discussed with the help of several graphs.
Hayat, T., Shahzad, F., Ayub, M.
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Quotes, Order Flow, and Price Discovery
The Journal of Finance, 1997ABSTRACTThe goal of this article is to examine the impact of 1975 Congressional mandate to integrate the trading of NYSE‐listed stocks. The conclusions are: most of the time, the New York Stock Exchange (NYSE) quote matches or determines the best displayed quote, and the NYSE is the most frequent initiator of quote changes.
Blume, Marshall E, Goldstein, Michael A
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