Trading and Market Microstructure

Authors and titles for recent submissions

[ total of 6 entries: 1-6 ]
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[1] arXiv:2004.13797 [pdf, ps, other]: Title: A Stochastic LQR Model for Child Order Placement in Algorithmic Trading

Authors: Jackie Jianhong Shen

Subjects: Trading and Market Microstructure (q-fin.TR); Optimization and Control (math.OC); Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF); Applications (stat.AP)

[2] arXiv:2004.12011 [pdf, other]: Title: Trading Foreign Exchange Triplets

Authors: Álvaro Cartea, Sebastian Jaimungal, Tianyi Jia

Comments: 35 pages, 14 figures, 1 table

Journal-ref: Forthcoming, SIAM J. Financial Mathematics, 2020

Subjects: Trading and Market Microstructure (q-fin.TR); Mathematical Finance (q-fin.MF); Statistical Finance (q-fin.ST); Applications (stat.AP)
[3] arXiv:2004.11953 [pdf, other]: Title: The What, When and Where of Limit Order Books

Authors: Johannes Bleher, Michael Bleher, Thomas Dimpfl

Comments: 82 pages, 18 figures

Subjects: Trading and Market Microstructure (q-fin.TR); Econometrics (econ.EM); Mathematical Finance (q-fin.MF); Statistical Finance (q-fin.ST); Applications (stat.AP)

[4] arXiv:2004.11686 (cross-list from q-fin.ST) [pdf, other]: Title: Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data

Authors: Hasan Fallahgoul

Subjects: Statistical Finance (q-fin.ST); General Economics (econ.GN); Trading and Market Microstructure (q-fin.TR)

[5] arXiv:2004.10951 (cross-list from q-fin.CP) [pdf, other]: Title: Optimal execution with liquidity risk in a diffusive order book market

Authors: Hyoeun Lee, Kiseop Lee

Subjects: Computational Finance (q-fin.CP); Trading and Market Microstructure (q-fin.TR)

[6] arXiv:2004.10632 [pdf, other]: Title: Order book dynamics in the presence of liquidity fluctuations

Authors: Helder Rojas, Anatoly Yambartsev

Subjects: Trading and Market Microstructure (q-fin.TR); Mathematical Finance (q-fin.MF)

[ total of 6 entries: 1-6 ]
[ showing up to 25 entries per page: fewer | more ]