Mirror operated in collaboration with local support

Trading and Market Microstructure

Authors and titles for recent submissions

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

Thu, 30 Apr 2020

[1]  arXiv:2004.13797 [pdf, ps, other]
Title: A Stochastic LQR Model for Child Order Placement in Algorithmic Trading
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)

Tue, 28 Apr 2020

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

Mon, 27 Apr 2020

[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)

Fri, 24 Apr 2020

[5]  arXiv:2004.10951 (cross-list from q-fin.CP) [pdf, other]
Title: Optimal execution with liquidity risk in a diffusive order book market
Subjects: Computational Finance (q-fin.CP); Trading and Market Microstructure (q-fin.TR)

Thu, 23 Apr 2020

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