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          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

          

          
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)


          

          

          

          

          Tue, 28 Apr 2020
          

          

          [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)


          

          

          

          

          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

          

          
Authors: 
Hyoeun Lee, 
Kiseop Lee

          

          
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

          

          
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 ]
          

          

          


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