Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market-Reference-Cited by-同舟云学术

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Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market

Published:2022-09-28 Issue: Volume: Page:
ISSN:0927-7099
Container-title:Computational Economics
language:en
Short-container-title:Comput Econ

Author:

Luo Qixuan,Song Shijia,Li Handong^ORCID

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Link

https://link.springer.com/content/pdf/10.1007/s10614-022-10316-9.pdf

Reference67 articles.

1. Abergel, F., Huré, C., & Pham, H. (2020). Algorithmic trading in a microstructural limit order book model. Quantitative Finance, 20(8), 1263–1283.

2. Admati, A. R., & Pfleiderer, P. (1988). A theory of intraday patterns: Volume and price variability. The Review of Financial Studies, 1(1), 3–40.

3. Almgren, R. F. (2003). Optimal execution with nonlinear impact functions and trading-enhanced risk. Applied Mathematical Finance, 10(1), 1–18.

4. Almgren, R., & Chriss, N. (2001). Optimal execution of portfolio transactions. Journal of Risk, 3, 5–40.

5. Ammar, I. B., Hellara, S., & Ghadhab, I. (2020). High-frequency trading and stock liquidity: An intraday analysis. Research in International Business and Finance, 53, 101235.

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Literature Review on Algorithmic Trading in Financial Markets;2023 International Conference on Sustainable Islamic Business and Finance (SIBF);2023-09-24

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