Latency and liquidity provision in a limit order book
Author:
Affiliation:
1. Department of Mathematics, Imperial College, CFM–Imperial Institute of Quantitative Finance, London, UK.
2. Department of Computer Science, University College London, London, UK.
Funder
James S. McDonnell Foundation
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1296177
Reference28 articles.
1. Optimal execution of portfolio transactions
2. Forecasting prices from level-I quotes in the presence of hidden liquidity
3. Optimal control of execution costs
4. How Markets Slowly Digest Changes in Supply and Demand
5. Random walks, liquidity molasses and critical response in financial markets
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