Large Orders in Small Markets: On Optimal Execution with Endogenous Liquidity Supply-Reference-Cited by-同舟云学术

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Large Orders in Small Markets: On Optimal Execution with Endogenous Liquidity Supply

Published:2019 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Capponi Agostino,Menkveld Albert J.,Zhang Hongzhong

Publisher

Elsevier BV

Reference44 articles.

1. Optimal Execution of Portfolio Transactions;Robert Almgren;Journal of Risk,2001

2. Dealership Market: Market-Making with Inventory;Yakov Amihud;Journal of Financial Economics,1980

3. Liquidity and Asset Prices;Yakov Amihud;Foundations and Trends in Finance,2005

4. Institutional trading and stock resiliency: Evidence from the 2007-2009 financial crisis;Amber Anand;Journal of Financial Economics,2013

Cited by 5 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. Market Return Around the Clock: A Puzzle;Journal of Financial and Quantitative Analysis;2022-07-25

2. When two worlds collide: Using particle physics tools to visualize the limit order book;Journal of Futures Markets;2021-07-21

3. Optimal bookmaking;European Journal of Operational Research;2021-03

4. Optimal Bookmaking;SSRN Electronic Journal;2019

5. Liquidity in Competitive Dealer Markets;SSRN Electronic Journal;2018

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