Mathematical Aspects of Delayed Market Clearing in Order Driven Markets and its Applications to Non-Markovian Price Impact and Optimal Execution-Reference-Cited by-同舟云学术

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Mathematical Aspects of Delayed Market Clearing in Order Driven Markets and its Applications to Non-Markovian Price Impact and Optimal Execution

Published:2015 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Bonart Julius

Publisher

Elsevier BV

Reference29 articles.

1. A fully consistent, minimal model for non-linear market impact;J Donier;Quantitative Finance,2015

2. Anomalous price impact and the critical nature of liquidity in financial markets;B Toth;Phys Rev X,2011

3. How Markets Slowly Digest Changes in Supply and Demand

4. The Long Memory of Order Flow in the Foreign Exchange Spot Market

5. The price impact of order book events;R Cont;The Journal of Financial Economics,2014

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