Optimal Liquidation in a Level-I Limit Order Book for Large Tick Stocks-Reference-Cited by-同舟云学术

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Optimal Liquidation in a Level-I Limit Order Book for Large Tick Stocks

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Jacquier Antoine,Liu Hao

Publisher

Elsevier BV

Reference47 articles.

1. An introduction to numerical transform inversion and its application to probability models. Computational Probability;J Abate;Kluwer,1999

2. Computing Laplace transforms for numerical inversion via continued fractions;J Abate;INFORMS Journal on Computing,1999

3. Numerical inversion of Laplace transforms of probability distributions;J Abate;ORSA Journal on Computing,1995

4. Optimal execution strategies in limit order books with general shape functions;A Alfonsi;Quantitative Finance,2010

5. Optimal execution of portfolio transactions;R F Almgren;Journal of Risk,2001

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. Optimal placement of a small order in a diffusive limit order book;High Frequency;2018-04

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