cicyt UNIZAR

Trading and Market Microstructure

Authors and titles for recent submissions

[ total of 6 entries: 1-6 ]
[ showing up to 25 entries per page: fewer | more ]

Fri, 23 Feb 2018

[1]  arXiv:1802.08135 [pdf, other]
Title: Optimal inventory management and order book modeling
Authors: Nicolas Baradel (CEREMADE, ENSAE), Bruno Bouchard (CEREMADE, PSL), David Evangelista (KAUST), Othmane Mounjid (CMAP)
Subjects: Trading and Market Microstructure (q-fin.TR); Probability (math.PR)

Thu, 22 Feb 2018

[2]  arXiv:1802.07405 [pdf, other]
Title: Extracting the multi-timescale activity patterns of online financial markets
Comments: 14 pages, 2 figures
Subjects: Trading and Market Microstructure (q-fin.TR)

Tue, 20 Feb 2018

[3]  arXiv:1802.06101 [pdf]
Title: Market Impact in a Latent Order Book
Comments: 36 pages, 15 figures
Subjects: Trading and Market Microstructure (q-fin.TR)
[4]  arXiv:1802.06120 (cross-list from q-fin.PM) [pdf, ps, other]
Title: Simple Bounds for Transaction Costs
Comments: 14 pages
Subjects: Portfolio Management (q-fin.PM); Optimization and Control (math.OC); Trading and Market Microstructure (q-fin.TR)

Mon, 19 Feb 2018

[5]  arXiv:1802.05993 [pdf, other]
Title: Kinetic Theory for Finance Brownian Motion from Microscopic Dynamics
Comments: 36 pages, 15 figures
Subjects: Trading and Market Microstructure (q-fin.TR); Statistical Mechanics (cond-mat.stat-mech)

Tue, 13 Feb 2018

[6]  arXiv:1802.03735 [pdf, ps, other]
Title: Structural Estimation of Behavioral Heterogeneity
Subjects: Trading and Market Microstructure (q-fin.TR); Econometrics (econ.EM)
[ total of 6 entries: 1-6 ]
[ showing up to 25 entries per page: fewer | more ]

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