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17 research outputs found
Strategic Liquidity Provision in a Limit Order Book
Author
A A Kirilenko
A Cartea
+33 more
A Chakraborti
A Chakraborti
A Gareche
A Gareche
A Kirilenko
A Menkveld
A N Gerig
D Bertsimas
E J Lee
E Smith
I Ro�suro�su
I Ro�suro�su
J D Farmer
J P Bouchaud
J P Bouchaud
Julius Bonart
L Glosten
M Avellaneda
M D Gould
M D Gould
M Ohara
Martin David Gould
N Hautsch
P Weber
R Almgren
R Cont
R Cont
R Huang
S Chakravarty
S Mike
T Foucault
T Ho
W Huang
Publication venue
'Elsevier BV'
Publication date
01/01/2015
Field of study
No full text
Crossref
Liquidity and Information in Order Driven Markets
Author
? L P�stor
A
+44 more
A Admati
Albert Kyle
B
B
B
C Parlour
C Parlour
D
D Fudenberg
E Pagnotta
I Ro�suro�su
I Ro�suro�su
Ioanid Rosu
J Bergin
J Hasbrouck
J Large
K
K Back
K Hou
L
L Glosten
L Glosten
L Harris
L Harris
M
M Brennan
M Brolley
M O&apos
N Hautsch
P Collin-Dufresne
P Jain
P Sand�s
R
R
R Bloomfield
R Huang
R Kaniel
S Chakravarty
T
T Foucault
T Latza
V Acharya
W Bagehot
Y Amihud
Publication venue
'Elsevier BV'
Publication date
01/01/2010
Field of study
No full text
Crossref
Weather and Time Series Determinants of Liquidity in a Limit Order Market
Author
? L P�stor
A Kyle
+34 more
A R Admati
A Ranaldo
B Biais
B Panel
C A Parlour
D Hirshleifer
D J Seppi
F Black
H Demsetz
H R Stoll
H Stoll
I Ro�suro�su
I Ro�suro�su
Ioanid Rosu
J T Linnainmaa
Juhani T. Linnainmaa
K J Cohen
L Glosten
L Glosten
M Grinblatt
M J Brennan
M Kamstra
N Bollen
P Handa
P Sand�s
R D Huang
R L Goettler
T Chordia
T Chordia
T Foucault
T Foucault
T George
V Acharya
W N Goetzmann
Publication venue
'Elsevier BV'
Publication date
01/01/2009
Field of study
No full text
Crossref
Intraday Return Predictability, Informed Limit Orders, and Algorithmic Trading
Author
A Anand
A Avramovic
+42 more
A J Menkveld
A J Menkveld
A S Kyle
B Biais
B Biais
B Hagstr�mer
B Jovanovic
C A Parlour
C Lee
C Vega
D J Seppi
D M R�sch
Darya Yuferova
E Boehmer
G Wuyts
I Ro�suro�su
I Ro�suro�su
K A Kavajecz
K A Kavajecz
K.-H Bae
L E Harris
L Menkhoff
M Baron
M O&apos
N Hirschey
P Handa
P Swan
R A Korajczyk
R Bloomfield
R D Huang
R H Lindeman
R Kaniel
R Kozhan
R Kozhan
R L Goettler
R L Goettler
S Baruch
S T Bharath
T H Mcinish
T Hendershott
T Hendershott
T J Putni�n?putni�n?
Publication venue
'Elsevier BV'
Publication date
01/01/2015
Field of study
No full text
Crossref
Buy Low Sell High: A High Frequency Trading Perspective
Author
A Sarkar
B Bouchard
+27 more
C G Bowsher
D Easley
D P Bertsekas
E Bayraktar
F Guilbaud
F Guilbaud
I Kharroubi
I Ro�suro�su
I Toke
J Cvitanic
J Large
Jason Ricci
M Avellaneda
M O&apos
N B�uerle
O Gu�ant
R Almgren
R Almgren
R Cont
Sebastian Jaimungal
Sec Cftc
T Ho
Álvaro Cartea
� A Cartea
� A Cartea
� A Cartea
� A Cartea
Publication venue
'Elsevier BV'
Publication date
01/01/2011
Field of study
No full text
Crossref
Does the Prohibition of Trade-Through Hurt Liquidity Demanders?
Author
A A Obizhaeva
B Biais
+24 more
D K Lo
D Rubin
G Tsoukalas
G W Imbens
H Bessembinder
H J Ahn
I Ro�suro�su
J Large
M Denuit
M E Blume
M O&apos
M O&apos
N Chen
N Hautsch
Ningyuan Chen
R Battalio
R L Goettler
R L Goettler
S L Morgan
S Predoiu
Steven Kou
T Foucault
T Foucault
T Hendershott
Publication venue
'Elsevier BV'
Publication date
01/01/2017
Field of study
No full text
Crossref
Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book
Author
A Cartea
A Chakraborti
+25 more
A Gar�che
A P Bradley
C Cao
C Loader
D W Hosmer
E Smith
I Ro�suro�su
J A Hanley
J Bonart
J D Farmer
J D Farmer
J P Bouchaud
Julius Bonart
M Avellaneda
M D Gould
Martin David Gould
P Mccullagh
R Cont
R Cont
R Cont
S Mike
S Stoikov
T Hastie
T W Yang
W Huang
Publication venue
'Elsevier BV'
Publication date
01/01/2015
Field of study
No full text
Crossref
A Model of Price Impact and Market Maker Latency
Author
A J Menkveld
A S Kyle
+23 more
B Biais
B Jovanovic
C M Jones
D Vayanos
E B Budish
G C Chacko
I Ro�suro�su
J Brogaard
J Hasbrouck
Jakub Rojcek
L Tong
M B Garman
M O&apos
M Rostek
N N Lebedev
P Hoffmann
R Riordan
S Du
T Foucault
T Ho
T J Hendershott
X Vives
Y A�?ta�?t-Sahalia
Publication venue
'Elsevier BV'
Publication date
01/01/2016
Field of study
No full text
Crossref
Internalization, Clearing and Settlement, and Liquidity
Author
A Ellul
A Madhavan
+32 more
B Biais
B Holli?eld
B Rindi
C Comerton-Forde
C Holthausen
C Parlour
D Du� E
Gunther Wuyts
H Degryse
Hans Degryse
I Domowitz
I Ro�suro�su
J Tapking
J Tapking
J.-C Rochet
J.-E Colliard
K Malinova
L Glosten
M Van Achter
Mark Van Achter
Oxera
Oxera
P Handa
P Van Cayseele
R Goettler
S Berkowitz
T Foucault
T Foucault
T Foucault
T Foucault
T Foucault
T Koeppl
Publication venue
'Elsevier BV'
Publication date
01/01/2011
Field of study
No full text
Crossref
Machines vs. Machines: High Frequency Trading and Hard Information
Author
A Ellul
A Gerig
+42 more
A Hawkes
A Kyle
A Menkveld
A Ranaldo
B Biais
B Hagstr�mer
B Jovanovic
C Bowsher
C Parlour
D Easley
H Stoll
I Kawaller
I Ro�suro�su
I Toke
J Brogaard
J Farmer
J Hasbrouck
J Hasbrouck
J Hasbrouck
J Large
J Russell
L Glosten
L Glosten
M Gould
M Griffiths
M Welker
N Hirschey
P Embrechts
R Riordan
S Zhang
T Foucault
T Foucault
T Hendershott
T Hendershott
T Hendershott
V Martinez
W Jennings
W Yeo
Y Ogata
Y Ogata
Y Tse
Yesol Huh
Publication venue
'Elsevier BV'
Publication date
01/01/2014
Field of study
No full text
Crossref
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