The Self-Financing Equation in High Frequency Markets
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Cited by:
- Rama Cont & Marvin S. Mueller, 2019. "A stochastic partial differential equation model for limit order book dynamics," Papers 1904.03058, arXiv.org, revised May 2021.
- Kyle Bechler & Michael Ludkovski, 2017. "Order Flows and Limit Order Book Resiliency on the Meso-Scale," Papers 1708.02715, arXiv.org.
- Rama Cont & Marvin Muller, 2019. "A Stochastic Pde Model For Limit Order Book Dynamics," Working Papers hal-02090449, HAL.
- Damiano Brigo & Federico Graceffa & Eyal Neuman, 2022.
"Price impact on term structure,"
Quantitative Finance, Taylor & Francis Journals, vol. 22(1), pages 171-195, January.
- Damiano Brigo & Federico Graceffa & Eyal Neuman, 2020. "Price Impact on Term Structure," Papers 2011.10113, arXiv.org, revised Sep 2021.
- Kyle Bechler & Mike Ludkovski, 2014. "Optimal Execution with Dynamic Order Flow Imbalance," Papers 1409.2618, arXiv.org, revised Oct 2014.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2013-12-15 (Corporate Finance)
- NEP-MST-2013-12-15 (Market Microstructure)
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