High-Resilience Limits of Block-Shaped Order Books
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Cited by:
- Ibrahim Ekren & Johannes Muhle-Karbe, 2017. "Portfolio Choice with Small Temporary and Transient Price Impact," Papers 1705.00672, arXiv.org, revised Apr 2020.
- Peter Bank & Mete Soner & Moritz Vo{ss}, 2015. "Hedging with Temporary Price Impact," Papers 1510.03223, arXiv.org, revised Jul 2016.
- David Evangelista & Yuri Saporito & Yuri Thamsten, 2022. "Price formation in financial markets: a game-theoretic perspective," Papers 2202.11416, arXiv.org.
- Erhan Bayraktar & Alexander Munk, 2017. "Mini-Flash Crashes, Model Risk, and Optimal Execution," Papers 1705.09827, arXiv.org, revised Aug 2018.
- Peter Bank & Moritz Vo{ss}, 2018. "Optimal investment with transient price impact," Papers 1804.07392, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-MST-2014-10-22 (Market Microstructure)
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