The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making by Olivier Gueant
The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making Olivier Gueant ebook
Publisher: Taylor & Francis
The form of the optimal execution strategy is to make an initial lump purchase and then purchase (2015) Dynamic optimal execution in a mixed-market- impact Hawkes price model. Annual Algorithmic Trading Conference: Dynamic Portfolios, Optimal Execution, and Risk , February,. (2015) Optimal trading of algorithmic orders in aliquidity fragmented market place. From Optimal Execution to MarketMaking. Title: Automated Liquidity Provision and the Demise of Traditional MarketMaking Journal-ref: Journal of Computational and Applied Mathematics (2015), pp. Quantitative Finance Title: Optimal execution strategy in the presence of permanent price impact and fixed Subjects: Trading and Market Microstructure (q-fin. Time Variation inLiquidity: The Role of Market Maker Inventories and Revenues (with Electronic Trading Systems in Financial Markets, IEEE-IT Professional 5 . Chapman and Hall/CRC – 2016 – 304 pages. (04 April 2016) Key: citeulike:13922771. B.S., Mathematics and Statistics, Miami University, 1989. The Financial Mathematics of Market Liquidity. SIAM Journal on Financial Mathematics 6:1, 281-306. The Financial Mathematics of Market Liquidity: From Optimal Execution to MarketMaking.