Price impact and bursts in liquidity provision

DOI10.1080/14697688.2017.1420209zbMath1400.91543OpenAlexW3121692108MaRDI QIDQ4554485

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Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1420209

zbMATH Keywords

adverse selectionhigh-frequency tradingprice impactmarket quality

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Volatility modeling and prediction: the role of price impact

Cites Work

• The market impact of a limit order
• Continuous Auctions and Insider Trading
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
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