Handbook of Price Impact Modeling

DOI10.1080/14697688.2023.2288868zbMATH Open1545.00059MaRDI QIDQ6546311

Johannes Muhle-Karbe

Publication date: 29 May 2024

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

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic integrals (60H05) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) External book reviews (00A17) Financial markets (91G15)

Cites Work

• Title not available (Why is that?)
• The financial mathematics of market liquidity. From optimal execution to market making
• Optimal trade execution and price manipulation in order books with time-varying liquidity

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