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Closed-Loop Nash Competition for Liquidity. (2021). Neuman, Eyal ; Muhle-Karbe, Johannes ; Micheli, Alessandro.
In: Papers.
RePEc:arx:papers:2112.02961.

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Cited: 4

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Cites: 33

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Cocites: 25

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints. (2024). Horst, Ulrich ; Hager, Paul P ; Fu, Guanxing.
    In: Papers.
    RePEc:arx:papers:2403.10441.

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  2. Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot. (2023). Jacka, Saul D ; Gupta, Puru.
    In: Papers.
    RePEc:arx:papers:2309.16047.

    Full description at Econpapers || Download paper

  3. Model-based gym environments for limit order book trading. (2022). Herdegen, Martin ; Savani, Rahul ; Sanchez-Betancourt, Leandro ; Jerome, Joseph.
    In: Papers.
    RePEc:arx:papers:2209.07823.

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References

References cited by this document

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Cocites

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  1. A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194.

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  2. Statistical Learning with Sublinear Regret of Propagator Models. (2023). Zhang, Yufei ; Neuman, Eyal.
    In: Papers.
    RePEc:arx:papers:2301.05157.

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  3. Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03835948.

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  4. Marked point processes and intensity ratios for limit order book modeling. (2022). Yoshida, Nakahiro ; Toke, Ioane Muni.
    In: Post-Print.
    RePEc:hal:journl:hal-02465428.

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  5. Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi.
    In: Papers.
    RePEc:arx:papers:2211.00447.

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  6. .

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  7. Closed-Loop Nash Competition for Liquidity. (2021). Neuman, Eyal ; Muhle-Karbe, Johannes ; Micheli, Alessandro.
    In: Papers.
    RePEc:arx:papers:2112.02961.

    Full description at Econpapers || Download paper

  8. LOB modeling using Hawkes processes with a state-dependent factor. (2021). Toke, Ioane Muni ; Sfendourakis, Emmanouil.
    In: Papers.
    RePEc:arx:papers:2107.12872.

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  9. On Detecting Spoofing Strategies in High Frequency Trading. (2020). Drapeau, Samuel ; Ling, Lan ; Day, Andrew ; Tao, Xuan.
    In: Papers.
    RePEc:arx:papers:2009.14818.

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  10. Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010. (2020). Lerner, P B.
    In: Papers.
    RePEc:arx:papers:2004.06200.

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  11. Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact. (2020). Voss, Moritz ; Neuman, Eyal.
    In: Papers.
    RePEc:arx:papers:2002.09549.

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  12. Marked point processes and intensity ratios for limit order book modeling. (2020). Yoshida, Nakahiro ; Toke, Ioane Muni.
    In: Papers.
    RePEc:arx:papers:2001.08442.

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  13. Analyzing order flows in limit order books with ratios of Cox-type intensities. (2019). Yoshida, Nakahiro ; Toke, Ioane Muni.
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  14. Analyzing order flows in limit order books with ratios of Cox-type intensities. (2019). Yoshida, Nakahiro ; Toke, Ioane Muni.
    In: Post-Print.
    RePEc:hal:journl:hal-01799398.

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  15. A multifactor regime-switching model for inter-trade durations in the limit order market. (2019). Xing, Haipeng ; Li, Zhicheng ; Chen, Xinyun.
    In: Papers.
    RePEc:arx:papers:1912.00764.

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  16. Static vs Adaptive Strategies for Optimal Execution with Signals. (2019). Brigo, Damiano ; Neuman, Eyal ; Done, Alex ; Bellani, Claudio.
    In: Papers.
    RePEc:arx:papers:1811.11265.

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  17. DeepLOB: Deep Convolutional Neural Networks for Limit Order Books. (2019). Roberts, Stephen ; Zohren, Stefan ; Zhang, Zihao.
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  18. Analyzing order flows in limit order books with ratios of Cox-type intensities. (2019). Yoshida, Nakahiro ; Toke, Ioane Muni.
    In: Papers.
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  19. Designating market maker behaviour in limit order book markets. (2018). Panayi, Efstathios ; Zigrand, Jean-Pierre ; Danielsson, Jon ; Peters, Gareth W.
    In: Econometrics and Statistics.
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  20. Optimal trading using signals. (2018). Lehalle, Charles-Albert ; de March, Hadrien.
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  21. Incorporating Signals into Optimal Trading. (2018). LEHALLE, Charles-Albert ; Neuman, Eyal.
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  22. Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency. (2018). LEHALLE, Charles-Albert ; Mounjid, Othmane.
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  23. Order Flows and Limit Order Book Resiliency on the Meso-Scale. (2017). Ludkovski, Michael ; Bechler, Kyle .
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  24. ALGORITHMIC TRADING WITH LEARNING. (2016). Cartea, Álvaro ; Kinzebulatov, Damir ; Jaimungal, Sebastian.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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  25. Designating market maker behaviour in Limit Order Book markets. (2015). Danielsson, Jon ; Panayi, Efstathios ; Zigrand, Jean-Pierre ; Peters, Gareth W.
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Authors registered in RePEc who have wrote about the same topic

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