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In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allow
Language: en
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Type: BOOK - Published: 2023-05-05 - Publisher: CRC Press
Builds a market simulator to back test trading algorithms Implements closed-form strategies that optimize trading signals Measures liquidity risk and stress tes
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The composition of natural liquidity has been changing over time. An analysis of intraday volumes for the S&P500 constituent stocks illustrates that (i) volume
Language: en
Pages: 302
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Type: BOOK - Published: 2016-03-30 - Publisher: CRC Press
This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. Th