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Market Microstructure and Liquidity

World Scientific

Finance & Accounting
ABDC B
Abstract coverage—see Methodology
Recent paperssorted by most recent
PaperYearCitations
A Single Queue Reactive Hawkes Model for the Order Flow
Peng Wu et al.
20203 citations
LOB Modeling Using Hawkes Processes with a State-Dependent Factor
Emmanouil Sfendourakis & Ioane Muni Toke
20203 citations
Spot Arbitrage in FX Market and Algorithmic Trading: Speed is Not of the Essence
Soheil Mahmoodzadeh & Michael Tseng
20203 citations
Adaptive Trading Strategies Across Liquidity Pools
Bastien Baldacci & Iuliia Manziuk
20203 citations
Optimal Incentives in a Limit Order Book: A SPDE Control Approach
Bastien Baldacci & Philippe Bergault
20202 citations
Evidence of Crowding on Russell 3000 Reconstitution Events
Alessandro Micheli & Eyal Neuman
20201 citations
A Bayesian Viewpoint on the Price Formation Process
Joffrey Derchu
20200 citations
Author Index VOLUME 6 (2020)
Unknown
20200 citations
Nash Equilibrium for Risk-Averse Investors in a Market Impact Game with Transient Price Impact
Xiangge Luo & Alexander Schied
201911 citations
Assessing MiFID II Regulation on Tick Sizes: A Transaction Costs Analysis Viewpoint
Sophie Laruelle et al.
20197 citations
Price Impact in a Latent Order Book
Ismael Lemhadri
20195 citations
A Note on Almgren–Chriss Optimal Execution Problem with Geometric Brownian Motion
Bastien Baldacci & Jerome Benveniste
20191 citations
Rethinking Decimalization: The Impact of Increased Tick Sizes on Trading Activity, Volatility, and Price Clustering
Benjamin M. Blau & Ryan J. Whitby
20190 citations
Limit Order Book (LOB) Shape Modeling in Presence of Heterogeneously Informed Market Participants
Mouhamad Drame
20190 citations
Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?
Gökhan Cebiroğlu et al.
20190 citations
Order-Book Modeling and Market Making Strategies
Xiaofei Lu & Frédéric Abergel
201813 citations
Liquidation in Target Zone Models
Christoph Belak et al.
201812 citations
Slow Decay of Impact in Equity Markets: Insights From the ANcerno Database
Frédéric Bucci et al.
201810 citations
Hybrid Marked Point Processes: Characterization, Existence and Uniqueness
Maxime Morariu-Patrichi & Mikko S. Pakkanen
20186 citations
The Cross-Sectional Spillovers of Single Stock Circuit Breakers
James Brugler et al.
20186 citations

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