The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making. Olivier Gueant

The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making


The.Financial.Mathematics.of.Market.Liquidity.From.Optimal.Execution.to.Market.Making.pdf
ISBN: 9781498725477 | 304 pages | 8 Mb


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The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making Olivier Gueant
Publisher: Taylor & Francis



This book is devoted to mathematical models for execution problems in finance. Annals of (2014) MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY. Market makers, who affect the price using limit orders and . Mathematics and Financial Economics. Taking Account of Liquidity In Pricing Models. Similar results are standard in financial mathematics, but to the. This theorem is proved in Appendix C. B.S., Mathematics and Statistics, Miami University, 1989. High-Frequency Trading and the Execution Costs of Institutional Investors (with Time Variation in Liquidity: The Role of Market Maker Inventories and Revenues (with Carole Won Nasdaq Award for best paper on market microstructure, Financial Management. We study a linear price impact model including other liquidity takers, whose Keywords: Market Impact Model, Optimal Execution, Hawkes . SIAM Journal on Financial Mathematics 5:1, 415-444 . (2015) Optimal trading of algorithmic orders in a liquidity fragmented market place.





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