5 citations · 7 across the 4 of their papers we have counts for
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q-fin.TR2016
Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
Charles-Albert Lehalle, Othmane Mounjid
This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbal…
math.AP2016
Elasticae and inradius
Antoine Henrot, Othmane Mounjid
The elastic energy of a planar convex body is defined by $E(\Om)=\frac 12\,\int\_{\partial\Om} k^2(s)\,ds$where is the curvature of the boundary. In this paper we are intere…