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20092012
most citedHedging in an equilibrium-based model for a large investor

1 citations · 1 across the 4 of their papers we have counts for

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q-fin.CP2012

A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets

David German, Henry Schellhorn

We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage…