48 citations · 83 across the 12 of their papers we have counts for
Showing 2018Show all
2 papers · 1 filter
q-fin.TR2018★ 2 cited
Order-book modelling and market making strategies
Xiaofei Lu, Frédéric Abergel
Market making is one of the most important aspects of algorithmic trading, and it has been studied quite extensively from a theoretical point of view. The practical implementation…
q-fin.TR2018★ 14 cited
Market Impact: A Systematic Study of Limit Orders
Emilio Said, Ahmed Bel Hadj Ayed, Alexandre Husson +1
This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large order…