lehalle's microstructure [37 articles] Export Sort

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	Decision Making in Equity Trading: Using Simulation to Get a Grip [My Copy] Journal of Trading, Vol. 1, No. 1. (2006), pp. 59-4. by Robert A. Schwartz, Reto Francioni, Bruce W. Webe posted to simulation microstructure market-model finance by lehalle on 2009-12-29 09:13:10 as
	Strategic Execution in the Presence of an Uninformed Arbitrageur [My Copy] (November 2009) by Ciamac C. Moallemi, Beomsoo Park, Benjamin Van Roy posted to trading optimal-trading microstructure by lehalle on 2009-12-15 12:53:36 as
	Market Making by Learning Liquidity Imbalance [My Copy] (2007) by Adlar J. Kim, J. Doyne Farmer, Andrew Lo posted to trading microstructure market-making by lehalle on 2009-10-29 12:41:20 as
	The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns [My Copy] The Journal of Finance, Vol. 44, No. 2. (1989), pp. 479-486. by Yakov Amihud, Haim Mendelson posted to trading microstructure economy by lehalle on 2009-10-29 12:36:49 as
	Market Microstructure Theory [My Copy] (13 March 1998) by Maureen O'Hara posted to trading microstructure finance by lehalle on 2009-10-28 19:08:39 as along with 4 people RobHayward jchau nmdang pjaiprak
	Power-law distributions in empirical data [My Copy] SIAM Review, Vol. 51, No. 4. (2 Feb 2009), 661. by Aaron Clauset, Cosma R. Shalizi, M. E. J. Newman posted to statistics microstructure finance by lehalle on 2009-10-28 18:48:32 as along with 67 people and 2 groups AaronMcDaid rogerdboyle lawraga ulmer aheineike danilov Diego_Prada kinop jaia jsaramak ccthomas vagoskar acrmartins krisl makrehchi jotwin quianominorleo akuhn arsyed coccoinomane janpaniev pawelsobko alexv Borelli tmarscha dpf garyfeng kubyaddi tnhh kaarsinogen dmeister ddahlem vtraag mattjb jfelipe yonyoni laurobeltrao mmcgloho galyardt gconaldi egh ansobol lfriedl jjray itmeson dumpa madhadron sdvillal bigbossman merazzle xpontus muraken sugarexpletive jaspervoskuilen tomhebbron gi0rgi0ne amoebe jasonn pprett AbnerCYH halukbingol anhlc stringertheory deanmalmgren jyew nazareno diamantis ReadingLab EntrepreneurialRisks
	The Established Liquidity Fragmentation Affects all Investors [My Copy] NAVIGATING LIQUIDITY, Vol. 2 (March 2009) by Charles-Albert Lehalle, Romain Burgot posted to trading statistics microstructure by lehalle on 2009-08-25 13:30:38 as
	Optimal dealer pricing under transactions and return uncertainty [My Copy] Journal of Financial Economics, Vol. 9, No. 1. (March 1981), pp. 47-73. by Thomas Ho, Hans R. Stoll posted to microstructure optimization trading by lehalle on 2009-07-30 10:45:08 as
	The impact of heterogeneous trading rules on the limit order book and order flows [My Copy] Journal of Economic Dynamics and Control, Vol. 33, No. 3. (March 2009), pp. 525-537. by Carl Chiarella, Giulia Iori, Josep Perelló posted to microstructure order-book quantitative-trading trading by lehalle on 2009-07-16 01:38:51 as along with 3 people gi0rgi0ne ShureG RobHayward
	Financial Markets Theory: Equilibrium, Efficiency and Information (Springer Finance) [My Copy] (12 February 2003) by Emilio Barucci posted to finance microstructure trading by lehalle on 2009-05-03 10:57:31 as
	A Dynamic Algorithm for Smart Order Routing [My Copy] (2008) by Robert Almgren, Bill Harts posted to microstructure probability statistical-learning statistics trading by lehalle on 2008-12-31 13:38:51 as
	New Trading Behaviours in a Post-MiFID Liquidity Landscape [My Copy] In NAVIGATING LIQUIDITY, No. 1. (November 2008) by C. A. Lehalle, R. Burgot posted to microstructure trading by lehalle on 2008-12-31 13:33:34 as
	The impact of liquidity fragmentation on optimal trading [My Copy] In Liquidity guide (2009) by C. A. Lehalle posted to microstructure statistics trading by lehalle on 2008-12-31 13:25:50 as
	On Covariance Estimation of Non-synchronously Observed Diffusion Processes [My Copy] Bernoulli, Vol. 11, No. 2. (2005), pp. 359-379. by T. Hayashi, N. Yoshida posted to microstructure statistics stochastic-calculus by lehalle on 2008-06-18 08:46:00 as
	Realized volatility forecasting and option pricing [My Copy] (30 September 2006) by Federico M. Bandi, Jeffrey R. Russell, Chen Yang posted to estimation finance microstructure volatility by lehalle on 2008-06-15 15:45:58 as
	Time and the Price Impact of a Trade [My Copy] The Journal of Finance, Vol. 55, No. 6. (2000), pp. 2467-2498. by Alfonso Dufour, Robert F. Engle posted to finance microstructure statistics by lehalle on 2007-12-28 09:49:01 as
	Limit Order Markets: A Survey [My Copy] In Handbook of Financial Intermediation and Banking (2008) by Christine A. Parlour, Duane J. Seppi edited by A. W. A. Boot, A. V. Thakor posted to finance microstructure by lehalle on 2007-12-28 09:45:18 as
	Price Dynamics in Limit Order Markets [My Copy] The Review of Financial Studies, Vol. 11, No. 4. (1998), pp. 789-816. by Christine A. Parlour posted to finance microstructure statistics by lehalle on 2007-12-28 09:41:47 as along with 2 people and 1 group gillesdaniel Scis0000002 EntrepreneurialRisks
	One Security, Many Markets: Determining the Contributions to Price Discovery [My Copy] The Journal of Finance, Vol. 50, No. 4. (1995), pp. 1175-1199. by Joel Hasbrouck posted to finance microstructure statistics by lehalle on 2007-12-28 09:39:39 as
	Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets [My Copy] (March 2006) by Matthieu Wyart, Jean-Philippe Bouchaud, Julien Kockelkoren, Marc Potters, Michele Vettorazzo posted to finance microstructure statistics by lehalle on 2007-12-28 09:33:12 as
	Bid, ask and transaction prices in a specialist market with heterogeneously informed traders [My Copy] Journal of Financial Economics, Vol. 14, No. 1. (March 1985), pp. 71-100. by Lawrence R. Glosten, Paul R. Milgrom posted to finance microstructure statistics by lehalle on 2007-12-28 09:18:31 as along with 5 people mdengler rjohari betting jchau ltzehua
	A Theory of Intraday Patterns: Volume and Price Variability [My Copy] The Review of Financial Studies, Vol. 1, No. 1. (1988), pp. 3-40. by Anat R. Admati, Paul Pfleiderer posted to finance microstructure by lehalle on 2007-12-28 08:55:20 as
	Understanding Order Flow [My Copy] NBER (October 2005) by Martin D. D. Evans posted to finance microstructure statistics by lehalle on 2007-12-28 08:39:00 as
	Portfolio Balance, Price Impact, and Secret Intervention [My Copy] NBER (July 2001) by Martin D. D. Evans, Richard K. Lyons posted to finance microstructure statistics by lehalle on 2007-12-28 08:37:06 as
	A New Micro Model of Exchange Rate Dynamics [My Copy] RePEc (March 2004) by Martin D. D. Evans, Richard K. Lyons posted to finance microstructure statistics by lehalle on 2007-12-28 08:35:01 as
	Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process [My Copy] Physical Review Letters, Vol. 90, No. 10. (13 March 2003), 108102. by Marcus G. Daniels, Doyne J. Farmer, Laszlo Gillemot, Giulia Iori, Eric Smith posted to finance market-impact microstructure ref statistics by lehalle on 2007-12-11 17:26:00 as along with 2 people gi0rgi0ne nmdang
	Cancellation and Uncertainty Aversion on Limit Order Books [My Copy] No. 2004-W05. (2004) by Jeremy H. Large posted to finance microstructure by lehalle on 2007-11-29 07:51:04 as
	Realized Volatility Forecasting and Market Microstructure Noise [My Copy] (August 2006) by Torben G. Andersen, Tim Bollerslevy, Nour Meddahi posted to finance microstructure volatility by lehalle on 2007-07-18 18:07:56 as
	Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities [My Copy] (June 2004) by Torben G. Andersen, Tim Bollerslev, Nour Meddahi posted to finance microstructure volatility by lehalle on 2007-07-18 18:06:20 as
	REALIZED VOLATILITY FORECASTING and OPTION PRICING [My Copy] (September 2006) by Bandi M. Federico, Russell R. Jeffrey, Yang Chen posted to finance microstructure volatility by lehalle on 2007-07-18 18:03:07 as
	Integrated volatility and round-off error [My Copy] (9 July 2007) by Mathieu Rosenbaum posted to finance microstructure volatility by lehalle on 2007-07-09 14:11:28 as
	Optimal liquidation against a Markovian limit order book [My Copy] (2007) by Patrick Hewlett posted to statistics optimal-trading microstructure finance by lehalle on 2007-06-19 16:51:49 as
	A Test of the Accuracy of the Lee/Ready Trade Classification Algorithm [My Copy] (February 2000) by Erik Theissen posted to finance microstructure statistics by lehalle on 2007-06-07 09:38:31 as
	Statistical Properties of Demand Fluctuation in the Financial Market [My Copy] (2005) by Kaushik Matia, Kazuko Yamasaki posted to finance microstructure ref by lehalle on 2007-05-31 08:25:45 as
	Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications [My Copy] Journal of Financial Markets, Vol. 2, No. 8. (2005), pp. 217-264. by Bruno Biais, Larry Glosten, Chester Spatt posted to finance microstructure by lehalle on 2007-05-30 16:29:43 as
	Des marchés comme algorithmes: sociologie de la cotation électronique à la Bourse de Paris [My Copy] (2003) by Fabian Muniesa posted to finance microstructure by lehalle on 2007-05-30 16:29:43 as
	Market Microstructure and Price Formation [My Copy] (january 2000) by Ananth Madhavan posted to finance microstructure by lehalle on 2007-05-30 16:29:09 as

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