The Financial Mathematics of Market Liquidity

The Financial Mathematics of Market Liquidity
Author: Olivier Gueant
Publisher: CRC Press
Total Pages: 302
Release: 2016-03-30
Genre: Business & Economics
ISBN: 1498725481

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This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss app


The Financial Mathematics of Market Liquidity
Language: en
Pages: 302
Authors: Olivier Gueant
Categories: Business & Economics
Type: BOOK - Published: 2016-03-30 - Publisher: CRC Press

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This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. Th
Optimal Execution and Liquidation in Finance
Language: en
Pages: 0
Authors: Olivier Gueant
Categories: Business & Economics
Type: BOOK - Published: 2016-03-15 - Publisher: Chapman and Hall/CRC

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This book is devoted to mathematical models for execution problems in finance. The main goal is to present a general framework (inspired from the Almgren-Chriss
Liquidity, Markets and Trading in Action
Language: en
Pages: 111
Authors: Deniz Ozenbas
Categories: Business enterprises
Type: BOOK - Published: 2022 - Publisher: Springer Nature

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This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to tradin
Risk and Liquidity
Language: en
Pages: 205
Authors: Hyun Song Shin
Categories: Business & Economics
Type: BOOK - Published: 2010-05-27 - Publisher: OUP Oxford

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This book presents the Clarendon Lectures in Finance by one of the leading exponents of financial booms and crises. Hyun Song Shin's work has shed light on the
Algorithmic and High-Frequency Trading
Language: en
Pages: 360
Authors: Álvaro Cartea
Categories: Mathematics
Type: BOOK - Published: 2015-08-06 - Publisher: Cambridge University Press

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The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorit