搜索结果: 1-3 共查到“数量经济学 liquidity”相关记录3条 . 查询时间(0.078 秒)
A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets
No-Arbitrage Model Financial Markets Brownian Sheets
2012/9/14
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 of sell orders at th...
Large liquidity expansion of super-hedging costs
Super-replication liquidity viscosity solutions asymptotic expansions.
2012/9/14
We consider a nancial market with liquidity cost as in C etin, Jarrow and Protter[3] where the supply function S"(s;) depends on a parameter"0 withS0(s;) =s corresponding to the perfect liquid si...
Optimal split of orders across liquidity pools: a stochastic algorithm approach
Asset allocation Stochastic Lagrangian algorithm reinforcement principle monotone dynamic system
2010/11/2
Evolutions of the trading landscape lead to the capability to exchange the same financial
instrument on different venues. Because of liquidity issues, the trading firms split large orders across seve...