The effects of market-making on price dynamics (2006)

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by Sanmay Das
Citations:15 - 3 self

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5 Intelligent Market-Making in Artificial Financial Markets – S. Das, Sanmay Das, Snmy Ds - 2003
3 An agent-based model of dealership markets – Sanmay Das
16 Adapting to a Market Shock: Optimal Sequential Market-Making – Sanmay Das, Malik Magdon-ismail
178 The Microstructure Approach to Exchange Rates – Richard K. Lyons - 2000
Central bank Intervention and . . . – Paolo Pasquariello - 2002
17 A learning market-maker in the Glosten-Milgrom model – Sanmay Das - 2005
61 Time and the Price Impact of a Trade – Alfonso Dufour, Robert F. Engle - 2000
2 A Bayesian market maker – Aseem Brahma, Qualcomm Inc - 2012
2 FROM DISCRETE-TIME MODELS TO CONTINUOUS-TIME, ASYNCHRONOUS MODELING OF FINANCIAL MARKETS – Katalin Boer, Uzay Kaymak, Jaap Spiering
34 How markets slowly digest changes in supply and demand – Jean-Philippe Bouchaud, J. Doyne Farmer, Fabrizio Lillo - 2008
1 Inventory-based versus Prior-based Options Trading Agents ∗ – Abraham Othman, Tuomas S - 2012
IOS Press Inventory-based versus Prior-based Options Trading Agents – Abraham Othman, Tuomas S
Price Dynamics, Informational Efficiency and Wealth Distribution in Continuous Double Auction Markets ∗ – Javier Gil-bazo A, David Moreno A, Mikel Tapia A
The behavior of bid-ask spreads . . . – Patrick de Fontnouvelle, Raymond P. H. Fishe, Jeffrey H. Harris - 2002
(preliminary and incomplete) Middlemen in Limit-Order Markets 1 – Boyan Jovanovic, Albert J. Menkveld, Phil Haile, Joel Hasbrouck, Terrence Hendershott, Johannes Hörner, Charles Jones, Lasse Pedersen, Emiliano Pagnotta - 2010
63 Market liquidity as a sentiment indicator – Malcolm Baker, Jeremy C. Stein - 2002
research platform to scholars worldwide. Order Flow and Exchange Rate Dynamics – Martin D. D. Evans, Richard K. Lyons - 1999
146 Order Flow and Exchange Rate Dynamics – Martin D. D. Evans, Richard K. Lyons - 2002
2 Do `thinly-traded' stocks benefit from specialist intervention – M. Nimalendran, Giovanni Petrella - 2003