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

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by Sanmay Das
Citations:8 - 1 self

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4 Intelligent Market-Making in Artificial Financial Markets – S. Das, Sanmay Das, Snmy Ds - 2003
7 Adapting to a Market Shock: Optimal Sequential Market-Making – Sanmay Das, Malik Magdon-ismail
113 The Microstructure Approach to Exchange Rates – Richard K. Lyons - 2000
Central bank Intervention and . . . – Paolo Pasquariello - 2002
10 A learning market-maker in the Glosten-Milgrom model – Sanmay Das - 2005
43 Time and the Price Impact of a Trade – Alfonso Dufour, Robert F. Engle - 2000
2 FROM DISCRETE-TIME MODELS TO CONTINUOUS-TIME, ASYNCHRONOUS MODELING OF FINANCIAL MARKETS – Katalin Boer, Uzay Kaymak, Jaap Spiering
1 Inventory-based versus Prior-based Options Trading Agents ∗ – Abraham Othman, Tuomas S - 2012
Federal Reserve Bank of Boston – De Fontnouvelle, Raymond P. H. Fishe, Jeffrey H. Harris, Dan Deli - 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
97 Order Flow and Exchange Rate Dynamics – Martin D. D. Evans, Richard K. Lyons - 2001
4 Modeling The Impacts Of Market Activity On Bid-Ask Spreads In The Option Market – Young-hye Cho, Robert F. Engle, Robert F. Engle - 1999
28 Liquidity and Expected Returns: Lessons from Emerging Markets – Geert Bekaert, Campbell R. Harvey, Christian Lundblad - 2006
The authors thank the officials at the Securities and Exchange Commission and the U.S. Attorney’s Office in New – Raymond P. H. Fishe, Michel A. Robe, York The, Jim Angel, Henk Berkman, Graeme Camp, Jeff Harris, Tim Mccormick, Ron Melicher, Albert Minguet, David Reeb - 2002
1 Quantifying Fluctuations in Economic Systems By Adapting Methods of Statistical Physics – H. E. Stanley, P. Gopikrishnan, V. Plerou, L. A. N. Amaral - 2000
5 Market Microstructure – Hans R. Stoll - 2003
A New Perspective to Finance and Competition and – Challenges For Financial, Lihui Lin, Xianjun Geng, Andrew Whinston
Liquidity Provision in Periods of High Information Flow ∗ – Dieter Hess, Magdalena Malinowska, We Thank Silke Ber, Michael Ehrmann, Oliver Grothe, Christoph Müller, Marc Napoleone, Lars Jul - 2008
Public Attention, Adverse Selection, and the Pricing of Stocks – Matthias Bank, Georg Peter - 2009