Incorporating positions into asset pricing models with order-based strategies
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Volume (Year): 3 (2008)
Issue (Month): 2 (December)
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References listed on IDEAS
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- Cars H. Hommes, 2005.
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Tinbergen Institute Discussion Papers
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- Frank Westerhoff, 2003. "Market-maker, inventory control and foreign exchange dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 3(5), pages 363-369.
- Oliver Hansch & Narayan Y. Naik & S. Viswanathan, 1998. "Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange," Journal of Finance, American Finance Association, vol. 53(5), pages 1623-1656, October.
- Farmer, J. Doyne & Joshi, Shareen, 2002.
"The price dynamics of common trading strategies,"
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Elsevier, vol. 49(2), pages 149-171, October.
- Bradfield, James, 1979. "A Formal Dynamic Model of Market Making," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(02), pages 275-291, June.
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