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References listed on IDEAS
- Anil Bangia & Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998.
"Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-062, New York University, Leonard N. Stern School of Business-.
- Anil Bangia & Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998. "Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management," Center for Financial Institutions Working Papers 99-06, Wharton School Center for Financial Institutions, University of Pennsylvania.
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- Schoeneborn, Torsten & Schied, Alexander, 2007. "Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision," MPRA Paper 5548, University Library of Munich, Germany.
- Samuel N. Cohen & Lukasz Szpruch, 2011. "A limit order book model for latency arbitrage," Papers 1110.4811, arXiv.org.
- Sasha Stoikov & Mehmet Sağlam, 2009. "Option market making under inventory risk," Review of Derivatives Research, Springer, vol. 12(1), pages 55-79, April.
- Colantonio Emiliano, 2013. "Betting Markets: Opportunities For Many?," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 200-208, December.
More about this item
- G2 - Financial Economics - - Financial Institutions and Services
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-04-22 (All new papers)
- NEP-FIN-2006-04-22 (Finance)
- NEP-FMK-2006-04-22 (Financial Markets)
- NEP-RMG-2006-04-22 (Risk Management)
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