Hedging through a Limit Order Book with Varying Liquidity
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References listed on IDEAS
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More about this item
Keywordshedging; large traders; limited liquidity; resilience; limit order book;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-17 (All new papers)
- NEP-FMK-2012-04-17 (Financial Markets)
- NEP-MST-2012-04-17 (Market Microstructure)
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