The Financial Mathematics of Market Liquidity : From Optimal Execution to Market Making

By Olivier Guéant. 2016

182 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2c5662ee08560e5b0f88dcf317eb97ab1c3937b7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Pierre Cardaliaguet
2. Charles-Albert Lehalle
3. Jiequn Han
4. Ruimeng Hu

In Finance

1. Pierre Cardaliaguet
2. Charles-Albert Lehalle
3. Daniel Lacker
4. P. J. Graber
5. Diogo A. Gomes
6. Charles Bertucci
7. Alessio Porretta
8. Edgard A. Pimentel

Citations in the corpus

• Mean field game of controls and an application to trade crowding (2016, methodology): “For details about this standard framework, see [Cartea et al., 2015], [Guéant, 2016] or [Lehalle et al., 2013, Chapter 3].”