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Handbook of Price Impact Modeling

by Kevin T. Webster, Chapman & Hall/CRC (2023). Hardback. ISBN 978-1032328225.

References

  • Cartea, Á., Jaimungal, S. and Penalva, J., Algorithmic and High-Frequency Trading, 2015 (Cambridge University Press: Cambridge, UK).
  • De-Prado, M.L., Causal Factor Investing: Can Factor Investing Become Scientific?, 2023 (Cambridge University Press: Cambridge, UK).
  • Fruth, A., Schöneborn, T. and Urusov, M., Optimal trade execution and price manipulation in order books with time-varying liquidity. Math. Finance, 2013, 24(4), 651–695.
  • Guéant, O., The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making, 2016 (CRC Press: Boca Raton, FL).
  • Isichenko, M., Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage, 2021 (John Wiley & Sons: Hoboken, NJ).
  • Obizhaeva, A. and Wang, J., Optimal trading strategy and supply/demand dynamics. J. Financ. Mark., 2013, 16(1), 1–32.

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