SSRN Electronic Journal · 2005 · 233 citations · 75 references
Social SciencesEconomicsFinanceFinancial EconomicsFinancial MarketsMicroeconomicsDemand TheoryIntertemporal PricingMarket MicrostructureTrading StrategiesExecution Cost ModelingInvestor Trading BehaviorLimit Order Book DynamicsLimit Order Book ModelingLimit Order MarketsLimit Order TradingOptimal ExecutionOrder Book Dynamics
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A Theory of Intraday Patterns: Volume and Price Variability
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Optimal execution of portfolio transactions
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Do Demand Curves for Stocks Slope Down?
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