Mathematical Finance · 2018 · 11 citations · 31 references
BusinessEconomicsFinanceFinancial EconomicsQuantitative FinanceStochastic ProcessesArbitrage PricingImplied VolatilityStochastic VolatilityVolatility AnalysisVolatility ModelingHurst Exponent EstimationMarket Volatility EffectsPrice Volatility EffectsRough Volatility ModelsVolterra Equations
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Optimal execution of portfolio transactions
Robert Almgren, Neil Chriss · The Journal of Risk · 2001 · 1.6K citations
ON FRACTIONAL INTEGRALS AND DERIVATIVES
H. Kober · The Quarterly Journal of Mathematics · 1940 · 1.2K citations
A Stochastic Model for Order Book Dynamics
Rama Cont, Sasha Stoikov, Rishi Talreja · Operations Research · 2010 · 484 citations
Master curve for price-impact function
Fabrizio Lillo, J. Doyne Farmer, Rosario N. Mantegna · Nature · 2003 · 466 citations
Emmanuel Bacry, Iacopo Mastromatteo, Jean–François Muzy · Market Microstructure and Liquidity · 2015 · 411 citations