Market Microstructure and Liquidity

Hawkes Processes in Finance

Emmanuel Bacry, Iacopo Mastromatteo, Jean–François Muzy · 2015 · 411 citations

Business, Economics, Finance +15

Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate

Elia Zarinelli, Michele Treccani, J. Doyne Farmer et al. · 2015 · 92 citations · Full text

Business, Economics, Finance +13

Large Tick Assets: Implicit Spread and Optimal Tick Size

Khalil Al Dayri, Mathieu Rosenbaum · 2015 · 68 citations · Full text

Business, Economics, Finance +15

Option Hedging with Smooth Market Impact

Robert Almgren, Tianhui Michael Li · 2016 · 54 citations

Business, Economics, Finance +12

High Frequency Asymptotics for the Limit Order Book

Peter Lakner, Josh Reed, Sasha Stoikov · 2016 · 37 citations

Natural Sciences, Economics, Mathematics +15