4.7 Article

Optimal closing benchmarks

Related references

Note: Only part of the references are listed.
Article Economics

Smooth Trading with Overconfidence and Market Power

Albert S. Kyle et al.

REVIEW OF ECONOMIC STUDIES (2018)

Article Business, Finance

A Closed-Form Execution Strategy to Target Volume Weighted Average Price

Alvaro Cartea et al.

SIAM JOURNAL ON FINANCIAL MATHEMATICS (2016)

Article Business, Finance

OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH

Christoph Frei et al.

MATHEMATICAL FINANCE (2015)

Article Business, Finance

VWAP Execution and Guaranteed VWAP

Olivier Gueant et al.

SIAM JOURNAL ON FINANCIAL MATHEMATICS (2014)

Article Business, Finance

Predicting Intraday Trading Volume and Volume Percentages

Venkatesh Satish et al.

JOURNAL OF TRADING (2014)

Article Business, Finance

Closing Call Auctions at the Index Futures Market

Bjorn Hagstromer et al.

JOURNAL OF FUTURES MARKETS (2014)

Article Business, Finance

The effect of a closing call auction on market quality and trading strategies

Eugene Kandel et al.

JOURNAL OF FINANCIAL INTERMEDIATION (2012)

Article Business, Finance

Optimal VWAP trading under noisy conditions

Mark L. Humphery-Jenner

JOURNAL OF BANKING & FINANCE (2011)

Article Business, Finance

A Dynamic Model of the Limit Order Book

Ioanid Rosu

REVIEW OF FINANCIAL STUDIES (2009)

Article Business, Finance

Limit order book as a market for liquidity

T Foucault et al.

REVIEW OF FINANCIAL STUDIES (2005)

Article Business, Finance

The manipulation of closing prices

P Hillion et al.

JOURNAL OF FINANCIAL MARKETS (2004)

Article Business, Finance

A closing call's impact on market quality at Euronext Paris

MS Pagano et al.

JOURNAL OF FINANCIAL ECONOMICS (2003)