We model an electronic limit order book as a multi-class queueing system under fluid
dynamics, and formulate and solve a problem of limit and market order placement to …

The composition of natural liquidity has been changing over time. An analysis of intraday
volumes for the S&P500 constituent stocks illustrates that (i) volume surprises, ie, deviations …

We present a formulation of the transaction cost analysis (TCA) in the Bayesian framework
for the primary purpose of comparing broker algorithms using standardized benchmarks …

We propose a new approach to model the cost of liquidity based on the synthetic replication
of the sale of a liquid asset. Assuming that markets are complete, the sale of a liquid asset …

We derive an optimal trading strategy that benchmarks the closing price in a mean-variance
optimization framework. By taking into account risk aversion, market impact, volatility and …

Inability to accurately project transaction cost is one of the main drags on alpha and
performance for bond investors. We introduce a framework for bond trade cost analysis that …

We present a set of models relevant for predicting various aspects of intra-day trading
volume for equities and showcase them as an ensemble that projects volume in unison. We …

Transaction costs have a big influence on the return of the stock portfolios for sizeable
investment companies. These costs are variable and depend on the price movement of a …

Over recent years, it is said that the trading environment in stock markets has undergone
significant changes against the backdrop of institutional reforms and technological …

Microstructure Analysis of Dynamic Markets: Limit Order Books and Dynamic Matching
Markets Page 1 Microstructure Analysis of Dynamic Markets: Limit Order Books and …