Resilient price impact of trading and the cost of illiquidity

International Journal of Theoretical and Applied Finance

Volumn 16, Issue 6, 2013, Pages

  Roch, Alexandre ^a   Mete Soner, H ^b,c  

^a Université du Québec à Montréal   (Canada)

^b ETH ZURICH   (Switzerland)

^c SWISS FINANCE INSTITUTE   (Switzerland)

Author keywords

asset pricing; limit order books; Liquidity risk; price impacts; resilience; utility maximization

Indexed keywords

EID: 84885127900     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024913500374     Document Type: Article

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