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Market Microstructure and Liquidity is a peer-reviewed journal published by World Scientific, covering Financial Markets and Investment Strategies, Complex Systems and Time Series Analysis, Stochastic processes and financial applications.
| Publisher | World Scientific |
|---|---|
| Reference style | Superscript numbered (World Scientific) Superscript — small raised numerals in the text 1. Smith, A., Jones, B. & Lee, C. A representative article title. Market Microstructure and Liquidity 12, 45–58 (2023).
Formats any DOI in the closest standard style — Market Microstructure and Liquidity has no published style definition, so this is an approximation. No sign-up. |
| Publishes research in | Financial Markets and Investment Strategies Complex Systems and Time Series Analysis Stochastic processes and financial applications Financial Risk and Volatility Modeling Market Dynamics and Volatility |
| ISSN | 2382-6266 |
| h-index | 11 |
| i10-index | 14 |
| Total citations | 920 |
| Top institutions publishing here | École Polytechnique |
| Journal website | www.worldscientific.com |
| You get | A submission-ready PDF and the editable LaTeX source — ready to submit. |
Citations each year’s papers have accumulated so far — the most recent years are still building up.
In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of multivariate point processes that has become very popular in empirical high-frequency finance this last decade. After a reminder of the main definitions and properties that characterize Hawkes…
We make an extensive empirical study of the market impact of large orders (metaorders) executed in the US equity market between 2007 and 2009. We show that the square root market impact formula, which is widely used in the industry and supported by previous published research, provides a good fit only across about two orders…
In this work, we provide a framework linking microstructural properties of an asset to the tick value of the exchange. In particular, we bring to light a quantity, referred to as implicit spread, playing the role of spread for large tick assets, for which the effective spread is almost always equal to one tick. The…
We consider intraday hedging of an option position, for a large trader who experiences temporary and permanent market impact. We formulate the general model including overnight risk, and solve explicitly in two cases which we believe are representative. The first case is an option with approximately constant gamma: the optimal hedge trades smoothly towards the…
We study the one-sided limit order book corresponding to limit sell orders and model it as a measure-valued process. Limit orders arrive to the book according to a Poisson process and are placed on the book according to a distribution which varies depending on the current best price. Market orders to buy periodically arrive to…
