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Obizhaeva, Anna A.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
3,975 |
Total
Citations
86 |
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1.
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Optimal Trading Strategy and Supply/Demand Dynamics
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Obizhaeva, Anna A.
University of Maryland - Robert H. Smith School of Business Wang, Jiang
Massachusetts Institute of Technology (MIT) - Sloan School of Management
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Posted:
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14 Feb 05
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Last Revised:
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11 Sep 09
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1,933
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57
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Obizhaeva, Anna A.
University of Maryland - Robert H. Smith School of Business Wang, Jiang
Massachusetts Institute of Technology (MIT) - Sloan School of Management
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Obizhaeva, Anna A.
University of Maryland - Robert H. Smith School of Business Wang, Jiang
Massachusetts Institute of Technology (MIT) - Sloan School of Management
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1,323
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price impact; limit order book; optimal execution
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Obizhaeva, Anna A.
University of Maryland - Robert H. Smith School of Business Wang, Jiang
Massachusetts Institute of Technology (MIT) - Sloan School of Management
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533
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57
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Market impact, trading strategy, optimal execution, limit order market, liquidity modeling
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2.
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Obizhaeva, Anna A.
University of Maryland - Robert H. Smith School of Business
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375
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1
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price impact, effective spread, trading costs
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3.
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Kyle, Albert S.
University of Maryland Obizhaeva, Anna A.
University of Maryland - Robert H. Smith School of Business
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357
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9
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4.
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Obizhaeva, Anna A.
University of Maryland - Robert H. Smith School of Business
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27 Feb 07
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Last Revised:
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27 Apr 08
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302
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5
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institutional trading, price impact, information content
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5.
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Kyle, Albert S.
University of Maryland Obizhaeva, Anna A.
University of Maryland - Robert H. Smith School of Business Sinha, Nitish Ranjan
University of Illinois at Chicago Tuzun, Tugkan
Federal Reserve Board
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16 Mar 11
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Last Revised:
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14 Jan 12
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263
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2
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6.
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Kyle, Albert S.
University of Maryland Obizhaeva, Anna A.
University of Maryland - Robert H. Smith School of Business
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17 Mar 12
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Last Revised:
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07 Aug 12
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237
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2
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market crashes, market impact, liquidity, invariance
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7.
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Kyle, Albert S.
University of Maryland Obizhaeva, Anna A.
University of Maryland - Robert H. Smith School of Business
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232
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4
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8.
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Kyle, Albert S.
University of Maryland Obizhaeva, Anna A.
University of Maryland - Robert H. Smith School of Business Tuzun, Tugkan
Federal Reserve Board
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21 Mar 10
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Last Revised:
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12 Jan 12
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154
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2
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trading activity, trade size, trade frequency
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9.
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Kyle, Albert S.
University of Maryland Obizhaeva, Anna A.
University of Maryland - Robert H. Smith School of Business
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122
(116,255)
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4
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asset pricing, market microstructure, portfolio transitions, order size, market impact, bid-ask spread, asset management, invariance
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