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Modelling Transaction Costs when Trades May Be Crowded: A Bayesian Network Approach

Brière, Marie; Lehalle, Charles Albert; Nefedova, Tamara; Raboun, Amine (2019), Modelling Transaction Costs when Trades May Be Crowded: A Bayesian Network Approach, International Conference on Fintech & Financial Data Science, 2019-09, Dublin, Ireland

Type
Communication / Conférence
Date
2019
Conference title
International Conference on Fintech & Financial Data Science
Conference date
2019-09
Conference city
Dublin
Conference country
Ireland
Metadata
Show full item record
Author(s)
Brière, Marie
Laboratoire d'Economie de Dauphine [LEDa]
Lehalle, Charles Albert
Department of Mathematics [Imperial College London]
Nefedova, Tamara
Dauphine Recherches en Management [DRM]
Raboun, Amine
Université Paris sciences et lettres [PSL]
Subjects / Keywords
Trading Costs; Liquidity
JEL
G12 - Asset Pricing; Trading Volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies; Insider Trading

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  • Thumbnail
    Modelling Transaction Costs When Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance 
    Brière, Marie; Lehalle, Charles Albert; Nefedova, Tamara; Raboun, Amine (2020) Chapitre d'ouvrage
  • Thumbnail
    Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies 
    Brière, Marie; Lehalle, Charles-Albert; Nefedova, Tamara; Raboun, Amine (2019) Document de travail / Working paper
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    Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies 
    Brière, Marie; Lehalle, Charles-Albert; Nefedova, Tamara; Raboun, Amine (2020) Communication / Conférence
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    Nefedova, Tamara; Brière, Marie; Lehalle, C.-A.; Raboun, Amine (2019) Communication / Conférence
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    Stock Market Liquidity : Transaction Costs, Crowding and Price Formation Process 
    Raboun, Amine (2021-03-02) Thèse
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