Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis (Q300838): Difference between revisions
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Property / author: Pierre-Louis Lions / rank | |||
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Property / author: Pierre-Louis Lions / rank | |||
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Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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Property / Mathematics Subject Classification ID: 91A15 / rank | |||
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Property / Mathematics Subject Classification ID: 91A23 / rank | |||
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Property / zbMATH DE Number: 6599323 / rank | |||
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orderbook modeling | |||
Property / zbMATH Keywords: orderbook modeling / rank | |||
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mean field games | |||
Property / zbMATH Keywords: mean field games / rank | |||
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order-driven market | |||
Property / zbMATH Keywords: order-driven market / rank | |||
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waiting cost | |||
Property / zbMATH Keywords: waiting cost / rank | |||
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liquidity equilibrium | |||
Property / zbMATH Keywords: liquidity equilibrium / rank | |||
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high frequency trading | |||
Property / zbMATH Keywords: high frequency trading / rank | |||
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market microstructure | |||
Property / zbMATH Keywords: market microstructure / rank | |||
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price formation process | |||
Property / zbMATH Keywords: price formation process / rank | |||
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Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / OpenAlex ID: W2963309180 / rank | |||
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Property / arXiv ID: 1305.6323 / rank | |||
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Revision as of 13:14, 18 April 2024
scientific article
Language | Label | Description | Also known as |
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English | Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis |
scientific article |
Statements
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis (English)
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29 June 2016
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orderbook modeling
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mean field games
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order-driven market
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waiting cost
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liquidity equilibrium
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high frequency trading
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market microstructure
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price formation process
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