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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Latest revision as of 13:14, 18 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis |
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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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