Optimal inventory management and order book modeling (Q4967868): Difference between revisions

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+Algorithmic trading in a microstructural limit order book model
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+A MATHEMATICAL APPROACH TO ORDER BOOK MODELING
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+Long-Time Behavior of a Hawkes Process--Based Limit Order Book
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+Optimal Control Under Uncertainty and Bayesian Parameters Adjustments
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+Q3355178
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+A functional limit theorem for limit order books with state dependent price dynamics
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+Weak Dynamic Programming Principle for Viscosity Solutions
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+Price Dynamics in a Markovian Limit Order Market
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+A Stochastic Model for Order Book Dynamics
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+Q2787919
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+Optimal market making
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+Optimal high-frequency trading with limit and market orders
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+Simulating and Analyzing Order Book Data: The Queue-Reactive Model
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+Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework
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+Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis
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+Optimal Liquidity-Based Trading Tactics
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+Statistical theory of the continuous double auction
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