Algorithmic trading in a microstructural limit order book model (Q5139231): Difference between revisions

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Latest revision as of 04:24, 24 July 2024

scientific article; zbMATH DE number 7282777
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English
Algorithmic trading in a microstructural limit order book model
scientific article; zbMATH DE number 7282777

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    Algorithmic trading in a microstructural limit order book model (English)
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    7 December 2020
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    limit order book
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    pure-jump controlled process
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    high-frequency trading
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    high-dimensional stochastic control
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    Markov decision process
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    quantization
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    local regression
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