When to Cross the Spread? Trading in Two-Sided Limit Order Books

DOI10.1137/110849341zbMath1308.93224OpenAlexW2000779621MaRDI QIDQ2940761

Ulrich Horst, Felix Naujokat

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/3ee5b41a459a47f3c73123d3e5d6944c492acf81

zbMATH Keywords

stochastic maximum principlesingular controltrading in illiquid marketsdark pool

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80)

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