Optimal Decisions in a Time Priority Queue

DOI10.1080/1350486X.2018.1506257zbMath1418.91465OpenAlexW2586728061WikidataQ129408491 ScholiaQ129408491MaRDI QIDQ4559471

Ryan Donnelly, Luhui Gan

Publication date: 3 December 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2018.1506257

zbMATH Keywords

adverse selectionimpulse controlqueuing modellimit order bookalgorithmic tradinghigh frequency trading

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (5)

Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks ⋮ Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models ⋮ On Reducing a Constrained Gradual-Impulsive Control Problem for a Jump Markov Model to a Model with Gradual Control Only ⋮ Market making with minimum resting times ⋮ Optimal Trading with Differing Trade Signals

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