High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model (Q2941476)

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High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model
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    title
    High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model (English)
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    DOI
    10.1137/140976005
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    author
    Pietro Fodra
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    Huyên Pham
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    publication date
    28 August 2015
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    Mathematics Subject Classification ID
    60K15
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    60J75
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    91G80
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    93E20
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    49J55
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    45J05
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    zbMATH DE Number
    6476809
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    zbMATH Keywords
    high frequency trading
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    Markov renewal process
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    marked Cox process
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    adverse selection
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    integro-differential equation
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    perturbation method
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    OpenAlex ID
    W3124751332
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    arXiv ID
    1310.1756
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    cites work
    Q3511639
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    Q4227207
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    Q3977319
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