Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes (Q4580297)

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scientific article; zbMATH DE number 6917746
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Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes
scientific article; zbMATH DE number 6917746

    Statements

    title
    Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes (English)
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    author
    Álvaro Cartea
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    Sebastian Jaimungal
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    Jason Ricci
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    published in
    SIAM Review
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    publication date
    14 August 2018
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    zbMATH Keywords
    algorithmic trading
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    high frequency trading
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    short-term-alpha
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    adverse selection
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    mutually exciting processes
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    Hawkes processes
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    cites work
    Q5263525
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    Q2787919
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    Mean field games
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    Identifiers

    DOI
    10.1137/18M1176968
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    Mathematics Subject Classification ID
    91G10
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    93E20
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    91G80
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    zbMATH DE Number
    6917746
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