Algorithmic trading in a microstructural limit order book model (Q5139231)
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scientific article; zbMATH DE number 7282777
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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