A multiscale model of high-frequency trading

DOI10.3233/AF-13017MaRDI QIDQ2868675zbMATH OpenOpenAlexFDO

Authors Andrei Kirilenko, Richard B. Sowers, Xiangqian Meng

Publication date 18 December 2013

Published in Algorithmic Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3233/af-13017

zbMATH Keywords

high frequency tradingvolatility

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Trade models (91B60) Stochastic models in economics (91B70)

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Cited in

(10)

• Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
• High-frequency trading with fractional Brownian motion
• High frequency traders and the price process
• High frequency trading and stock index returns: a nonlinear dynamic analysis
• High-frequency trading model for a complex trading hierarchy
• scientific article; zbMATH DE number 5666937 (Why is no real title available?)
• Dynamic mode decomposition for financial trading strategies
• Modelling Asset Prices for Algorithmic and High-Frequency Trading
• HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
• Limits of Limit-Order Books

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