High frequency trading and asymptotics for small risk aversion in a Markov renewal model (Q2941476)
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scientific article; zbMATH DE number 6476809
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| English | High frequency trading and asymptotics for small risk aversion in a Markov renewal model |
scientific article; zbMATH DE number 6476809 |
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High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model (English)
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28 August 2015
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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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0.7969439029693604
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0.7825289964675903
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0.7713592648506165
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0.7627092003822327
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0.7488304972648621
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