Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis (Q300838)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis |
scientific article |
Statements
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis (English)
0 references
29 June 2016
0 references
orderbook modeling
0 references
mean field games
0 references
order-driven market
0 references
waiting cost
0 references
liquidity equilibrium
0 references
high frequency trading
0 references
market microstructure
0 references
price formation process
0 references
0 references
