Optimal market making under partial information with general intensities (Q5126677)
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scientific article; zbMATH DE number 7262547
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| default for all languages | No label defined |
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| English | Optimal market making under partial information with general intensities |
scientific article; zbMATH DE number 7262547 |
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Optimal Market Making under Partial Information with General Intensities (English)
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20 October 2020
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market making
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high-frequency trading
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algorithmic trading
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stochastic optimal control
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hidden Markov model
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stochastic filtering
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viscosity solutions
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piecewise-deterministic Markov processes
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0.8067973852157593
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0.7970492243766785
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0.7921383380889893
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0.789709746837616
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0.7844545245170593
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