A multiscale model of high-frequency trading

DOI10.3233/AF-13017MaRDI QIDQ2868675zbMATHOpenAlexFDO

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

volatilityhigh frequency trading

Mathematics Subject Classification ID

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

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(10)

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

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