A multiscale model of high-frequency trading

DOI10.3233/AF-13017zbMATH Open1277.91131OpenAlexW3124436383MaRDI QIDQ2868675FDOQ2868675

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

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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)

Cited In (10)

• HYDRODYNAMIC LIMIT OF ORDER-BOOK DYNAMICS
• Limits of Limit-Order Books
• Title not available (Why is that?)
• High-frequency trading with fractional Brownian motion
• High-frequency trading model for a complex trading hierarchy
• Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
• High frequency trading and stock index returns: a nonlinear dynamic analysis
• Modelling Asset Prices for Algorithmic and High-Frequency Trading
• Dynamic mode decomposition for financial trading strategies
• High frequency traders and the price process

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