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

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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• High frequency trading and stock index returns: a nonlinear dynamic analysis
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• Dynamic mode decomposition for financial trading strategies
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