High-frequency trading in a limit order book
From MaRDI portal
Publication:3502183
DOI10.1080/14697680701381228zbMath1152.91024OpenAlexW2162288466MaRDI QIDQ3502183
Sasha Stoikov, Marco Avellaneda
Publication date: 22 May 2008
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680701381228
Related Items (85)
Optimal Auction Duration: A Price Formation Viewpoint ⋮ Predictive market making via machine learning ⋮ Modeling high-frequency non-homogeneous order flows by compound Cox processes ⋮ Optimal execution in high-frequency trading with Bayesian learning ⋮ Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes ⋮ Equilibrium Model of Limit Order Books: A Mean-Field Game View ⋮ Incorporating order-flow into optimal execution ⋮ Cooperation between independent market makers ⋮ Closed-form Approximations in Multi-asset Market Making ⋮ MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY ⋮ Enhancing trading strategies with order book signals ⋮ Optimal posting price of limit orders: learning by trading ⋮ Optimal Decisions in a Time Priority Queue ⋮ Market making with inventory control and order book information ⋮ Market-making strategy with asymmetric information and regime-switching ⋮ LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY ⋮ TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE ⋮ Oil futures volatility smiles in 2020: why the Bachelier smile is flatter ⋮ Optimal market dealing under constraints ⋮ Dealing with the inventory risk: a solution to the market making problem ⋮ Optimal Liquidity-Based Trading Tactics ⋮ Probabilistic aspects of finance ⋮ High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model ⋮ Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes ⋮ Modelling Asset Prices for Algorithmic and High-Frequency Trading ⋮ Size matters for OTC market makers: General results and dimensionality reduction techniques ⋮ In memoriam: Marco Avellaneda (1955–2022) ⋮ Marco Avellaneda: Mathematician and trader ⋮ Algorithmic market making in dealer markets with hedging and market impact ⋮ A Mean-Field Game of Market-Making against Strategic Traders ⋮ Optimal make–take fees for market making regulation ⋮ On Bid and Ask Side-Specific Tick Sizes ⋮ Computational Methods for Market Making Algorithms ⋮ Recent advances in reinforcement learning in finance ⋮ High frequency market making: the role of speed ⋮ A data-driven deep learning approach for options market making ⋮ Towards multi‐agent reinforcement learning‐driven over‐the‐counter market simulations ⋮ Dynamics of market making algorithms in dealer markets: Learning and tacit collusion ⋮ STATISTICALLY VALIDATED LEAD-LAG NETWORKS AND INVENTORY PREDICTION IN THE FOREIGN EXCHANGE MARKET ⋮ PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION ⋮ Algorithmic Trading with Model Uncertainty ⋮ Optimal market making ⋮ Optimal accelerated share repurchases ⋮ Optimal Strategy for Limit Order Book Submissions in High Frequency Trading ⋮ Optimal Market Making under Partial Information with General Intensities ⋮ Evolution of high-frequency systematic trading: a performance-driven gradient boosting model ⋮ Stochastic modelling of big data in finance ⋮ Internalisation by electronic FX spot dealers ⋮ Algorithmic trading in a microstructural limit order book model ⋮ Optimal market making in the presence of latency ⋮ Optimal execution with regime-switching market resilience ⋮ Optimal trading of algorithmic orders in a liquidity fragmented market place ⋮ MARKET MAKING WITH ALPHA SIGNALS ⋮ Endogenous Formation of Limit Order Books: Dynamics Between Trades ⋮ Optimal bookmaking ⋮ Optimal placement in a limit order book: an analytical approach ⋮ Optimal market-making strategies under synchronised order arrivals with deep neural networks ⋮ Optimal Market Making with Persistent Order Flow ⋮ The self-financing equation in limit order book markets ⋮ Optimal high-frequency trading with limit and market orders ⋮ Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices ⋮ Optimal Market Making in the Foreign Exchange Market ⋮ Inventory management in customised liquidity pools ⋮ Approximate hedging for nonlinear transaction costs on the volume of traded assets ⋮ PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES ⋮ Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality ⋮ Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders ⋮ Dynamic equilibrium of market making with price competition ⋮ Deep learning for limit order books ⋮ Optimal Make-Take Fees in a Multi Market-Maker Environment ⋮ Trading strategy with stochastic volatility in a limit order book market ⋮ Liquidity Suppliers and High Frequency Trading ⋮ Algorithmic market making for options ⋮ Markets with random lifetimes and private values: mean reversion and option to trade ⋮ GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION ⋮ OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION ⋮ RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES ⋮ Optimal liquidity provision ⋮ A Semi-Markovian Modeling of Limit Order Markets ⋮ Rebuilding the limit order book: sequential Bayesian inference on hidden states ⋮ A generalized birth–death stochastic model for high-frequency order book dynamics ⋮ Integer-valued Lévy processes and low latency financial econometrics ⋮ Forward indifference valuation of American options ⋮ Dynamic equilibrium limit order book model and optimal execution problem ⋮ Optimal Execution: A Review
Cites Work
This page was built for publication: High-frequency trading in a limit order book
