High-frequency trading in a limit order book
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(only showing first 100 items - show all)- Optimal execution in high-frequency trading with Bayesian learning
- Market-making strategy with asymmetric information and regime-switching
- Optimal execution with regime-switching market resilience
- The self-financing equation in limit order book markets
- Dynamic equilibrium of market making with price competition
- Predictive market making via machine learning
- Oil futures volatility smiles in 2020: why the Bachelier smile is flatter
- Stochastic modelling of big data in finance
- Optimal bookmaking
- Optimal market-making strategies under synchronised order arrivals with deep neural networks
- Markets with random lifetimes and private values: mean reversion and option to trade
- Optimal liquidity provision
- Dynamic equilibrium limit order book model and optimal execution problem
- Optimal posting price of limit orders: learning by trading
- Optimal market dealing under constraints
- Approximate hedging for nonlinear transaction costs on the volume of traded assets
- Modeling high-frequency non-homogeneous order flows by compound Cox processes
- Optimal market making in the foreign exchange market
- 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
- Liquidation in limit order books with controlled intensity
- Buy Low, Sell High: A High Frequency Trading Perspective
- High frequency trading and asymptotics for small risk aversion in a Markov renewal model
- Price setting of market makers: a filtering problem with endogenous filtration
- Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
- Incorporating order-flow into optimal execution
- Limit order trading with a mean reverting reference price
- Forward indifference valuation of American options
- Market making and portfolio liquidation under uncertainty
- Market making with alpha signals
- Dealing with the inventory risk: a solution to the market making problem
- Probabilistic aspects of finance
- Enhancing trading strategies with order book signals
- Optimal decisions in a time priority queue
- Trading strategies within the edges of no-arbitrage
- Algorithmic trading, stochastic control, and mutually exciting processes
- Modelling Asset Prices for Algorithmic and High-Frequency Trading
- Algorithmic trading with model uncertainty
- Optimal market making
- Optimal accelerated share repurchases
- Evolution of high-frequency systematic trading: a performance-driven gradient boosting model
- Internalisation by electronic FX spot dealers
- Endogenous formation of limit order books: dynamics between trades
- Optimal trading of algorithmic orders in a liquidity fragmented market place
- Price impact of large orders using Hawkes processes
- Optimal inventory management and order book modeling
- Hedge and speculate: replicating option payoffs with limit and market orders
- Optimal make-take fees in a multi market-maker environment
- Algorithmic market making for options
- Optimal auction duration: a price formation viewpoint
- Equilibrium model of limit order books: a mean-field game view
- Cooperation between independent market makers
- Closed-form Approximations in Multi-asset Market Making
- Market making with inventory control and order book information
- Optimal liquidity-based trading tactics
- Optimal market making under partial information with general intensities
- Optimal placement in a limit order book: an analytical approach
- Algorithmic trading in a microstructural limit order book model
- Optimal market making in the presence of latency
- Optimal market making with persistent order flow
- Inventory management in customised liquidity pools
- Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality
- Deep learning for limit order books
- Liquidity suppliers and high frequency trading
- 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
- A semi-Markovian modeling of limit order markets
- Optimal strategy for limit order book submissions in high frequency trading
- Optimal high-frequency trading with limit and market orders
- Optimal Execution: A Review
- 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
- Optimal order execution under price impact: a hybrid model
- Bid-ask spread dynamics: large upward jump with geometric catastrophes
- Adaptive optimal market making strategies with inventory liquidation cost
- Do price trajectory data increase the efficiency of market impact estimation?
- Decentralized finance and automated market making: predictable loss and optimal liquidity provision
- Price estimation via Bayesian filtering and optimal bid-ask prices for market makers
- Macroscopic market making games
- Optimal Trade Execution Strategy and Implementation with Deterministic Market Impact Parameters
- Deep limit order book forecasting: a microstructural guide
- Market making with exogenous competition
- ZeroSwap: data-driven optimal market making in decentralized finance
- A mean field game between informed traders and a broker
- A stochastic volatility model for optimal market-making
- Logarithmic regret in the ergodic Avellaneda-Stoikov market making model
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