Endogenous Formation of Limit Order Books: Dynamics Between Trades
From MaRDI portal
Publication:4641739
DOI10.1137/16M1078045zbMath1388.91144arXiv1605.09720MaRDI QIDQ4641739
Sergey Nadtochiy, Roman Gayduk
Publication date: 18 May 2018
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.09720
market microstructurelimit order bookcontrol-stopping gamecontinuum-player gamefixed-point problem with discontinuityRBSDE with oblique reflection
Games with infinitely many players (91A07) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
Related Items
Reflected BSDEs in non-convex domains, A simple microstructural explanation of the concavity of price impact, Optimal investment mean-field and N-player games with memory effect and relative performance competition, High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact, Endogenous Formation of Limit Order Books: Dynamics Between Trades, A dynamic model of the limit order book, Control-Stopping Games for Market Microstructure and Beyond
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis
- Drift dependence of optimal trade execution strategies under transient price impact
- A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
- Backward stochastic differential equations with reflection and Dynkin games
- Multi-dimensional reflected backward stochastic differential equations and the comparison theorem
- Option market making under inventory risk
- Mean field games
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Equilibrium points of nonatomic games
- Probabilistic Analysis of Mean-Field Games
- Existence and Stability of Nash Equilibrium
- Optimal Execution in a General One-Sided Limit-Order Book
- A Stochastic Model for Order Book Dynamics
- OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
- Control-Stopping Games for Market Microstructure and Beyond
- High-frequency trading in a limit order book
- Arbitrage pricing of defaultable game options with applications to convertible bonds
- Foundations of Modern Probability
- Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Algorithmic Trading with Model Uncertainty
- Optimal execution with limit and market orders
- Endogenous Formation of Limit Order Books: Dynamics Between Trades
- Financial Modelling with Jump Processes
- BSDE representations for optimal switching problems with controlled volatility
- GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
- A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION
- Mean-Field Game Strategies for Optimal Execution
- Markets with a Continuum of Traders
- Optimal Stopping in Games with Continuous Time
- Optimal high-frequency trading with limit and market orders
