Optimal placement in a limit order book: an analytical approach
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Publication:513747
DOI10.1007/S11579-016-0177-5zbMATH Open1409.91234OpenAlexW2499008911MaRDI QIDQ513747FDOQ513747
Authors: Adrien de Larrard, Zhao Ruan, Xin Guo 
Publication date: 7 March 2017
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-016-0177-5
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Derivative securities (option pricing, hedging, etc.) (91G20) Sums of independent random variables; random walks (60G50) Markov and semi-Markov decision processes (90C40)
Cites Work
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Cited In (13)
- Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model
- Order execution probability and order queue in limit order markets
- Reflection principle for finite-velocity random motions
- Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
- Optimal decisions in a time priority queue
- Optimal order execution using hidden orders
- Optimal hedging through limit orders
- Optimal liquidity-based trading tactics
- Optimal market-making strategies under synchronised order arrivals with deep neural networks
- Optimal order placement in limit order markets
- Optimal market making in the presence of latency
- Optimal liquidation in a limit order book for a risk-averse investor
- Market or limit orders?
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