Inventory Management for High-Frequency Trading with Imperfect Competition

DOI10.1137/18M1207776zbMath1433.91163arXiv1808.05169MaRDI QIDQ5215989

Sebastian Herrmann, Chen Yang, Dapeng Shang, Johannes Muhle-Karbe

Publication date: 14 February 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.05169

zbMATH Keywords

imperfect competitioninventory managementhigh-frequency tradinginformation asymmetry

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05) Financial markets (91G15)

Cites Work

• Risk aversion, imperfect competition, and long-lived information
• Continuous Auctions and Insider Trading
• Insider Trading With a Random Deadline

This page was built for publication: Inventory Management for High-Frequency Trading with Imperfect Competition