Liquidity Suppliers and High Frequency Trading

DOI10.1137/140967702zbMath1320.91170OpenAlexW3122155966MaRDI QIDQ5250043

Philip E. Protter, Robert A. Jarrow

Publication date: 15 May 2015

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

Full work available at URL: https://doi.org/10.1137/140967702

zbMATH Keywords

trading strategieshigh frequency tradingmartingale measuresliquidity costsfront running

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic processes (60G99) Actuarial science and mathematical finance (91G99)

Related Items (1)

PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING

Cites Work

• Liquidity risk and arbitrage pricing theory
• A limit order book model for latency arbitrage
• The numéraire portfolio in semimartingale financial models
• The mathematics of arbitrage
• AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA
• A Mathematical Theory of Financial Bubbles
• A liquidity-based model for asset price bubbles
• A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS
• High-frequency trading in a limit order book
• OR Forum—The Cost of Latency in High-Frequency Trading

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