Optimal Strategy for Limit Order Book Submissions in High Frequency Trading
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Publication:5372046
DOI10.4208/eajam.230515.160316azbMath1398.62325OpenAlexW2358504816MaRDI QIDQ5372046
Na Song, Wai-Ki Ching, Cedric Ka Fai Yiu, Tak Kuen Siu, Yue Xie
Publication date: 23 October 2017
Published in: Unnamed Author (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/eajam.230515.160316a
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of game theory (91A80) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)
Cites Work
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- A successive approximation algorithm for stochastic control problems
- Aspects of risk theory
- More statistical properties of order books and price impact
- High-frequency trading in a limit order book
- Application of the Diffusion Approximation to Queueing Networks I: Equilibrium Queue Distributions
- Price fluctuations from the order book perspective - empirical facts and a simple model
- Stochastic differential equations. An introduction with applications.
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