Optimal Strategy for Limit Order Book Submissions in High Frequency Trading

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

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdiffusion approximationhigh-frequency tradinglimit order book

Mathematics Subject Classification ID

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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