Optimal high-frequency trading with limit and market orders
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Publication:5746744
DOI10.1080/14697688.2012.708779zbMath1280.91148arXiv1106.5040OpenAlexW3124706086MaRDI QIDQ5746744
Publication date: 8 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1106.5040
stochastic controlportfolio optimizationtrading strategiesmarket microstructurequantitative finance techniques
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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Cites Work
- Dealing with the inventory risk: a solution to the market making problem
- Option market making under inventory risk
- Continuous-time stochastic control and optimization with financial applications
- Optimal portfolios of a small investor in a limit order market: a shadow price approach
- Optimal Market Making in the Foreign Exchange Market
- Price Dynamics in a Markovian Limit Order Market
- LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
- Optimal investment in the foreign exchange market with proportional transaction costs
- High-frequency trading in a limit order book
- User’s guide to viscosity solutions of second order partial differential equations
- RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES
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