High frequency market making: the role of speed

DOI10.1016/j.jeconom.2022.12.015OpenAlexW4362604541MaRDI QIDQ6150523

Mehmet Sağlam, Yacine Aït-Sahalia

Publication date: 6 March 2024

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.12.015

zbMATH Keywords

stochastic optimal controlinventory controlliquiditymarket makinghigh frequency tradingmarket qualityspeed bump

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Dealing with the inventory risk: a solution to the market making problem
• High frequency traders and the price process
• Buy Low, Sell High: A High Frequency Trading Perspective
• High-frequency trading in a limit order book
• Optimal high-frequency trading with limit and market orders
• Unnamed Item

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