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Risk Metrics And Fine Tuning Of High-Frequency Trading Strategies

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  • Álvaro Cartea
  • Sebastian Jaimungal

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  • Álvaro Cartea & Sebastian Jaimungal, 2015. "Risk Metrics And Fine Tuning Of High-Frequency Trading Strategies," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 576-611, July.
    • Handle: RePEc:bla:mathfi:v:25:y:2015:i:3:p:576-611
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    File URL: http://hdl.handle.net/10.1111/mafi.2015.25.issue-3
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    Citations

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    Cited by:

    1. Burcu Aydoğan & Ömür Uğur & Ümit Aksoy, 2023. "Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 289-324, June.
    2. René Carmona & Kevin Webster, 2019. "The self-financing equation in limit order book markets," Finance and Stochastics, Springer, vol. 23(3), pages 729-759, July.
    3. Johannes Muhle‐Karbe & Zexin Wang & Kevin Webster, 2023. "A Leland model for delta hedging in central risk books," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 504-547, July.
    4. M. Alessandra Crisafi & Andrea Macrina, 2016. "Simultaneous Trading In ‘Lit’ And Dark Pools," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-33, December.
    5. Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020. "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, vol. 50(C).
    6. Rene Carmona & Kevin Webster, 2019. "Applications of a New Self-Financing Equation," Papers 1905.04137, arXiv.org.
    7. Agostino Capponi & Jos'e E. Figueroa-L'opez & Chuyi Yu, 2021. "Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts," Papers 2101.03086, arXiv.org.
    8. Ge, Hengshun & Yang, Haijun & Doukas, John A., 2024. "The optimal strategies of competitive high-frequency traders and effects on market liquidity," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 653-679.
    9. Xuefeng Gao & Yunhan Wang, 2018. "Optimal Market Making in the Presence of Latency," Papers 1806.05849, arXiv.org, revised Mar 2020.
    10. Thomas Spooner & John Fearnley & Rahul Savani & Andreas Koukorinis, 2018. "Market Making via Reinforcement Learning," Papers 1804.04216, arXiv.org.
    11. Qing-Qing Yang & Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu, 2019. "On Optimal Pricing Model for Multiple Dealers in a Competitive Market," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 397-431, January.
    12. Weston Barger & Matthew Lorig, 2018. "Optimal liquidation under stochastic price impact," Papers 1804.04170, arXiv.org.
    13. Jonathan Ch'avez-Casillas & Jos'e E. Figueroa-L'opez & Chuyi Yu & Yi Zhang, 2024. "Adaptive Optimal Market Making Strategies with Inventory Liquidation Cos," Papers 2405.11444, arXiv.org.
    14. Charles-Albert Lehalle & Eyal Neuman, 2019. "Incorporating signals into optimal trading," Finance and Stochastics, Springer, vol. 23(2), pages 275-311, April.
    15. Joseph Jerome & Gregory Palmer & Rahul Savani, 2022. "Market Making with Scaled Beta Policies," Papers 2207.03352, arXiv.org, revised Sep 2022.
    16. Diego Zabaljauregui, 2020. "Optimal market making under partial information and numerical methods for impulse control games with applications," Papers 2009.06521, arXiv.org.
    17. Weston Barger & Matthew Lorig, 2019. "Optimal Liquidation Under Stochastic Price Impact," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-28, March.
    18. Jialun Cao & David v{S}iv{s}ka & Lukasz Szpruch & Tanut Treetanthiploet, 2024. "Logarithmic regret in the ergodic Avellaneda-Stoikov market making model," Papers 2409.02025, arXiv.org.
    19. Jialiang Luo & Harry Zheng, 2021. "Dynamic Equilibrium of Market Making with Price Competition," Dynamic Games and Applications, Springer, vol. 11(3), pages 556-579, September.
    20. Ravi Kashyap, 2019. "Imitation in the Imitation Game," Papers 1911.06893, arXiv.org.
    21. Chu, Jeffrey & Chan, Stephen & Zhang, Yuanyuan, 2020. "High frequency momentum trading with cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 52(C).

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