Optimal High Frequency Trading with limit and market orders
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References listed on IDEAS
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Cited by:
- Pierre Cardaliaguet & Charles-Albert Lehalle, 2016. "Mean Field Game of Controls and An Application To Trade Crowding," Papers 1610.09904, arXiv.org, revised Sep 2017.
- Thomas Spooner & John Fearnley & Rahul Savani & Andreas Koukorinis, 2018. "Market Making via Reinforcement Learning," Papers 1804.04216, arXiv.org.
- 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.
- Wai-Ki Ching & Jia-Wen Gu & Qing-Qing Yang & Tak-Kuen Siu, 2015. "On Optimal Pricing Model for Multiple Dealers in a Competitive Market," Papers 1512.08866, arXiv.org.
- Pietro Fodra & Mauricio Labadie, 2012. "High-frequency market-making with inventory constraints and directional bets," Papers 1206.4810, arXiv.org.
- van Kervel, V.L., 2013. "Competition between stock exchanges and optimal trading," Other publications TiSEM 5c608a0f-527d-441d-a910-e, Tilburg University, School of Economics and Management.
- Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es, 2011. "Optimal posting price of limit orders: learning by trading," Papers 1112.2397, arXiv.org, revised Sep 2012.
- Gianbiagio Curato & Fabrizio Lillo, 2013. "Modeling the coupled return-spread high frequency dynamics of large tick assets," Papers 1310.4539, arXiv.org.
- Joseph Jerome & Gregory Palmer & Rahul Savani, 2022. "Market Making with Scaled Beta Policies," Papers 2207.03352, arXiv.org, revised Sep 2022.
- Pietro Fodra & Mauricio Labadie, 2013. "High-frequency market-making for multi-dimensional Markov processes," Papers 1303.7177, arXiv.org, revised Apr 2013.
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More about this item
Keywords
Market making; limit order book; inventory risk; point process; stochastic control;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2011-07-02 (Financial Markets)
- NEP-MST-2011-07-02 (Market Microstructure)
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