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Optimal high-frequency trading with limit and market orders

Citations

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Cited by:

  1. Pietro Fodra & Huy^en Pham, 2013. "High frequency trading and asymptotics for small risk aversion in a Markov renewal model," Papers 1310.1756, arXiv.org, revised Jan 2015.
  2. Alvaro Cartea & Luhui Gan & Sebastian Jaimungal, 2018. "Trading Cointegrated Assets with Price Impact," Papers 1807.01428, arXiv.org.
  3. Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
  4. Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2021. "Algorithmic market making in dealer markets with hedging and market impact," Papers 2106.06974, arXiv.org, revised Dec 2022.
  5. Matthew Lorig & Zhou Zhou & Bin Zou, 2019. "Optimal Bookmaking," Papers 1907.01056, arXiv.org, revised Mar 2021.
  6. Roman Gayduk & Sergey Nadtochiy, 2015. "Liquidity Effects of Trading Frequency," Papers 1508.07914, arXiv.org, revised May 2017.
  7. Bastien Baldacci & Philippe Bergault & Olivier Gu'eant, 2019. "Algorithmic market making for options," Papers 1907.12433, arXiv.org, revised Jul 2020.
  8. Kühn, Christoph & Stroh, Maximilian, 2013. "Continuous time trading of a small investor in a limit order market," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2011-2053.
  9. Brian Bulthuis & Julio Concha & Tim Leung & Brian Ward, 2017. "Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-29, June.
  10. Xuefeng Gao & Yunhan Wang, 2018. "Optimal Market Making in the Presence of Latency," Papers 1806.05849, arXiv.org, revised Mar 2020.
  11. Mark Marner-Hausen, 2022. "Developing a Framework for Real-Time Trading in a Laboratory Financial Market," ECONtribute Discussion Papers Series 172, University of Bonn and University of Cologne, Germany.
  12. Rossella Agliardi & Ramazan Gençay, 2017. "Optimal Trading Strategies With Limit Orders," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-16, February.
  13. Fr'ed'eric Abergel & C^ome Hur'e & Huy^en Pham, 2017. "Algorithmic trading in a microstructural limit order book model," Papers 1705.01446, arXiv.org, revised Feb 2020.
  14. Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid, 2018. "Optimal inventory management and order book modeling," Working Papers hal-01710301, HAL.
  15. Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid, 2019. "Optimal inventory management and order book modeling," Post-Print hal-01710301, HAL.
  16. Choi, So Eun & Jang, Hyun Jin & Lee, Kyungsub & Zheng, Harry, 2021. "Optimal market-Making strategies under synchronised order arrivals with deep neural networks," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
  17. Hyoeun Lee & Kiseop Lee, 2020. "Optimal execution with liquidity risk in a diffusive order book market," Papers 2004.10951, arXiv.org.
  18. Álvaro Cartea & Sebastian Jaimungal & Damir Kinzebulatov, 2016. "Algorithmic Trading With Learning," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-30, June.
  19. Philippe Bergault & Olivier Guéant, 2021. "Size matters for OTC market makers: General results and dimensionality reduction techniques," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 279-322, January.
  20. Christoph Kuhn & Johannes Muhle-Karbe, 2013. "Optimal Liquidity Provision," Papers 1309.5235, arXiv.org, revised Feb 2015.
  21. Bastien Baldacci & Iuliia Manziuk, 2020. "Adaptive trading strategies across liquidity pools," Papers 2008.07807, arXiv.org.
  22. Pietro Fodra & Huyen Pham, 2013. "High frequency trading in a Markov renewal model," Working Papers hal-00867113, HAL.
  23. Olivier Gu'eant & Jiang Pu, 2018. "Mid-price estimation for European corporate bonds: a particle filtering approach," Papers 1810.05884, arXiv.org, revised Mar 2019.
  24. Etienne Chevalier & Vathana Ly Vath & Simone Scotti & Alexandre Roch, 2016. "Optimal Execution Cost For Liquidation Through A Limit Order Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-26, February.
  25. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  26. Bandini, Elena & Fuhrman, Marco, 2017. "Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1441-1474.
  27. Xiaofei Lu & Fr'ed'eric Abergel, 2018. "Order-book modelling and market making strategies," Papers 1806.05101, arXiv.org.
  28. Alexandre Roch, 2023. "Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-29, March.
  29. Roman Gayduk & Sergey Nadtochiy, 2016. "Endogenous Formation of Limit Order Books: Dynamics Between Trades," Papers 1605.09720, arXiv.org, revised Jun 2017.
  30. Hong Guo & Jianwu Lin & Fanlin Huang, 2023. "Market Making with Deep Reinforcement Learning from Limit Order Books," Papers 2305.15821, arXiv.org.
  31. Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.
  32. Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2024. "Market Making in Spot Precious Metals," Papers 2404.15478, arXiv.org, revised Nov 2024.
  33. 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.
  34. Philippe Bergault & Olivier Gu'eant, 2019. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Papers 1907.01225, arXiv.org, revised Sep 2022.
  35. Filippo Passerini & Samuel E. Vazquez, 2015. "Optimal Trading with Alpha Predictors," Papers 1501.03756, arXiv.org, revised Jan 2015.
  36. Frédéric Abergel & Côme Huré & Huyên Pham, 2019. "Algorithmic trading in a microstructural limit order book model," Working Papers hal-01514987, HAL.
  37. 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.
  38. Xianfeng Jiao & Zizhong Li & Chang Xu & Yang Liu & Weiqing Liu & Jiang Bian, 2023. "Microstructure-Empowered Stock Factor Extraction and Utilization," Papers 2308.08135, arXiv.org.
  39. Kubo, Kenji & Nakagawa, Kei & Mizukami, Daiki & Acharya, Dipesh, 2023. "Optimal liquidation strategy for cryptocurrency marketplaces using stochastic control," Finance Research Letters, Elsevier, vol. 53(C).
  40. Philippe Bergault & David Evangelista & Olivier Gu'eant & Douglas Vieira, 2018. "Closed-form approximations in multi-asset market making," Papers 1810.04383, arXiv.org, revised Sep 2022.
  41. Bastien Baldacci & Philippe Bergault & Dylan Possamai, 2022. "A mean-field game of market-making against strategic traders," Papers 2203.13053, arXiv.org.
  42. Kühn, Christoph & Muhle-Karbe, Johannes, 2015. "Optimal liquidity provision," Stochastic Processes and their Applications, Elsevier, vol. 125(7), pages 2493-2515.
  43. Jos'e E. Figueroa-L'opez & Hyoeun Lee & Raghu Pasupathy, 2017. "Optimal placement of a small order in a diffusive limit order book," Papers 1708.04337, arXiv.org.
  44. Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2016. "Generalized Optimal Liquidation Problems Across Multiple Trading Venues," Papers 1607.04553, arXiv.org, revised Aug 2017.
  45. Jiafa He & Cong Zheng & Can Yang, 2023. "Integrating Tick-level Data and Periodical Signal for High-frequency Market Making," Papers 2306.17179, arXiv.org.
  46. Yan, Tingjin & Chiu, Mei Choi & Wong, Hoi Ying, 2023. "Portfolio liquidation with delayed information," Economic Modelling, Elsevier, vol. 126(C).
  47. Álvaro Cartea & Leandro Sánchez-Betancourt, 2023. "Optimal execution with stochastic delay," Finance and Stochastics, Springer, vol. 27(1), pages 1-47, January.
  48. Baron Law & Frederi Viens, 2019. "Market Making under a Weakly Consistent Limit Order Book Model," Papers 1903.07222, arXiv.org, revised Jan 2020.
  49. Qinghua Li, 2014. "Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context," Papers 1404.7320, arXiv.org, revised Jan 2015.
  50. Saran Ahuja & George Papanicolaou & Weiluo Ren & Tzu-Wei Yang, 2016. "Limit order trading with a mean reverting reference price," Papers 1607.00454, arXiv.org, revised Nov 2016.
  51. Xin Guo & Zhao Ruan & Lingjiong Zhu, 2015. "Dynamics of Order Positions and Related Queues in a Limit Order Book," Papers 1505.04810, arXiv.org, revised Oct 2015.
  52. Bruno Gašperov & Stjepan Begušić & Petra Posedel Šimović & Zvonko Kostanjčar, 2021. "Reinforcement Learning Approaches to Optimal Market Making," Mathematics, MDPI, vol. 9(21), pages 1-22, October.
  53. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant, 2022. "Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions," Papers 2212.00336, arXiv.org, revised Nov 2023.
  54. Robert Boyce & Martin Herdegen & Leandro S'anchez-Betancourt, 2024. "Market Making with Exogenous Competition," Papers 2407.17393, arXiv.org.
  55. 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.
  56. Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid, 2018. "Optimal inventory management and order book modeling," Papers 1802.08135, arXiv.org, revised Nov 2018.
  57. Álvaro Cartea & Sebastian Jaimungal & Jason Ricci, 2018. "Trading Strategies Within The Edges Of No-Arbitrage," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-37, May.
  58. Mathieu Rosenbaum & Jianfei Zhang, 2022. "Multi-asset market making under the quadratic rough Heston," Papers 2212.10164, arXiv.org.
  59. Antoine Jacquier & Hao Liu, 2017. "Optimal liquidation in a Level-I limit order book for large tick stocks," Papers 1701.01327, arXiv.org, revised Nov 2017.
  60. M. Alessandra Crisafi & Andrea Macrina, 2015. "Dark-Pool Perspective of Optimal Market Making," Papers 1502.02863, arXiv.org.
  61. Ningyuan Chen & Steven Kou & Chun Wang, 2018. "A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure," Management Science, INFORMS, vol. 64(2), pages 784-803, February.
  62. Shiqi Gong & Shuaiqiang Liu & Danny D. Sun, 2023. "Optimal Market Making in the Chinese Stock Market: A Stochastic Control and Scenario Analysis," Papers 2306.02764, arXiv.org.
  63. Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2021. "Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control," Papers 2112.02269, arXiv.org, revised Jun 2023.
  64. Kyle Bechler & Mike Ludkovski, 2014. "Optimal Execution with Dynamic Order Flow Imbalance," Papers 1409.2618, arXiv.org, revised Oct 2014.
  65. Etienne Chevalier & M’hamed Gaïgi & Vathana Ly Vath & Mohamed Mnif, 2017. "Optimal Market Dealing Under Constraints," Journal of Optimization Theory and Applications, Springer, vol. 173(1), pages 313-335, April.
  66. Frédéric Abergel & Côme Huré & Huyên Pham, 2020. "Algorithmic trading in a microstructural limit order book model," Post-Print hal-01514987, HAL.
  67. Bastien Baldacci & Jerome Benveniste & Gordon Ritter, 2020. "Optimal trading without optimal control," Papers 2012.12945, arXiv.org.
  68. Aït-Sahalia, Yacine & Sağlam, Mehmet, 2024. "High frequency market making: The role of speed," Journal of Econometrics, Elsevier, vol. 239(2).
  69. Joseph Jerome & Leandro Sanchez-Betancourt & Rahul Savani & Martin Herdegen, 2022. "Model-based gym environments for limit order book trading," Papers 2209.07823, arXiv.org.
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