Trading strategy with stochastic volatility in a limit order book market
Year of publication: |
2020
|
---|---|
Authors: | Yang, Qing-Qing ; Ching, Wai Ki ; Gu, Jiawen ; Siu, Tak Kuen |
Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 43.2020, 1, p. 277-301
|
Subject: | Limit order book (LOB) | Dynamic programming (DP) | Hamilton-Jacobi-Bellman (HJB) equation | Market impact | Stochastic volatility (SV) model | Theorie | Theory | Volatilität | Volatility | Wertpapierhandel | Securities trading | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price |
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