Algorithmic trading in a microstructural limit order book model
Frédéric Abergel, Côme Huré and Huyên Pham
| Year of publication: |
2020
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|---|---|
| Authors: | Abergel, Frédéric ; Huré, Côme ; Pham, Huyên |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 8, p. 1263-1283
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| Subject: | High-dimensional stochastic control | High-frequency trading | Limit order book | Local regression | Markov Decision Process | Pure-jump controlled process | Quantization | Elektronisches Handelssystem | Electronic trading | Wertpapierhandel | Securities trading | Theorie | Theory | Marktmikrostruktur | Market microstructure | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1729396 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012262662