Modelling asset prices for algorithmic and high-frequency trading
Álvaro Cartea & Sebastian Jaimungal
| Year of publication: |
2013
|
|---|---|
| Authors: | Cartea, Álvaro ; Jaimungal, Sebastian |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 20.2013, 5/6, p. 512-547
|
| Subject: | High-frequency traders | algorithmic trading | durations | hidden Markov model | Elektronisches Handelssystem | Electronic trading | Wertpapierhandel | Securities trading | Markov-Kette | Markov chain | Theorie | Theory | Portfolio-Management | Portfolio selection | Spekulation | Speculation | Börsenkurs | Share price | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Marktmikrostruktur | Market microstructure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010235563