Optimal high-frequency trading in a pro rata microstructure with predictive information
Fabien Guilbaud; Huyên Pham
| Year of publication: |
2015
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|---|---|
| Authors: | Guilbaud, Fabien ; Pham, Huyên |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 25.2015, 3, p. 545-575
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| Subject: | market making | limit order book | pro rata microstructure | inventory risk | marked point process | stochastic control | Marktmikrostruktur | Market microstructure | Wertpapierhandel | Securities trading | Theorie | Theory | Elektronisches Handelssystem | Electronic trading | Stochastischer Prozess | Stochastic process |
| 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/10011350572