Optimal limit order book trading strategies with stochastic volatility in the underlying asset
Burcu Aydoğan, Ömür Uğur, Ümit Aksoy
| Year of publication: |
2023
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|---|---|
| Authors: | Aydoğan, Burcu ; Uğur, Ömür ; Aksoy, Ümit |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 62.2023, 1, p. 289-324
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| Subject: | Hamilton-Jacobi-Bellman equation | High-frequency trading | Limit order book | Market making | Stochastic control | Wertpapierhandel | Securities trading | Theorie | Theory | Elektronisches Handelssystem | Electronic trading | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Spekulation | Speculation | Marktmikrostruktur | Market microstructure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-022-10272-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014327497