Optimal placement in a limit order book : an analytical approach
Xin Guo, Adrien de Larrard, Zhao Ruan
| Year of publication: |
March 2017
|
|---|---|
| Authors: | Guo, Xin ; Larrard, Adrien de ; Ruan, Zhao |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 11.2017, 2, p. 189-213
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| Subject: | Market making | Optimal placement | Correlated random walk | Markov decision problem | Reflection principle | Theorie | Theory | Wertpapierhandel | Securities trading | Random Walk | Random walk | Markov-Kette | Markov chain | Korrelation | Correlation | Entscheidung | Decision |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-016-0177-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011900541