Order-Book Modeling and Market Making Strategies

Xiaofei Lu and Frédéric Abergel

Year of publication:	2018
Authors:	Lu, Xiaofei ; Abergel, Frédéric
Published in:	Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 4.2018, 1/2, p. 1-30
Subject:	Limit order books \| Markov decision process \| market making \| Theorie \| Theory \| Wertpapierhandel \| Securities trading \| Entscheidung \| Decision \| Marktmikrostruktur \| Market microstructure \| Markov-Kette \| Markov chain

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