Trading strategy with stochastic volatility in a limit order book market
Qing-Qing Yang, Wai-Ki Ching, Jiawen Gu, Tak-Kuen Siu
| Year of publication: |
2020
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|---|---|
| Authors: | Yang, Qing-Qing ; Ching, Wai Ki ; Gu, Jiawen ; Siu, Tak Kuen |
| Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 43.2020, 1, p. 277-301
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| Subject: | Limit order book (LOB) | Dynamic programming (DP) | Hamilton-Jacobi-Bellman (HJB) equation | Market impact | Stochastic volatility (SV) model | Wertpapierhandel | Securities trading | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Dynamische Optimierung | Dynamic programming | Geld-Brief-Spanne | Bid-ask spread |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-020-00278-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012285400