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1
High-frequency
market-making
with inventory constraints and directional bets
Fodra, Pietro
;
Labadie, Mauricio
-
HAL
-
2012
We extend the
market-making
models with inventory constraints of Avellaneda and Stoikov ("High-frequency trading in a …
Persistent link: https://www.econbiz.de/10009652118
Saved in:
2
Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information
Guilbaud, Fabien
;
Pham, Huyên
-
HAL
-
2012
hand focus on specific cases of practical interest. We examine both a
market
making
problem and a best execution problem in …
Persistent link: https://www.econbiz.de/10010548432
Saved in:
3
Optimal High Frequency Trading with limit and market orders
Guilbaud, Fabien
;
Pham, Huyen
-
HAL
-
2011
We propose a framework for studying optimal
market
making
policies in a limit order book (LOB). The bid-ask spread of …
Persistent link: https://www.econbiz.de/10009147925
Saved in:
4
Optimal high-frequency trading in a pro rata microstructure with predictive information
Guilbaud, Fabien
;
Pham, Huyên
- In:
Mathematical finance : an international journal of …
25
(
2015
)
3
,
pp. 545-575
Persistent link: https://www.econbiz.de/10011350572
Saved in:
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