EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"diffusion approximation of GCHP"
Narrow search

Narrow search

Year of publication
Subject
All
Bid-ask spread 1 Börsenkurs 1 Electronic trading 1 Elektronisches Handelssystem 1 Geld-Brief-Spanne 1 Hawkes processes 1 LOBster data 1 Market liquidity 1 Market microstructure 1 Marktliquidität 1 Marktmikrostruktur 1 Securities trading 1 Share price 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Wertpapierhandel 1 algorithmic trading 1 diffusion approximation of GCHP 1 general compound Hawkes processes 1 high frequency trading 1 limit order books 1 market making optimization 1 optimal acquisition 1 optimal liquidation 1
more ... less ...
Online availability
All
CC license 1 Free 1
Type of publication
All
Article 1
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
English 1
Author
All
Contreras, Ana Roldan 1 Sviščuk, Anatolij 1
Published in...
All
Risks : open access journal 1
Source
All
ECONIS (ZBW) 1
Showing 1 - 1 of 1
Cover Image
Optimal liquidation, acquisition and market making problems in HFT under Hawkes models for LOB
Contreras, Ana Roldan; Sviščuk, Anatolij - In: Risks : open access journal 10 (2022) 8, pp. 1-32
The present paper is focused on the solution of optimal control problems such as optimal acquisition, optimal liquidation, and market making in relation to the high-frequency trading market. We have modeled optimal control problems with the price approximated by the diffusion process for the...
Persistent link: https://www.econbiz.de/10013368241
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...