Kirilenko, Andrei; Sowers, Richard B.; Meng, Xiangqian - In: Algorithmic Finance 2 (2013) 1, pp. 59-98
We propose and study a stylization of high frequency trading (HFT). Our interest is an order book which consists of orders from slow liquidity traders and orders from high-frequency traders. We would like to frame a model which is amenable to the (seemingly natural) mathematical toolkit of...