Algorithmic trading in a microstructural limit order book model
Year of publication: |
2020
|
---|---|
Authors: | Abergel, Frédéric ; Huré, Côme ; Pham, Huyên |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 8, p. 1263-1283
|
Subject: | High-dimensional stochastic control | High-frequency trading | Limit order book | Local regression | Markov Decision Process | Pure-jump controlled process | Quantization | Theorie | Theory | Elektronisches Handelssystem | Electronic trading | Wertpapierhandel | Securities trading | Marktmikrostruktur | Market microstructure | Börsenkurs | Share price | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process |
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