Instantaneous order impact and high-frequency strategy optimization in limit order books
Federico Gonzalez, Mark J. Schervish
| Year of publication: |
June 2017
|
|---|---|
| Authors: | Gonzalez, Federico ; Schervish, Mark J. |
| Published in: |
Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 3.2017, 2, p. 1-31
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| Subject: | Market microstructure | limit order books | Markov decision processes | adverse selection | non-execution risk | Theorie | Theory | Marktmikrostruktur | Wertpapierhandel | Securities trading | Adverse Selektion | Adverse selection | Geld-Brief-Spanne | Bid-ask spread | Börsenkurs | Share price | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2382626618500016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011923314