Limit order strategic placement with adverse selection risk and the role of latency
Year of publication: |
March 2017
|
---|---|
Authors: | Lehalle, Charles-Albert ; Mounjid, Othmane |
Published in: |
Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 3.2017, 1, p. 1-34
|
Subject: | Limit order book | market microstructure | adverse selection | optimaltrading strategies | stochastic control | dynamic programming principle | jump markovprocess | queuing model | Theorie | Theory | Adverse Selektion | Adverse selection | Wertpapierhandel | Securities trading | Marktmikrostruktur | Market microstructure | Geld-Brief-Spanne | Bid-ask spread | Stochastischer Prozess | Stochastic process |
-
Limit order book (LOB) shape modeling in presence of heterogeneously informed market participants
Drame, Mouhamad, (2019)
-
Removing the trade size constraint? : evidence from the Italian market design
Gozluklu, Arie E., (2013)
-
Information and optimal trading strategies with dark pools
Bayona, Anna, (2023)
- More ...
-
Improving reinforcement learning algorithms : towards optimal learning rate policies
Mounjid, Othmane, (2024)
-
GANs training : a game and stochastic control approach
Guo, Xin, (2024)
-
Rigorous strategic trading : balanced portfolio and mean-reversion
Lehalle, Charles-Albert, (2009)
- More ...