Optimal bid-ask spread in limit-order books under regime switching framework
Year of publication: |
2014
|
---|---|
Authors: | Fard, Farzad Alavi |
Published in: |
Review of economics & finance. - Toronto : Better Advances Press, ISSN 1923-7529, ZDB-ID 2637191-1. - 2014, 4, p. 33-48
|
Subject: | Market micro-structure | Limit-order | Regime switching | HJB | Galerkin method | Theorie | Theory | Geld-Brief-Spanne | Bid-ask spread | Wertpapierhandel | Securities trading |
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