Optimal limit order book trading strategies with stochastic volatility in the underlying asset
Burcu Aydoğan, Ömür Uğur, Ümit Aksoy
| Year of publication: |
2023
|
|---|---|
| Authors: | Aydoğan, Burcu ; Uğur, Ömür ; Aksoy, Ümit |
| Subject: | Hamilton-Jacobi-Bellman equation | High-frequency trading | Limit order book | Market making | Stochastic control | Wertpapierhandel | Securities trading | Theorie | Theory | Elektronisches Handelssystem | Electronic trading | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Spekulation | Speculation | Marktmikrostruktur | Market microstructure |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-022-10272-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014327497