Optimal market making under partial information with general intensities
Luciano Campi and Diego Zabaljauregui
| Year of publication: |
2020
|
|---|---|
| Authors: | Campi, Luciano ; Zabaljauregui, Diego |
| Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 27.2020, 1/2, p. 1-45
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| Subject: | algorithmic trading | hidden Markov model | high-frequency trading | Market making | piecewise-deterministic Markov processes | stochastic filtering | stochastic optimal control | viscosity solutions | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Elektronisches Handelssystem | Electronic trading | Kontrolltheorie | Control theory | Portfolio-Management | Portfolio selection | Börsenkurs | Share price |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2020.1758587 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012254093