Optimal market making under partial information with general intensities

Luciano Campi and Diego Zabaljauregui

Year of publication:	2020
Authors:	Campi, Luciano ; Zabaljauregui, Diego
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 \| Unvollkommene Information \| Incomplete information \| Wertpapierhandel \| Securities trading

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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

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