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Optimal trade execution for Gaussian signals with power-law resilience

Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596

Persistent link: https://www.econbiz.de/10013167782

Extension and calibration of a Hawkes-based optimal execution model

Alfonsi, Aurélien; Blanc, Pierre - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-55

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High frequency market microstructure

O'Hara, Maureen - In: Journal of financial economics 116 (2015) 2, pp. 267-270

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Price jump prediction in a limit order book

Zheng, Ban; Moulines, Eric; Abergel, Frédéric - In: Journal of mathematical finance 3 (2013) 2, pp. 242-255

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Information and inventories in high-frequency trading

Muhle-Karbe, Johannes; Webster, Kevin - 2015

We study how short-term informational advantages can be monetized in a high-frequency setting, when large inventories are explicitly penalized. We find that if most of the additional information is revealed regardless of the high-frequency traders' actions, then fast inventory management allows...

Persistent link: https://www.econbiz.de/10011412266