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Algorithmic trading of co-integrated assets

Cartea, Álvaro; Jaimungal, Sebastian - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-18

Persistent link: https://www.econbiz.de/10011572368

High frequency asymptotics for the limit order book

Lakner, Peter; Reed, Josh; Stoikov, Sasha - In: Market microstructure and liquidity 2 (2016) 1, pp. 1-83

Persistent link: https://www.econbiz.de/10011588237

High-frequency analysis of the carbon market: jumps, causes, and implications

Vicedom, Sebastian - In: Essays in finance : commodity derivatives, volatility …, (pp. 116-153). 2016

Persistent link: https://www.econbiz.de/10011646906

Optimal liquidation, acquisition and market making problems in HFT under Hawkes models for LOB

Contreras, Ana Roldan; Sviščuk, Anatolij - In: Risks : open access journal 10 (2022) 8, pp. 1-32

The present paper is focused on the solution of optimal control problems such as optimal acquisition, optimal liquidation, and market making in relation to the high-frequency trading market. We have modeled optimal control problems with the price approximated by the diffusion process for the...

Persistent link: https://www.econbiz.de/10013368241