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Control-Stopping Games for Market Microstructure and Beyond - MaRDI portal

Control-Stopping Games for Market Microstructure and Beyond (Q3387925)

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scientific article
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English
Control-Stopping Games for Market Microstructure and Beyond
scientific article

    Statements

    title
    Control-Stopping Games for Market Microstructure and Beyond (English)
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    author
    Roman Gayduk
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    Sergey Nadtochiy
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    publication date
    8 January 2021
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    zbMATH Keywords
    control-stopping game
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    non-zero-sum game
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    inventory management
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    market microstructure
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    liquidity effects of tick size
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    Identifiers

    Mathematics Subject Classification ID
    91A55
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    91A05
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    91A80
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    91B26
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    zbMATH DE Number
    7291317
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    OpenAlex ID
    W3010239106
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    arXiv ID
    1708.00506
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