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LATENCY AND LIQUIDITY RISK - MaRDI portal

LATENCY AND LIQUIDITY RISK (Q5061490)

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scientific article; zbMATH DE number 7488282
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English
LATENCY AND LIQUIDITY RISK
scientific article; zbMATH DE number 7488282

    Statements

    title
    LATENCY AND LIQUIDITY RISK (English)
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    author
    Álvaro Cartea
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    Sebastian Jaimungal
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    publication date
    11 March 2022
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    Mathematics Subject Classification ID
    91G15
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    60H30
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    93E20
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    zbMATH DE Number
    7488282
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    zbMATH Keywords
    marked point processes
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    high-frequency trading
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    algorithmic trading
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    latency
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    forward-backward stochastic differential equations
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    arXiv ID
    1908.03281
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    cites work
    Q2807034
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    Q2787919
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    Last look
    0 references
    Q4663402
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    Q4800025
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    OpenAlex ID
    W3207805701
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