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Optimal Liquidity-Based Trading Tactics - MaRDI portal

Optimal Liquidity-Based Trading Tactics (Q5084495)

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scientific article; zbMATH DE number 7547880
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English
Optimal Liquidity-Based Trading Tactics
scientific article; zbMATH DE number 7547880

    Statements

    title
    Optimal Liquidity-Based Trading Tactics (English)
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    author
    Charles-Albert Lehalle
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    Othmane Mounjid
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    Mathieu Rosenbaum
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    publication date
    24 June 2022
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    zbMATH Keywords
    market microstructure
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    limit order book
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    high frequency trading
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    queuing model
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    Markov jump processes
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    ergodic properties
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    adverse selection
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    execution probabilities
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    market impact
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    optimal trading strategies
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    optimal tactics
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    stochastic control
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    cites work
    Q5263525
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    Q2787919
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    Markov Chains
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91G80
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    62P05
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    zbMATH DE Number
    7547880
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    OpenAlex ID
    W3209289112
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    arXiv ID
    1803.05690
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