Optimal Market Making under Partial Information with General Intensities (Q5126677)
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scientific article; zbMATH DE number 7262547
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Market Making under Partial Information with General Intensities |
scientific article; zbMATH DE number 7262547 |
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Optimal Market Making under Partial Information with General Intensities (English)
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20 October 2020
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market making
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high-frequency trading
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algorithmic trading
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stochastic optimal control
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hidden Markov model
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stochastic filtering
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viscosity solutions
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piecewise-deterministic Markov processes
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