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Optimal Market Making with Persistent Order Flow - MaRDI portal

Optimal Market Making with Persistent Order Flow (Q5162846)

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scientific article; zbMATH DE number 7421261
Language Label Description Also known as
English
Optimal Market Making with Persistent Order Flow
scientific article; zbMATH DE number 7421261

    Statements

    title
    Optimal Market Making with Persistent Order Flow (English)
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    author
    Paul Jusselin
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    publication date
    5 November 2021
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    zbMATH Keywords
    Hawkes processes
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    market making
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    high frequency trading
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    stochastic control
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    partial differential equations
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    viscosity solutions
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    cites work
    Q5263525
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    Q2787919
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    Q4778955
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    Q3141895
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    Identifiers

    DOI
    10.1137/20M1376054
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    Mathematics Subject Classification ID
    91G15
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    60G55
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    35Q91
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    93E20
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    zbMATH DE Number
    7421261
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    arXiv ID
    2003.05958
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    OpenAlex ID
    W3198770918
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