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
Optimal Market Making with Persistent Order Flow (English)
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5 November 2021
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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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