OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION (Q5262513)
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scientific article; zbMATH DE number 6458949
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION |
scientific article; zbMATH DE number 6458949 |
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OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION (English)
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15 July 2015
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market making
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limit order book
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pro rata microstructure
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inventory risk
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marked point process
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stochastic control
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