Optimal Strategy for Limit Order Book Submissions in High Frequency Trading (Q5372046)
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scientific article; zbMATH DE number 6797021
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Strategy for Limit Order Book Submissions in High Frequency Trading |
scientific article; zbMATH DE number 6797021 |
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Optimal Strategy for Limit Order Book Submissions in High Frequency Trading (English)
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23 October 2017
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high-frequency trading
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limit order book
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diffusion approximation
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Hamilton-Jacobi-Bellman equation
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