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On Bid and Ask Side-Specific Tick Sizes - MaRDI portal

On Bid and Ask Side-Specific Tick Sizes (Q6091093)

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scientific article; zbMATH DE number 7770150
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English
On Bid and Ask Side-Specific Tick Sizes
scientific article; zbMATH DE number 7770150

    Statements

    title
    On Bid and Ask Side-Specific Tick Sizes (English)
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    author
    Bastien Baldacci
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    Philippe Bergault
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    Q6091092
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    Mathieu Rosenbaum
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    publication date
    23 November 2023
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    zbMATH Keywords
    high frequency trading
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    tick size
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    model with uncertainty zones
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    market making
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    stochastic control
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    viscosity solutions
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    financial regulation
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    Identifiers

    arXiv ID
    2005.14126
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    zbMATH DE Number
    7770150
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    OpenAlex ID
    W3032698347
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    DOI
    10.1137/21M146065X
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