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Trading strategy with stochastic volatility in a limit order book market - MaRDI portal

Trading strategy with stochastic volatility in a limit order book market (Q777935)

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Trading strategy with stochastic volatility in a limit order book market
scientific article

    Statements

    title
    Trading strategy with stochastic volatility in a limit order book market (English)
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    author
    Qing-Qing Yang
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    Wai-Ki Ching
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    Tak Kuen Siu
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    Jia-Wen Gu
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    publication date
    8 July 2020
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    zbMATH Keywords
    limit order book (LOB)
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    dynamic programming (DP)
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    Hamilton-Jacobi-Bellman (HJB) equation
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    market impact
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    stochastic volatility (SV) model
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91G20
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    93E20
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    zbMATH DE Number
    7218653
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    OpenAlex ID
    W3011931442
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    arXiv ID
    1602.00358
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