Optimal order display in limit order markets with liquidity competition

DOI10.1016/j.jedc.2015.05.004zbMath1401.91572OpenAlexW1738214154MaRDI QIDQ1657500

Ulrich Horst, Gökhan Cebiroğlu

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2015.05.004

zbMATH Keywords

high-frequency tradingmarket impactlimit order bookhidden liquidityliquidity competitionorder flow dynamics

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

Related Items (7)

Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model ⋮ Optimal execution in high-frequency trading with Bayesian learning ⋮ Optimal order execution using hidden orders ⋮ A Scaling Limit for Limit Order Books Driven by Hawkes Processes ⋮ Trading strategy with stochastic volatility in a limit order book market ⋮ A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics ⋮ Order scoring, bandit learning and order cancellations

Cites Work

• The market impact of a limit order
• On the Lambert \(w\) function
• When to Cross the Spread? Trading in Two-Sided Limit Order Books
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Optimal execution strategies in limit order books with general shape functions
• Optimal liquidation in dark pools
• A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions

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