A multiscale model of high-frequency trading

DOI10.3233/AF-13017zbMath1277.91131OpenAlexW3124436383MaRDI QIDQ2868675

Richard B. Sowers, Andrei A. Kirilenko, Xiangqian Meng

Publication date: 18 December 2013

Published in: Algorithmic Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/af-13017

zbMATH Keywords

volatilityhigh frequency trading

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Trade models (91B60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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