A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS

DOI10.1142/S0219024912500227zbMath1241.91116OpenAlexW3122413623MaRDI QIDQ2892980

Philip E. Protter, Robert A. Jarrow

Publication date: 25 June 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500227

zbMATH Keywords

martingale measuresarbitrage opportunitieselectronic tradingalgorithmic tradershigh frequency traders

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

High frequency traders and the price process ⋮ A limit order book model for latency arbitrage ⋮ Liquidity Suppliers and High Frequency Trading

Cites Work

• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• Risk-neutral compatibility with option prices
• The mathematics of arbitrage
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Financial Modelling with Jump Processes

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