Buy Low, Sell High: A High Frequency Trading Perspective

DOI10.1137/130911196zbMath1308.91199OpenAlexW3121712217MaRDI QIDQ2940766

Álvaro Cartea, Jason Ricci, Sebastian Jaimungal

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/130911196

zbMATH Keywords

adverse selection Hawkes processes algorithmic trading high frequency trading mutually exciting processes short-term-alpha

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Auctions, bargaining, bidding and selling, and other market models (91B26) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial science and mathematical finance (91G99)

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