High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model

DOI10.1137/140976005zbMath1336.60172arXiv1310.1756OpenAlexW3124751332MaRDI QIDQ2941476

Pietro Fodra, Huyên Pham

Publication date: 28 August 2015

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

Full work available at URL: https://arxiv.org/abs/1310.1756

zbMATH Keywords

perturbation methodMarkov renewal processintegro-differential equationadverse selectionhigh frequency tradingmarked Cox process

Mathematics Subject Classification ID

Related Items (13)

Closed-form Approximations in Multi-asset Market Making ⋮ High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model ⋮ Algorithmic market making in dealer markets with hedging and market impact ⋮ SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS ⋮ A data-driven deep learning approach for options market making ⋮ Stochastic modelling of big data in finance ⋮ Algorithmic trading in a microstructural limit order book model ⋮ Optimal market making in the presence of latency ⋮ Analysis of an aggregate loss model in a Markov renewal regime ⋮ Semi-Markov Model for Market Microstructure ⋮ Dynamic equilibrium of market making with price competition ⋮ Optimal liquidity provision ⋮ A Semi-Markovian Modeling of Limit Order Markets

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