Endogenous Formation of Limit Order Books: Dynamics Between Trades
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Publication:4641739
DOI10.1137/16M1078045zbMath1388.91144arXiv1605.09720MaRDI QIDQ4641739
Sergey Nadtochiy, Roman Gayduk
Publication date: 18 May 2018
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.09720
market microstructurelimit order bookcontrol-stopping gamecontinuum-player gamefixed-point problem with discontinuityRBSDE with oblique reflection
Games with infinitely many players (91A07) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
Related Items (7)
Reflected BSDEs in non-convex domains ⋮ A simple microstructural explanation of the concavity of price impact ⋮ Optimal investment mean-field and N-player games with memory effect and relative performance competition ⋮ High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact ⋮ Endogenous Formation of Limit Order Books: Dynamics Between Trades ⋮ A dynamic model of the limit order book ⋮ Control-Stopping Games for Market Microstructure and Beyond
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