LATENCY AND LIQUIDITY RISK

DOI10.1142/S0219024921500357zbMath1484.91448arXiv1908.03281OpenAlexW3207805701MaRDI QIDQ5061490

Sebastian Jaimungal, Leandro Sánchez-Betancourt, Álvaro Cartea

Publication date: 11 March 2022

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

Full work available at URL: https://arxiv.org/abs/1908.03281

zbMATH Keywords

marked point processeslatencyforward-backward stochastic differential equationshigh-frequency tradingalgorithmic trading

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial markets (91G15)

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