Spoofing and Price Manipulation in Order-Driven Markets

DOI10.1080/1350486X.2020.1726783zbMath1454.91242OpenAlexW2979480719MaRDI QIDQ5126679

Álvaro Cartea, Sebastian Jaimungal, Yixuan Wang

Publication date: 20 October 2020

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2020.1726783

zbMATH Keywords

layeringhigh-frequency tradingmarket makingmarket qualityexecutionspoofing

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (2)

On detecting spoofing strategies in high-frequency trading ⋮ Market making with minimum resting times

Cites Work

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• Viscosity solutions for monotone systems of second–order elliptic PDES
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• Optimal execution with limit and market orders
• RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES
• Price manipulation in a market impact model with dark pool
• Applied stochastic control of jump diffusions

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