Optimal placement in a limit order book: an analytical approach
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Publication:513747
DOI10.1007/s11579-016-0177-5zbMath1409.91234OpenAlexW2499008911MaRDI QIDQ513747
Adrien de Larrard, Zhao Ruan, Xin Guo
Publication date: 7 March 2017
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-016-0177-5
Sums of independent random variables; random walks (60G50) Derivative securities (option pricing, hedging, etc.) (91G20) Markov and semi-Markov decision processes (90C40)
Related Items (8)
Optimal order execution using hidden orders ⋮ Optimal order placement in limit order markets ⋮ Optimal Liquidity-Based Trading Tactics ⋮ Reflection principle for finite-velocity random motions ⋮ Order execution probability and order queue in limit order markets ⋮ Optimal market making in the presence of latency ⋮ Optimal market-making strategies under synchronised order arrivals with deep neural networks ⋮ Market or limit orders?
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