Algorithmic trading in a microstructural limit order book model
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Publication:5139231
DOI10.1080/14697688.2020.1729396zbMath1454.91238arXiv1705.01446MaRDI QIDQ5139231
Côme Huré, Huyên Pham, Frederic Abergel
Publication date: 7 December 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1705.01446
quantizationMarkov decision processhigh-frequency tradinglocal regressionlimit order bookhigh-dimensional stochastic controlpure-jump controlled process
Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Financial markets (91G15)
Related Items (6)
Algorithmic market making in dealer markets with hedging and market impact ⋮ A data-driven deep learning approach for options market making ⋮ Optimal inventory management and order book modeling ⋮ Confidence interval for correlation estimator between latent processes ⋮ Dynamic equilibrium of market making with price competition ⋮ Constrained BSDEs Driven by a Non-Quasi-Left-Continuous Random Measure and Optimal Control of PDMPs on Bounded Domains
Uses Software
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