Market making with minimum resting times

DOI10.1080/14697688.2018.1556399zbMath1420.91408OpenAlexW2897401298MaRDI QIDQ5234322

Yixuan Wang, Álvaro Cartea

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:3017758a-9648-4fea-ae15-4ffc61b7d8cb

zbMATH Keywords

regulationhigh-frequency tradingmarket makingmarket qualityminimum resting times

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• Financial Modelling with Jump Processes
• The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
• Spoofing and Price Manipulation in Order-Driven Markets

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