OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION

DOI10.1111/mafi.12042zbMath1331.91166arXiv1205.3051OpenAlexW3122773111MaRDI QIDQ5262513

Fabien Guilbaud, Huyên Pham

Publication date: 15 July 2015

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

Full work available at URL: https://arxiv.org/abs/1205.3051

zbMATH Keywords

stochastic controlmarked point processmarket makinglimit order bookinventory riskpro rata microstructure

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (16)

Closed-form Approximations in Multi-asset Market Making ⋮ Optimal order placement in limit order markets ⋮ TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE ⋮ Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes ⋮ Size matters for OTC market makers: General results and dimensionality reduction techniques ⋮ Algorithmic market making in dealer markets with hedging and market impact ⋮ A data-driven deep learning approach for options market making ⋮ Algorithmic Trading with Model Uncertainty ⋮ Optimal execution with limit and market orders ⋮ Mean-Field Game Strategies for Optimal Execution ⋮ Order execution probability and order queue in limit order markets ⋮ OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS ⋮ Inventory management in customised liquidity pools ⋮ Algorithmic market making for options ⋮ GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION ⋮ PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME

Cites Work

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• High-frequency trading in a limit order book
• Modelling Asset Prices for Algorithmic and High-Frequency Trading
• RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES
• Optimal high-frequency trading with limit and market orders
• Applied stochastic control of jump diffusions

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