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Optimal High Frequency Trading with Limit and Market Orders · Study

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PreprintOptimal High Frequency Trading with Limit and Market Orders

Fabien Guilbaud2011

OA

Preprintgreen2011

Optimal High Frequency Trading with Limit and Market Orders

Fabien Guilbaud · Huyên Pham

58 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

2011Does Algorithmic Trading Improve Liquidity?2009Continuous-time Stochastic Control and Optimization with Financial Applications 1980Dealership market 2005Applied Stochastic Control of Jump Diffusions 2012High Frequency Trading and the New-Market Makers 2010A Stochastic Model for Order Book Dynamics 2008High-frequency trading in a limit order book 2012LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY

Cited by

2013High Frequency Market Making: The Role of Speed 2016ALGORITHMIC TRADING WITH LEARNING 2017High Frequency Market Making: Implications for Liquidity 2013Optimal posting price of limit orders: learning by trading 2017A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure

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2012Optimal high-frequency trading with limit and market ordersarticle · 6 shared references 2013High Frequency Market Making: The Role of Speedpreprint · 4 shared references 2017High Frequency Market Making: Implications for Liquiditypreprint · 4 shared references 2017The Flash Crash: High‐Frequency Trading in an Electronic Marketarticle · 3 shared references 2011The Flash Crash: High-Frequency Trading in an Electronic Marketpreprint · 3 shared references 2011The Flash Crash: High-Frequency Trading in an Electronic Marketpreprint · 3 shared references

Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations58

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1871969

openalex_workW2106919403

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