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Optimal High Frequency Trading with Limit and Market Orders
8 references·5 citing·47 second hop
Optimal High Frequency Trading with Limit and Market Orders (2011)Optimal High Frequency Trading with Limit…LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY (2012)LIQUIDATION IN LIMIT ORDER BO…High Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…A Stochastic Model for Order Book Dynamics (2010)A Stochastic Model for Order …Continuous-time Stochastic Control and Optimization with Financial Applications (2009)Continuous-time Stochastic Co…High-frequency trading in a limit order book (2008)High-frequency trading in a l…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Dealership market (1980)Dealership marketHigh Frequency Market Making: Implications for Liquidity (2017)High Frequency Market Making:…A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure (2017)A Partitioning Algorithm for …ALGORITHMIC TRADING WITH LEARNING (2016)ALGORITHMIC TRADING WITH LEAR…Optimal posting price of limit orders: learning by trading (2013)Optimal posting price of limi…High Frequency Market Making: The Role of Speed (2013)High Frequency Market Making:…The Cost of Transacting (1968)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Liquidity and Market Efficiency (2007)Optimal execution of portfolio transactions (2001)Controlled Markov Processes and Viscosity Solutions (2005)Optimal execution with limit and market orders (2015)Algorithmic Trading with Model Uncertainty (2017)Deep learning for limit order books (2018)On estimating the expected return on the market (1980)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market Liquidity and Funding Liquidity (2008)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)High frequency market microstructure (2015)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Low-Latency Trading (2011)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)High-Frequency Trading and Price Discovery (2014)Optimal dealer pricing under transactions and return uncertainty (1981)Market microstructure theory (1995)Buy Low Sell High: A High Frequency Trading Perspective (2011)Dealing with the inventory risk: a solution to the market making problem (2012)Handbook of the Economics of Finance (2013)Recent advances in reinforcement learning in finance (2023)Applied Stochastic Control of Jump Diffusions (2007)Optimal trading strategy and supply/demand dynamics (2012)Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes (2018)Trading co‐integrated assets with price impact (2018)Applied Probability and Queues (1987)Applied Probability and Queues (2003)Limit Order Book as a Market for Liquidity (2005)Limit order books (2013)Price Dynamics in a Markovian Limit Order Market (2013)Universal features of price formation in financial markets: perspectives from deep learning (2019)Optimal high-frequency trading with limit and market orders (2012)Probabilistic Analysis of Mean-Field Games (2013)Stochastic Differential Equations (2014)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Fluctuations of Lévy Processes with Applications (2014)High-frequency Trading: Review of the Literature and Regulatory Initiatives around the World (2016)Order anticipation around predictable trades (2018)
this work references cited by second hop

References

  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2009Continuous-time Stochastic Control and Optimization with Financial Applications1,041 cited
  • 1980Dealership market965 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 2010A Stochastic Model for Order Book Dynamics506 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 2012LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY132 cited

Cited by

  • 2013High Frequency Market Making: The Role of Speed44 cited
  • 2016ALGORITHMIC TRADING WITH LEARNING41 cited
  • 2017High Frequency Market Making: Implications for Liquidity39 cited
  • 2013Optimal posting price of limit orders: learning by trading36 cited
  • 2017A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure33 cited

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