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Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes
16 references·1 citing·45 second hop
Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes (2018)Algorithmic Trading, Stochastic Control, …Incorporating order-flow into optimal execution (2016)Incorporating order-flow into…Where is the Value in High Frequency Trading? (2012)Where is the Value in High Fr…Optimal high-frequency trading with limit and market orders (2012)Optimal high-frequency tradin…LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY (2012)LIQUIDATION IN LIMIT ORDER BO…Dealing with the inventory risk: a solution to the market making problem (2012)Dealing with the inventory ri…A Stochastic Model for Order Book Dynamics (2010)A Stochastic Model for Order …Market Sidedness: Insights into Motives for Trade Initiation (2009)Market Sidedness: Insights in…A Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …High-frequency trading in a limit order book (2008)High-frequency trading in a l…Modelling security market events in continuous time: Intensity based, multivariate point process models (2007)Modelling security market eve…Mean field games (2007)Mean field gamesLarge-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria (2007)Large-Population Cost-Coupled…Measuring the resiliency of an electronic limit order book (2006)Measuring the resiliency of a…Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal execution with nonlin…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Market Making With Signals Through Deep Reinforcement Learning (2021)Market Making With Signals Th…Continuous Auctions and Insider Trading (1985)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Liquidity Cycles and Make/Take Fees in Electronic Markets (2012)Quantifying reflexivity in financial markets: Toward a prediction of flash crashes (2012)Hawkes processes and their applications to finance: a review (2017)Dynamic noncooperative game theory (1995)The Theory of Learning in Games (1998)Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Mean Field Games Models—A Brief Survey (2013)Probabilistic Analysis of Mean-Field Games (2013)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Price, trade size, and information in securities markets (1987)How Markets Slowly Digest Changes in Supply and Demand (2009)Optimal trading strategy and supply/demand dynamics (2012)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)Expected stock returns and volatility (1987)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)5 Stochastic volatility (1996)Realized Variance and Market Microstructure Noise (2006)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Mean Field Games and Applications (2010)Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach (2021)Coherent Measures of Risk (1999)Optimal execution of portfolio transactions (2001)Direct Estimation of Equity Market Impact (2005)Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (2008)Optimal execution strategies in limit order books with general shape functions (2009)Market microstructure theory (1995)Buy Low Sell High: A High Frequency Trading Perspective (2011)Handbook of the Economics of Finance (2013)Recent advances in reinforcement learning in finance (2023)Inferring Trade Direction from Intraday Data (1991)Affine Point Processes and Portfolio Credit Risk (2010)Modelling microstructure noise with mutually exciting point processes (2012)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)
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References

  • 2007Mean field games2,638 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 2007Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria1,092 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 2010A Stochastic Model for Order Book Dynamics506 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 2003Optimal execution with nonlinear impact functions and trading-enhanced risk466 cited
  • 2007Modelling security market events in continuous time: Intensity based, multivariate point process models397 cited
  • 2006Measuring the resiliency of an electronic limit order book279 cited
  • 2012Dealing with the inventory risk: a solution to the market making problem207 cited
  • 2012Optimal high-frequency trading with limit and market orders184 cited
  • 2016Incorporating order-flow into optimal execution134 cited
  • 2012LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY132 cited
  • 2009Market Sidedness: Insights into Motives for Trade Initiation

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121 cited
  • 2012Where is the Value in High Frequency Trading?116 cited
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    • 2021Market Making With Signals Through Deep Reinforcement Learning48 cited