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Optimal high-frequency trading with limit and market orders
9 references·16 citing·49 second hop
Optimal high-frequency trading with limit and market orders (2012)Optimal high-frequency trading with limit…Price Dynamics in a Markovian Limit Order Market (2013)Price Dynamics in a Markovian…High Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…Econophysics review: I. Empirical facts (2011)Econophysics review: I. Empir…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 (2007)Applied Stochastic Control of…Dealership market (1980)Dealership marketInsight into digital finance and fintech: A bibliometric and content analysis (2023)Insight into digital finance …Recent Advances in Reinforcement Learning in Finance (2021)Recent Advances in Reinforcem…Market Making With Signals Through Deep Reinforcement Learning (2021)Market Making With Signals Th…Trading co‐integrated assets with price impact (2018)Trading co‐integrated assets …Enhancing trading strategies with order book signals (2018)Enhancing trading strategies …Optimal market making (2017)Optimal market makingHigh Frequency Market Making: Implications for Liquidity (2017)High Frequency Market Making:…Optimal order placement in limit order markets (2016)Optimal order placement in li…Incorporating order-flow into optimal execution (2016)Incorporating order-flow into…ALGORITHMIC TRADING WITH LEARNING (2016)ALGORITHMIC TRADING WITH LEAR…Optimal execution with limit and market orders (2015)Optimal execution with limit …RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES (2013)RISK METRICS AND FINE TUNING …OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION (2013)OPTIMAL HIGH‐FREQUENCY TRADIN…Modelling Asset Prices for Algorithmic and High-Frequency Trading (2013)Modelling Asset Prices for Al…High Frequency Market Making: The Role of Speed (2013)High Frequency Market Making:…GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION (2013)GENERAL INTENSITY SHAPES IN O…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)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)The Pricing of Options and Corporate Liabilities (1973)Continuous Auctions and Insider Trading (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Correlation of financial markets in times of crisis (2011)Physics and financial economics (1776–2014): puzzles, Ising and agent-based models (2014)Modeling financial time-series with generative adversarial networks (2019)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)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Empirical properties of asset returns: stylized facts and statistical issues (2001)Dynamical Models of Market Impact and Algorithms for Order Execution (2013)Simulating and Analyzing Order Book Data: The Queue-Reactive Model (2014)Universal features of price formation in financial markets: perspectives from deep learning (2019)Optimal execution of portfolio transactions (2001)Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Mean-Field Game Strategies for Optimal Execution (2019)Double Deep Q-Learning for Optimal Execution (2021)Applied Probability and Queues (1987)Applied Probability and Queues (2003)Limit Order Book as a Market for Liquidity (2005)Limit order books (2013)Probabilistic Analysis of Mean-Field Games (2013)A class of non-zero-sum stochastic differential investment and reinsurance games (2014)Stochastic Differential Equations (2014)Probabilistic engineering mechanics (1993)Risk minimizing portfolios and HJBI equations for stochastic differential games (2008)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)
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
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 2007Applied Stochastic Control of Jump Diffusions598 cited
  • 2010A Stochastic Model for Order Book Dynamics506 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 2011Econophysics review: I. Empirical facts345 cited
  • 2013Price Dynamics in a Markovian Limit Order Market294 cited

Cited by

  • 2016Incorporating order-flow into optimal execution134 cited
  • 2018Enhancing trading strategies with order book signals122 cited
  • 2015Optimal execution with limit and market orders92 cited
  • 2013GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION90 cited
  • 2013Modelling Asset Prices for Algorithmic and High-Frequency Trading82 cited
  • 2023Insight into digital finance and fintech: A bibliometric and content analysis79 cited
  • 2013RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES

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77 cited
  • 2017Optimal market making71 cited
  • 2021Recent Advances in Reinforcement Learning in Finance62 cited
  • 2016Optimal order placement in limit order markets49 cited
  • 2013OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION48 cited
  • 2021Market Making With Signals Through Deep Reinforcement Learning48 cited
  • 2013High Frequency Market Making: The Role of Speed44 cited
  • 2016ALGORITHMIC TRADING WITH LEARNING41 cited
  • 2017High Frequency Market Making: Implications for Liquidity39 cited
  • 2018Trading co‐integrated assets with price impact37 cited