High-frequency trading in a limit order book
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Quantitative Finance.
Volume (Year): 8 (2008)
Issue (Month): 3 ()
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Web page: http://www.tandfonline.com/RQUF20
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- Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Working Papers hal-00603385, HAL.
- Min Shen & Gabriel Turinici, 2012. "Liquidity generated by heterogeneous beliefs and costly estimations," Post-Print hal-00638966, HAL.
- Guéant, Olivier & Lehalle, Charles-Albert & Tapia, Joaquin Fernandez, 2011. "Optimal Portfolio Liquidation with Limit Orders," Economics Papers from University Paris Dauphine 123456789/7391, Paris Dauphine University.
- Pietro Fodra & Huy\^en Pham, 2013. "High frequency trading in a Markov renewal model," Papers 1310.1756, arXiv.org.
- Christoph K\"uhn & Johannes Muhle-Karbe, 2013. "Optimal Liquidity Provision in Limit Order Markets," Papers 1309.5235, arXiv.org.
- Hans F\"ollmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.
- Jack Sarkissian, 2013. "Coupled mode theory of stock price formation," Papers 1312.4622, arXiv.org.
- David German & Henry Schellhorn, 2012. "A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets," Papers 1206.4804, arXiv.org.
- Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Papers 1106.5040, arXiv.org.
- Pietro Fodra & Huyen Pham, 2013. "High frequency trading in a Markov renewal model," Working Papers hal-00867113, HAL.
- Christoph K\"uhn & Matthias Riedel, 2012. "Price-Setting of Market Makers: A Filtering Problem with an Endogenous Filtration," Papers 1210.4000, arXiv.org.
- Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag\`es, 2011. "Optimal posting price of limit orders: learning by trading," Papers 1112.2397, arXiv.org, revised Sep 2012.
- Guéant, Olivier & Lehalle, Charles-Albert & Tapia, Joaquin Fernandez, 2011. "Dealing with the Inventory Risk," Economics Papers from University Paris Dauphine 123456789/7390, Paris Dauphine University.
- Charles-Albert Lehalle, 2013. "Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process," Papers 1302.4592, arXiv.org.
- Kirill Vaninsky & Stepan Myzuchka & Alexander Lukov, 2012. "A multi-agent nonlinear Markov model of the order book," Papers 1208.3083, arXiv.org, revised Dec 2013.
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