Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information
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- repec:dau:papers:123456789/7390 is not listed on IDEAS
- Field, Jonathan & Large, Jeremy, 2008. "Pro-rata matching and one-tick futures markets," CFS Working Paper Series 2008/40, Center for Financial Studies (CFS).
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- Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Working Papers hal-00737491, HAL.
- Kaj Nyström & Sidi Mohamed Ould Aly & Changyong Zhang, 2014. "Market Making And Portfolio Liquidation Under Uncertainty," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(05), pages 1-33.
- Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Papers 1210.1625, arXiv.org, revised Nov 2014.
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- Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-MST-2012-05-22 (Market Microstructure)
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