High-frequency market-making for multi-dimensional Markov processes
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- A. Belloni & D. Chen & V. Chernozhukov & C. Hansen, 2012.
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- Marc Hoffmann & Mauricio Labadie & Charles-Albert Lehalle & Gilles Pagès & Huyên Pham & Mathieu Rosenbaum, 2013. "Optimization And Statistical Methods For High Frequency Finance," Post-Print hal-01102785, HAL.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-30 (All new papers)
- NEP-MST-2013-03-30 (Market Microstructure)
- NEP-ORE-2013-03-30 (Operations Research)
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