High frequency trading in a Markov renewal model
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kühn, Christoph & Muhle-Karbe, Johannes, 2015. "Optimal liquidity provision," Stochastic Processes and their Applications, Elsevier, vol. 125(7), pages 2493-2515.
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More about this item
Keywordsintegro-ordinary differential equation; High frequency trading; Markov renewal process; Marked Cox process; adverse selection; integro-ordinary differential equation.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-11 (All new papers)
- NEP-MST-2013-10-11 (Market Microstructure)
- NEP-ORE-2013-10-11 (Operations Research)
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