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Online Supplement for "Stochastic Differential Game in High Frequency Market"

Author

Listed:
  • Taiga Saito

    (CIRJE, Faculty of Economics, The University of Tokyo)

  • Akihiko Takahashi

    (CIRJE, Faculty of Economics, The University of Tokyo)

Abstract

This is an online supplement for "Stochastic Differential Game in High Frequency Market" which is submitted to Automatica.

Suggested Citation

  • Taiga Saito & Akihiko Takahashi, 2018. "Online Supplement for "Stochastic Differential Game in High Frequency Market"," CIRJE F-Series CIRJE-F-1087, CIRJE, Faculty of Economics, University of Tokyo.
  • Handle: RePEc:tky:fseres:2018cf1087
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2018/2018cf1087.pdf
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    References listed on IDEAS

    as
    1. Taiga Saito & Akihiko Takahashi, 2017. "Derivatives Pricing with Market Impact and Limit Order Book," CARF F-Series CARF-F-385, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    2. Taiga Saito & Takanori Adachi & Teruo Nakatsuma & Akihiko Takahashi & Hiroshi Tsuda & Naoyuki Yoshino, 2018. "Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment: Empirical Study in the Japanese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(3), pages 179-220, September.
    3. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
    4. Alexander Schied & Tao Zhang, 2013. "A market impact game under transient price impact," Papers 1305.4013, arXiv.org, revised May 2017.
    5. Andrei Kirilenko & Albert S. Kyle & Mehrdad Samadi & Tugkan Tuzun, 2017. "The Flash Crash: High-Frequency Trading in an Electronic Market," Journal of Finance, American Finance Association, vol. 72(3), pages 967-998, June.
    6. Jonathan Brogaard & Terrence Hendershott & Ryan Riordan, 2014. "High-Frequency Trading and Price Discovery," Review of Financial Studies, Society for Financial Studies, vol. 27(8), pages 2267-2306.
    7. Carrion, Allen, 2013. "Very fast money: High-frequency trading on the NASDAQ," Journal of Financial Markets, Elsevier, vol. 16(4), pages 680-711.
    8. Michael Kearns & Alex Kulesza & Yuriy Nevmyvaka, 2010. "Empirical Limitations on High Frequency Trading Profitability," Papers 1007.2593, arXiv.org, revised Sep 2010.
    9. Hagströmer, Björn & Nordén, Lars, 2013. "The diversity of high-frequency traders," Journal of Financial Markets, Elsevier, vol. 16(4), pages 741-770.
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