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


  • Taiga Saito

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

  • Akihiko Takahashi

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


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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    References listed on IDEAS

    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,, 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,, 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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