Optimal high-frequency trading with limit and market orders

We propose a framework for studying optimal market-making policies in a limit order book (LOB). The bid-ask spread of the LOB is modeled by a tick-valued continuous-time Markov chain. We consider a small agent who continuously submits limit buy/sell orders at best bid/ask quotes, and may also set li...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Quantitative finance 2013-01, Vol.13 (1), p.79-94
Hauptverfasser:	Guilbaud, Fabien, Pham, Huyên
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied mathematical finance Dynamic programming Electronic trading systems Expected utility High frequency trading Market microstructure Markov analysis Mathematics Portfolio optimization Probability Quantitative finance techniques Spread Stochastic control Studies Trading strategies
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!