Optimal high-frequency trading with limit and market orders

Quantitative Finance

Volumn 13, Issue 1, 2013, Pages 79-94

  Guilbaud, Fabien ^a   Pham, Huyên ^b  

^a UNIVERSITÉ PARIS DESCARTES   (France)

^b CNRS   (France)

Author keywords

Applied mathematical finance; Market microstructure; Portfolio optimization; Quantitative finance techniques; Stochastic control; Trading strategies

Indexed keywords

EID: 84871320328     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2012.708779     Document Type: Article

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