Modelling Asset Prices for Algorithmic and High-Frequency Trading

Applied Mathematical Finance

Volumn 20, Issue 6, 2013, Pages 512-547

  Cartea, Álvaro ^a   Jaimungal, Sebastian ^b  

^a UNIVERSITY COLLEGE LONDON   (United Kingdom)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

algorithmic trading; durations; hidden Markov model; High frequency traders

Indexed keywords

EID: 84886380963     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/1350486X.2013.771515     Document Type: Article

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