A multiscale model of high-frequency trading

Algorithmic Finance

Volumn 2, Issue 1, 2013, Pages 59-98

  Kirilenko, Andrei ^a   Sowers, Richard B ^b   Meng, Xiangqian ^c  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

^c NONE

Author keywords

High frequency trading; Volatility

Indexed keywords

EID: 84899451162     PISSN: 21585571     EISSN: 21576203     Source Type: Journal    
DOI: 10.3233/AF-13017     Document Type: Article

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