Market making and portfolio liquidation under uncertainty

International Journal of Theoretical and Applied Finance

Volumn 17, Issue 5, 2014, Pages

  Nyström, Kaj ^a   Ould Aly, Sidi Mohamed ^a   Zhang, Changyong ^a  

^a UPPSALA UNIVERSITY   (Sweden)

Author keywords

Hamilton Jacobi Bellman equation; High frequency trading; market making; optimal execution; stochastic control

Indexed keywords

EID: 84905251832     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024914500344     Document Type: Article

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