When to cross the spread? Trading in two-sided limit order books

SIAM Journal on Financial Mathematics

Volumn 5, Issue 1, 2014, Pages 278-315

  Horst, Ulrich ^a   Naujokat, Felix ^a  

^a HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Dark pool; Singular control; Stochastic maximum principle; Trading in illiquid markets

Indexed keywords

EID: 84908700007     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/110849341     Document Type: Article

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