Buy low, sell high: A high frequency trading perspective

SIAM Journal on Financial Mathematics

Volumn 5, Issue 1, 2014, Pages 415-444

  Cartea, Álvaro ^a   Jaimungal, Sebastian ^b   Ricci, Jason ^b  

^a UNIVERSITY COLLEGE LONDON   (United Kingdom)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Adverse selection; Algorithmic trading; Hawkes processes; High frequency trading; Mutually exciting processes; Short term alpha

Indexed keywords

EID: 84920828184     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/130911196     Document Type: Article

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