Risk metrics and fine tuning of high-frequency trading strategies

Mathematical Finance

Volumn 25, Issue 3, 2015, Pages 576-611

  Cartea, Álvaro ^a   Jaimungal, Sebastian ^b  

^a UNIVERSITY COLLEGE LONDON   (United Kingdom)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Adverse selection; Algorithmic trading; High frequency trading; Inventory risk; Market impact; Momentum trading; Risk metrics

Indexed keywords

EID: 84930369558     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/mafi.12023     Document Type: Article

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