WebFabien Guilbaud, Huyen Pham. Optimal High Frequency Trading with limit and market orders. 22 pages. 2011. ... Submitted on 24 Jun 2011 HAL is a multi … WebHuyên Pham. Co-authors. Eduardo ABI JABER (Université Paris 1) Alessandro BALATA (Leed University) ... Fabien GUILBAUD (Athena Capital Research) Xin GUO (University of Berkeley) Côme HURE (University Paris Diderot) Ying JIAO (ISFA Lyon) ...
Optimal High Frequency Trading with Limit and Market Orders
WebFabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Working Papers hal-00603385, HAL. Ho, Thomas & Stoll, Hans R., 1981. "Optimal dealer pricing under transactions and return uncertainty," Journal of Financial Economics, Elsevier, vol. 9(1), pages 47-73, March. WebJun 24, 2011 · Fabien Guilbaud; Huyen Pham. Publication date 2011-06-24 Collection arxiv; additional_collections; journals Language English. We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and … term for kidney infection
Optimal High Frequency Trading with limit and market orders : Fabien …
Web\subsection{Guilbaud and Pham (2013a)} \subsection{Guilbaud and Pham (2013b)} \subsection{Overview} We follow in the tradition of Avellaneda/Stoikov (2006), but extend the model in: some fundamental ways. \begin{itemize} \item We add a term for \emph{adverse selection}. \end{itemize} \section{The Model} \subsection{The mid-price … http://www.law.tamu.edu/faculty-staff/find-people/faculty-profiles/huyen-pham WebList of computer science publications by Huyen Pham. ... 2011 [i1] view. electronic edition @ arxiv.org (open access) references & citations . export record. BibTeX; RIS; ... Fabien Guilbaud, Huyen Pham: Optimal High Frequency Trading with limit and market orders. CoRR abs/1106.5040 (2011) triceratops scooter