Optimal high-frequency trading with limit and market orders
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2012.708779
Reference24 articles.
1. Dealership market
2. High-frequency trading in a limit order book
3. Convergence of approximation schemes for fully nonlinear second order equations
4. Bozdog , D . Florescu, I., Khashanah, K. and Wang, J., A study of persistence of price movement using high frequency financial data. Preprint, 2012
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