High Frequency Trading in a Markov Renewal Model
Author:
Publisher
Elsevier BV
Reference19 articles.
1. A mathematical approach to order book modeling;F Abergel;International Journal of Theoretical and Applied Finance,2011
2. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
3. Optimal execution strategies in limit order books with general shape functions;A Alfonsi;Quantitative Finance,2010
4. Optimal execution of portfolio transactions;R Almgren;Journal of Risk,2000
5. High frequency trading in a limit order book;M Avellaneda;Quantitative Finance,2008
Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Bayesian semi-parametric estimation of compound inhomogeneous Poisson processes for ultra-high frequency financial transaction data;Journal of Nonparametric Statistics;2024-03-12
2. Continuous Time Analysis of Fleeting Discrete Price Moves;Journal of the American Statistical Association;2017-07-03
3. Continuous Time Analysis of Fleeting Discrete Price Moves;SSRN Electronic Journal;2014
4. Limit Order Books with Stochastic Market Depth;SSRN Electronic Journal;2013
5. Semi Markov Model for Market Microstructure;SSRN Electronic Journal;2013
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