Limit order trading with a mean reverting reference price-Reference-Cited by-同舟云学术

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Limit order trading with a mean reverting reference price

Published:2017-05-31 Issue:2 Volume:6 Page:121-136
ISSN:1875-9173
Container-title:Risk and Decision Analysis
language:
Short-container-title:RDA

Author:

Ahuja Saran¹,Papanicolaou George¹,Ren Weiluo¹,Yang Tzu-Wei²

Affiliation:

1. Department of Mathematics, Stanford University, Stanford, CA 94305, USA. E-mails: ssunny@stanford.edu, papanico@math.stanford.edu, weiluo@stanford.edu

2. School of Mathematics, University of Minnesota, Minneapolis, MN 55455, USA. E-mail: yangx953@umn.edu

Publisher

IOS Press

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Finance,Statistics and Probability

Reference13 articles.

1. High-frequency trading in a limit order book;Avellaneda;Quantitative Finance,2008

2. Buy low, sell high: A high frequency trading perspective;Cartea;SIAM Journal on Financial Mathematics,2014

3. J.P. Fouque, G. Papanicolaou, R. Sircar and K. Sølna, Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives, Cambridge University Press, 2011.

4. Institutional investors and stock market volatility;Gabaix;Quarterly Journal of Economics,2006

5. Statistical properties of share volume traded in financial markets;Gopikrishnan;Phys. Rev. E,2000

Cited by 1 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. Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset;Computational Economics;2022-06-17

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