[كتاب][B] Algorithmic and high-frequency trading
Á Cartea, S Jaimungal, J Penalva - 2015 - books.google.com
The design of trading algorithms requires sophisticated mathematical models backed up by
reliable data. In this textbook, the authors develop models for algorithmic trading in contexts …
reliable data. In this textbook, the authors develop models for algorithmic trading in contexts …
Optimal high-frequency trading with limit and market orders
We propose a framework for studying optimal market-making policies in a limit order book
(LOB). The bid–ask spread of the LOB is modeled by a tick-valued continuous-time Markov …
(LOB). The bid–ask spread of the LOB is modeled by a tick-valued continuous-time Markov …
Fundamentals of market making via stochastic optimal control
A Market Maker (MM) is an individual or an agent, who actively provides bids and offers asks
in a financial market. Her main goal is to maximize her profit and loss functional by getting …
in a financial market. Her main goal is to maximize her profit and loss functional by getting …
[كتاب][B] Quantitative trading: algorithms, analytics, data, models, optimization
X Guo, TL Lai, H Shek, SPS Wong - 2017 - taylorfrancis.com
The first part of this book discusses institutions and mechanisms of algorithmic trading,
market microstructure, high-frequency data and stylized facts, time and event aggregation …
market microstructure, high-frequency data and stylized facts, time and event aggregation …
The self-financing equation in limit order book markets
The goal of this paper is to present a mathematical framework for trading on a limit order
book, including its associated transaction costs, and to propose continuous-time equations …
book, including its associated transaction costs, and to propose continuous-time equations …
Size matters for OTC market makers: General results and dimensionality reduction techniques
In most over‐the‐counter (OTC) markets, a small number of market makers provide liquidity
to other market participants. More precisely, for a list of assets, they set prices at which they …
to other market participants. More precisely, for a list of assets, they set prices at which they …
Algorithmic market making for options
In this article, we tackle the problem of a market maker in charge of a book of options on a
single liquid underlying asset. By using an approximation of the portfolio in terms of its vega …
single liquid underlying asset. By using an approximation of the portfolio in terms of its vega …
Internalisation by electronic FX spot dealers
Dealers in over-the-counter financial markets provide liquidity to customers on a principal
basis and manage the risk position that arises out of this activity in one of two ways. They …
basis and manage the risk position that arises out of this activity in one of two ways. They …
Closed-form approximations in multi-asset market making
ABSTRACT A large proportion of market making models derive from the seminal model of
Avellaneda and Stoikov. The numerical approximation of the value function and the optimal …
Avellaneda and Stoikov. The numerical approximation of the value function and the optimal …
A stochastic control approach to option market making
This paper presents a model for the market making of options on a liquid stock. The stock
price follows a generic stochastic volatility model under the real-world probability measure …
price follows a generic stochastic volatility model under the real-world probability measure …