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Price Dynamics in a Markovian Limit Order Market
International audience -
Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive I...
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts.... -
High-frequency market-making with inventory constraints and directional bets
We extend the market-making models with inventory constraints of Avellaneda and Stoikov ("High-frequency trading in a limit-order book", Quantitative Finance Vol.8... -
Price jump prediction in a limit order book
International audience -
Optimal control in limit order books
We propose a quantitative approach to some high frequency trading problematics. We are interested in several aspects of this field, from minimizing indirect trading...
